Home › Forums › Tickstory Lite › Issue/Bug tracking › Rookie question on "volume"

Viewing 3 posts - 1 through 3 (of 3 total)
  • Author
    Posts
  • imported_tickstory
    Participant
    October 28, 2013 at 11:05 am
    Post count: 1479
    #19412

    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.

    eyagan
    Participant
    October 30, 2013 at 4:22 pm
    Post count: 3
    #19413

    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:

    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?

    Is this logic and calculation correct?
    If so let me move onto tick level-volume… sample tick data below:

    Date

    Close

    Volume
    29.10.2013 00:00:02:354

    1,37880

    1,27999997138977

    Shouldn’t volume be sth like “1,37880*lots traded”
    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

    imported_tickstory
    Participant
    November 4, 2013 at 1:42 am
    Post count: 1479
    #19414

    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.

  • Author
    Posts
Viewing 3 posts - 1 through 3 (of 3 total)

You must be logged in to reply to this topic.