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.