Exporting data in the tick format, I get the bid volume and the ask volume.
Exporting data in bar format, I get the volume column.
Trying to understand the relationship between the two:
1. Are "bid volume" and "ask volume" actual trading volumes, or just the volume or orders in the order book, for the bid and prices?
2. How can I know what is the actual trading volume for a given time period (using the tick csv alone)? Comparing the exported tick csv and bar csv files, it looks like the volume in the bar csv is computed by summing only the BID VOLUME in the tick csv. Why is that?
Bid volume, ask volume and actual trading volume
Re: Bid volume, ask volume and actual trading volume
Hi Cruvadom,
Regarding your questions:
1) In almost all FX exhcange trading platforms, a quote/tick will only contain the volume of the order-book at the time. A "trade" is a different record type and this information typically isn't available on FX platforms.
2) As mentioned, the total traded volume is not available. The volume is summed just to give some sort of indicative idea of the volume on the books at the time. In FX markets, this sort of information isn't overly telling however there is a concept of "tick counts" which is what is exported to Metatrader 4. A tick count gives an indication of how many price movements occurred in a bar and can give some idea of how much activity/trading is going on at a particular moment.
Hope this helps.
Regarding your questions:
1) In almost all FX exhcange trading platforms, a quote/tick will only contain the volume of the order-book at the time. A "trade" is a different record type and this information typically isn't available on FX platforms.
2) As mentioned, the total traded volume is not available. The volume is summed just to give some sort of indicative idea of the volume on the books at the time. In FX markets, this sort of information isn't overly telling however there is a concept of "tick counts" which is what is exported to Metatrader 4. A tick count gives an indication of how many price movements occurred in a bar and can give some idea of how much activity/trading is going on at a particular moment.
Hope this helps.