Volume on market snapshot

adaled
16 Jul 2013, 17:48

That is the tick volume, it is the number of ticks.

Lgon
16 Jul 2013, 19:53

So it is equivalent to 1424 "trades"?

adaled
18 Jul 2013, 12:31

http://www.investopedia.com/terms/t/tick.asp

joeatbayes
22 Dec 2014, 03:09

RE:

How do I convert  TickVolume to Transaction Volume.      EG:  IN my code  /algos/cbots/show/591 I am using a line  MarketSeries.TickVolume.Last(1)  But this doesn't seem quite right. I don't want tick volume from   MarketSeries.TickVolume.Last(1).    I want actual units transacted.  Since any tick could represent a value from a fractional lot to several lots it seems that there is a huge difference in the actual value of money transacted for any tick move.    I think it makes more sense to record total units traded during the bar.      The theory is that  200 million $ traded during a bar that dropped 10 pips is more meaningful as momentum input than  2000 traded with the same drop during the same duration.   

The volume reading in the market snapshot tools is in what units. For example, a volume reading of 1424 in a EURUSD 15m chart is what?

Thanks

olddirtypipster
03 Jan 2015, 22:17

Not actual trades, but rather, available contracts.

If you see an ask price of 1.66524 @ 2.5M, it means that this LP currently has 2,500000 unit of this base currency to sell at this price. In terms of auctions, this price may or may not be the best offer.

If it is not the best, then it means that a competitor is selling at a lower price (for example 1.66523 @ 1.5M). If this better offer is accepted, then the orderbook reflects this and the price increases to the next best price. In this case it may be the previously quoted one. In this way, you would see an overall increase in the price on the DOM view. This is the core reasoning behind price movement on your candlestick chart.

Problem is that more often than not, the reason why prices change on the DOM is not because of an actual buy or sell. Often times, offers are placed on the orderbook, and then rapidly cancelled prior to being taken up. As there is no way of telling if an orderbook change is due to a buy/sell or cancelled order, reconstructing actual time and sales from a raw orderbook is anything short of a major challenge. LP's are also not willing to release time and sales information to the uninformed trader. You need to first be in the money to see the money.