How to get the volume of an index

Posted By: nanotir

How to get the volume of an index - 03/06/16 12:05

Hi

I have read in one post that forex has no volumen. But someone has told me about the tick volumen. I wonder if this is possible to get with zorro and how for forex.

However index as Nas100 and so on have volumen. How can it be obtained?
Posted By: Sphin

Re: How to get the volume of an index - 03/06/16 12:51

I was busy for a while figuring out about volume of currency pairs and according to my knowledge (that might be incomplete and without warranty) you are right, there is no volume all over the Forex because Forex is not an exchange in classical sense but a decentralized market. So each broker has only information about the segment of this market in which he/his customers is/are involved. But the bigger the broker is and the more volume of this market he handles the more representative is his volume in general (e.g. FXCM). There are 2 'kinds of volume': the real volume and the tick volume. While the real volume is the turnover of traded contracts, the tick volume is the number of price fixings within a candle. There are studies that both kinds of volume are correlated. FXCM does not provide his real volume via the API but his tick volume. But tick volume is not accounted in the historical .bar files of Zorro. Alternatively, you can account tick volume via .t1 files using tick() for counting the ticks manually. Caution: all those information are only my latest findings, if something is wrong please correct me so that we all can learn maybe a little bit more.
About the volume of indexes I don't know, I didn't take care about up to now.
Posted By: nanotir

Re: How to get the volume of an index - 03/06/16 17:39

Could it be possible to open 20 zorro demo accounts with 20 biggest brokers and get the tick volumen to each of them to get the current real tick volumen of an asset by combining all those together somehow?
Whats the diference between the tick volumen of one asset in one broker and the same asset in another broker? Is the difference important of the variations of tick volumen in one broker are also observed on the other one?

In case of indexs as NAS100, the volume is the amount of open contracts with that broker. It can be used to exploit breakouts. Someone told that one can access to that info with ninjatrader, not sure if it is possible with zorro.
Posted By: Sphin

Re: How to get the volume of an index - 03/06/16 18:27

What are your expectations of the information about volume? Often it is used as a secondary indicator to estimate the validity of breakouts, esp. in long conditions. Therefore it is more important that you have a representative view about the volume's behaviour rather than exact numbers and in this case infos of one big broker are IMO already sufficient. This concerns as well to the real as to the tick volume.
Posted By: nanotir

Re: How to get the volume of an index - 03/06/16 20:24

Good to know that it is enough with the info of one broker. I guess that the combination of the info of more than one broker is just pure research.
Yes exactly, I want to use it for breakouts.
Posted By: boatman

Re: How to get the volume of an index - 03/07/16 01:24

While there is no official volume for spot forex, being an over-the-counter product as opposed to being traded on an exchange, some sources suggest that tick volume can be a useful proxy for actual volume. See for example Tick Volume vs Actual Volume.

To get tick volume in Zorro, you could increment a counter within a TMF whenever a new tick arrived.
Posted By: nanotir

Re: How to get the volume of an index - 03/07/16 12:34

Really interesting research.
Can it as well be used tick volume for assets which actually have a volume as indexs? Is there a way to ge the number of open contracts of an asset in the market as there is for ninjatrader or it is just enough to use the tick volume?

And well... how do I created that counter? Do I open a phantom trade and if the traderesult changes, I increase the counter? But how do I measure that change in the traderesult? Should I save it into a series? And then it has to be a series in the run function which save the tickvolume of each bar? Something like this? No idea tongue
Posted By: boatman

Re: How to get the volume of an index - 03/08/16 10:24

What about using the tick() function? Something like:

Code:
int thisBar, ticks;

funtion tick() {
   if (Bar == thisBar) {
      ticks += 1;
   else { 
      thisBar = Bar; //increment thisBar to start counting a new bar
      ticks = 0; //start counting ticks from zero again
   }
}


I haven't run this, but it should work.

Re: open number of contracts - not sure how you get this unless you are the broker.
Posted By: nanotir

Re: How to get the volume of an index - 03/08/16 15:16

Thanks

Yes. It works
Posted By: nanotir

Re: How to get the volume of an index - 03/17/16 11:59

Hi

It was a confusion I had. I thought that ninjatrader provides this information and that ninja gets it from the price it receives. Well... ninjatrader actually receives it but from OFA http://www.orderflowanalytics.com/next-generation-trading/
I think OFA gets the info from esignal but not sure.
Maybe it can be implemented in zorro.
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