Volume data on indices

General discussion about the Tickstory Lite software package.
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zirtico
Posts: 8
Joined: Mon Apr 03, 2023 9:47 pm

Volume data on indices

Post by zirtico »

Sorry for the stupid question, but when I download 1m bars for NAS100/SPX500, I assume there is no volume data. The last column is all 0 and then there are two columns after OHLC that appear to be identical. I assume these are spread and not tick volume. One of my indicators uses real volume (yes I know CFD volumes are decentralised) and I want to verify that there is no volume data before I try to test my EA on this data.

tickstory
Posts: 4883
Joined: Sun Jan 06, 2013 12:27 am

Re: Volume data on indices

Post by tickstory »

Hi Zirtico,

If you are referring to the MT5 Export Format, it is defined as follows (this was taken from the "Custom format" box after the Predefined "MT5 Bar Format" was selected):

Code: Select all

{BarBeginTime:yyyyMMdd},{BarBeginTime:HH\:mm\:ss},{Open},{High},{Low},{Close},{BarTickCount},{BarTickCount},{BarMinSpreadInt}
So the last 3 columns from left to right are the tick count/volume, the tick count/volume (again) and then the bar spread.

You can find more detailed descriptions of these tokens in the 'Custom Token Reference' section in our manual[.

Hope this helps.

zirtico
Posts: 8
Joined: Mon Apr 03, 2023 9:47 pm

Re: Volume data on indices

Post by zirtico »

I changed the format to include Volume and ran 2 different exports to make sure I was doing it right. I find that the volume column is a decimal for S&P 500 which made me thought it was spread by mistake. I double-checked and re-ran and in the first part of the data there doesn't seem to be complete data for (BarTickcount,Volume,minSpread), as BarTickCount and Volume are identical and spread shows 0. The bulk of the dataset has decimal numbers for Volume which intuitively does not seem correct. The BarTickCount and minSpread are different, but it's hard to tell which is which. Could you try an export using these 3 columns and let me know if you're seeing the same thing?

tickstory
Posts: 4883
Joined: Sun Jan 06, 2013 12:27 am

Re: Volume data on indices

Post by tickstory »

Hi Zirtico,

Below is a small excerpt for 15-minute bar data for USA500.IDX using the following format:

Code: Select all

{BarBeginTime:yyyyMMdd},{BarBeginTime:HH\:mm\:ss},{Open},{High},{Low},{Close},{BarTickCount},{Volume},{BarMinSpreadInt}

Code: Select all

20230201,23:00:00,4131.586,4139.741,4131.532,4135.01,764,0.466039991006255,408
20230201,23:15:00,4134.898,4138.493,4134.76,4136.019,411,0.250709995161742,408
20230201,23:30:00,4135.766,4135.781,4132.302,4134.033,376,0.229359995573759,408
20230201,23:45:00,4133.921,4136.285,4131.053,4136.032,306,0.186659996397793,408
The last 3 columns from left to right show the Tick Count (the number of price movements that occurred in the bar), the Volume (a decimal value representing the volume on the order-book at the time) and the Minimum bar Spread (the smallest spread value that occurred in the bar).

Hope this helps.

zirtico
Posts: 8
Joined: Mon Apr 03, 2023 9:47 pm

Re: Volume data on indices

Post by zirtico »

So this raises another question after reading through the other thread. You say that this is the sum of volume on the bid and the ask. What I am looking for is the volume traded within a given bar, the same as you have for your FX data, even if this volume is specific to Dukascopy's platform. The orders on the order book are passive (limit orders) rather than represent the actual volume traded in a bar (market orders that hit the bid or the ask). One of my indicators does use volume in this calculations and I'm testing my EA on both FX and I want to try it on indices as well, but if the equivalent information isn't available, it may not be feasible.

tickstory
Posts: 4883
Joined: Sun Jan 06, 2013 12:27 am

Re: Volume data on indices

Post by tickstory »

Hi Zirtico,

Tick data by definition is a price change that has occurred on the order book. At any given tick, a trade has not necessarily taken place and the bid/ask volume simply denotes the value of orders on the orderbook at the time. This is opposed to trade data which denotes an actual trade has taken place and therefore has the associated traded quantity.

If you want to model trading volume, you will need to obtain the actual trade data (Dukascopy does not provide this as far as I know). Alternatively, you will need to find an appropriate proxy for volume that is suitable for your strategy. In the case of MT4 brokers, they use the tick count since is often suitable as it gives a sense of the trading activity that is occurring on any given bar. That is, the higher the trading activity (tick count), the more likely a large price movement is occurring or imminent - similar to how you could use the traded volume metric.

Hope this helps.

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