Dear All,
I am very new to the Tickstory environment.
Can you please help me sort out this issue with "the volume data"?
When I run the "Data Inspector" for EURUSD in 1mn resolution this is what I see as volume:
0,150000005960464
6,52999991178513
8,25
3,75
11,25
15,8300000429153
and so on...
>>>My first question is that if these long digits are normal??
>>>Second question , I would like to convert the volume in terms of contracts (i.e. volume/price)
I have read that these figures are in "millions" and in the base currency value (i.e. EUR in this case)
Therefore, let me try to find out the volume in terms of contracts:
Example 1m bar : O-H-L-C = all equal 1.38055 and volume is 0,150000005960464
(0,150000005960464/1.38055)*1mn= 108652,35 =~ 108652 contracts
Would you approve that calculation?
Thanks for your help...
Rookie question on "volume"
Re: Rookie question on "volume"
Hi Eyagan,
The numbers are expressed in millions, so hence the fractional amounts. The volumes are summed for each bar, so hence the rather "odd" looking fractional volumes.
A standard lot in Dukascopy is 1m, so effectively it is showing the number of contracts on the bid & ask. Of course, depending on your own broker's contract size, you would need to adjust it accordingly.
Not exactly sure what you are trying to do, but just be mindful that the volume data obtained from Dukascopy is specific to their trading platform. I would be restricting any dependence on these values to merely monitoring momentum changes assuming your goal is to develop a trading strategy with this information.
Hope this helps.
The numbers are expressed in millions, so hence the fractional amounts. The volumes are summed for each bar, so hence the rather "odd" looking fractional volumes.
A standard lot in Dukascopy is 1m, so effectively it is showing the number of contracts on the bid & ask. Of course, depending on your own broker's contract size, you would need to adjust it accordingly.
Not exactly sure what you are trying to do, but just be mindful that the volume data obtained from Dukascopy is specific to their trading platform. I would be restricting any dependence on these values to merely monitoring momentum changes assuming your goal is to develop a trading strategy with this information.
Hope this helps.
Re: Rookie question on "volume"
Thanks for the answer, but frankly I am as lost as before...
The example I had given included a special 1m bar.
All the trading in that particular minute realized on the very same price: 1.38055
So if I wonder for "how many lots were traded on this bar?" the only thing I should do is to divide the volume to 1.38055.
As done below:
If so let me move onto tick level-volume... sample tick data below:
And therefore shouldn't volume be some number which is dividable by the price 1,37880?
But 1,279999... is none of them??
I am sure there is a very small detail that my tired brain misses? But what...
Thanks
The example I had given included a special 1m bar.
All the trading in that particular minute realized on the very same price: 1.38055
So if I wonder for "how many lots were traded on this bar?" the only thing I should do is to divide the volume to 1.38055.
As done below:
Is this logic and calculation correct?Example 1m bar : O-H-L-C = all equal 1.38055 and volume is 0,150000005960464
(0,150000005960464/1.38055)*1mn= 108652,35 =~ 108652 contracts
Would you approve that calculation?
If so let me move onto tick level-volume... sample tick data below:
Shouldn't volume be sth like "1,37880*lots traded"Date ------------------------- Close ------------ --------------- Volume
29.10.2013 00:00:02:354 ------------- 1,37880 ---------- 1,27999997138977
And therefore shouldn't volume be some number which is dividable by the price 1,37880?
But 1,279999... is none of them??
I am sure there is a very small detail that my tired brain misses? But what...
Thanks
Re: Rookie question on "volume"
Hi Eyagan,
The "ask volume" as defined by Dukascopy is "Volume available at the best ask price on the market" and the "bid volume" is the "Volume available at the best bid price on the market". Tickstory provides the sum of these two values for any given tick. This number is then summed for every bar (1m, 5m, etc).
To answer your question, it is not possible to calculate the lots traded on a bar because there is no such information available regarding what was traded in an FX market. All you effectively have in the information is the level of volume /"activity" within that bar - that is, how much volume was available at a given time on both the bid and offer through the prices that constituted that candle. So in your tick volume example, if you add both bid and ask volumes throughout that candle, you should get the volume that is being exported.
Hope this helps.
The "ask volume" as defined by Dukascopy is "Volume available at the best ask price on the market" and the "bid volume" is the "Volume available at the best bid price on the market". Tickstory provides the sum of these two values for any given tick. This number is then summed for every bar (1m, 5m, etc).
To answer your question, it is not possible to calculate the lots traded on a bar because there is no such information available regarding what was traded in an FX market. All you effectively have in the information is the level of volume /"activity" within that bar - that is, how much volume was available at a given time on both the bid and offer through the prices that constituted that candle. So in your tick volume example, if you add both bid and ask volumes throughout that candle, you should get the volume that is being exported.
Hope this helps.