Volumes

Sources of data to import to the program
Message
Author
vfc3
Posts: 3
Joined: Sat Aug 15, 2009 8:32 am
Location: Denver, CO

Volumes

#1 Postby vfc3 » Sat Aug 15, 2009 8:35 am

I just started playing with FT and started by importing the data from FT site. The data just includes a flat volume. Is there another source that includes buy and sell volumes? A lot of my strategies use that volume information.

User avatar
Terranin
Site Admin
Posts: 838
Joined: Sat Oct 21, 2006 4:39 pm

Re: Volumes

#2 Postby Terranin » Sat Aug 15, 2009 9:28 am

vfc3 wrote:I just started playing with FT and started by importing the data from FT site. The data just includes a flat volume. Is there another source that includes buy and sell volumes? A lot of my strategies use that volume information.


We do not have such a source, and FT can work only with 1 volume value per bar.
Hasta la vista
Mike

vfc3
Posts: 3
Joined: Sat Aug 15, 2009 8:32 am
Location: Denver, CO

Re: Volumes

#3 Postby vfc3 » Sat Aug 15, 2009 11:43 am

Terranin wrote:We do not have such a source, and FT can work only with 1 volume value per bar.


Blah...oh well thanks. Don't suppose there are plans to add this later?

ghamm
Posts: 37
Joined: Wed Feb 11, 2009 3:02 pm

Re: Volumes

#4 Postby ghamm » Sun Aug 16, 2009 12:17 am

vfc3 wrote:
Terranin wrote:We do not have such a source, and FT can work only with 1 volume value per bar.


Blah...oh well thanks. Don't suppose there are plans to add this later?

That really isnt something that is available in Forex.. Since there dozens of different liquidity providers, each with their own volumes..
Most times, Volume in forex simply means how many ticks per bar

vfc3
Posts: 3
Joined: Sat Aug 15, 2009 8:32 am
Location: Denver, CO

Re: Volumes

#5 Postby vfc3 » Sun Aug 16, 2009 10:15 am

ghamm wrote:
vfc3 wrote:
Terranin wrote:We do not have such a source, and FT can work only with 1 volume value per bar.


Blah...oh well thanks. Don't suppose there are plans to add this later?

That really isnt something that is available in Forex.. Since there dozens of different liquidity providers, each with their own volumes..
Most times, Volume in forex simply means how many ticks per bar


I understand...but even if you had the volume data from a single large provider, it would probably be representative of the market as a whole. Of course you wouldn't want to get volume from different source than tick data...

Not a big deal anyway...there are always more strategies to test :)

Josep
Posts: 1
Joined: Sat Feb 11, 2012 8:45 am

Volume information always the same for each m1 record

#6 Postby Josep » Sat Feb 11, 2012 8:51 am

I just started downloading data from xauusd pair and each m1 record contains the same value(4) for volume field. Is there any way to get some meaning information concerning the volume traded? It could be real volume or number of ticks or... I don't know what else? :cry:

User avatar
Tantalus
Posts: 302
Joined: Fri Mar 23, 2007 3:51 pm
Contact:

#7 Postby Tantalus » Sun Feb 12, 2012 12:14 pm

As was mentioned above, in Forex volume is generally considered irrelevant, since the vast majority of the trading volume occurs between major institutions and is unavailable to most liquidity providers and pretty much all retail brokers. Even the 'number of ticks' type of volume data is useless since retail brokers and liquidity providers almost always filter and massage the data they receive before they pass it on to their clients.

Forex data in general needs to be viewed in the long context; focusing on ticks, short timeframes and inaccurate derived data like volume leaves a trader far too exposed to the many noise sources in the system. I would strongly recommend ignoring volume entirely.
Tantalus Research - Developing 21st Century Trading Systems.

FT Support
Posts: 905
Joined: Sat Jul 11, 2009 10:54 am
Contact:

Re: Volume information always the same for each m1 record

#8 Postby FT Support » Mon Feb 13, 2012 5:33 am

Josep wrote:I just started downloading data from xauusd pair and each m1 record contains the same value(4) for volume field. Is there any way to get some meaning information concerning the volume traded? It could be real volume or number of ticks or... I don't know what else? :cry:


Free data that we provide do not have volumes, if you need volumes then you can download data from our data service (http://forextester.com/HistoryServiceDescription.html )
Check our other products here:
www.fx-metropolis.com
www.forexcopier.com


Return to “Data sources”

Who is online

Users browsing this forum: No registered users and 0 guests