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Forex Universe

  • #1
  • First Post: May 24, 2008 12:42pm May 24, 2008 12:42pm
We have a saying at my job, "in the known universe." It's pretty common in business, I think, to collect all facts within a problem space, and make the best decisions possible.

I dedicate this thread to the "Forex" universe.... a collection of facts (and hopefully not myths) for basing systems on.

I hope this thread stays on topic.

DO NOT POST YOUR SYSTEM.

Let's just keep to forex facts.
  • #2
  • Edited 1:02pm May 24, 2008 12:47pm | Edited 1:02pm
Forex has no known volume. Volume would be particularly useful when combined with candlesticks.

My idea is to take the weekly COT report, and:

  1. if the long contracts are higher than the previous weeks, subtract the previous week
  2. if the short contracts are higher than the previous week, subtract the previous week
  3. add the two together for volume

QUESTION) Can we collect any volume information from ECN feeds?

QUESTION 2) Can we collect opening and closing transactions from the CBOT that create the COT reports?

Historical COT reports can be found here: http://www.cftc.gov/marketreports/co...istorical.html

  • #3
  • May 24, 2008 12:54pm May 24, 2008 12:54pm
Hrm, how is taking the difference in contracts (which is already displayed on the COT) an indicator of volume? Wouldn't it just be change in volume?

I'm not so sure COT is anywhere near reliable enough for that given the reporting requirements and way the data is gathered.

Anyway, one man's fact is another man's myth and vice versa. One could argue the only real truth here is one that applies to you. None of that matters when making a system, IMO. Skill comes from within.

Edit:
Can we get volume from ECN feeds? I don't see how. There is no centralized volume reporting. The best you'll get from that is volume thru the ECN.

Can we get closing and opening transactions from the CBOT that form the COT? Uhm... I fail to see exactly why that'd be of any use. The COT is merely a snapshot in time, it's Tuesday's data reported on Friday. One day, that's it. And the opening and closing price of that day won't even be as useful as a bar chart. It won't tell you anything about trading density at any given price.
  • #4
  • Edited 2:01pm May 24, 2008 1:00pm | Edited 2:01pm
Let's not get into "YOU are the source of your success or failure" in this thread. This is for collecting resources to base trades on, NOT trading itself. If you don't look at fundamentals, this probably isn't the thread for you.

Oanda Position Summaries:

http://fxtrade.oanda.com/tools/stati..._summary.shtml
  • #5
  • May 24, 2008 1:06pm May 24, 2008 1:06pm
Hi. Yes I agree that I don't have enough information about contracts to know their best use yet.

This was a nice start at babypips:
http://www.babypips.com/school/how_t...ot_report.html

The idea for change in volume is to show the previous weeks activity.... IE) to show great buying/selling pressure on the weekly candlestick.

If you look at any stock on stockcharts.com, you'll see huge volume some weeks with very little price movement. Sometimes it moves a lot. But it adds another dimension to your candlestick charts if you have that information....


Quoting Rabid
Hrm, how is taking the difference in contracts (which is already displayed on the COT) an indicator of volume? Wouldn't it just be change in volume?
  • #6
  • Edited 1:26pm May 24, 2008 1:13pm | Edited 1:26pm
Quote
Let's not get into "YOU are the source of your success or failure" in this thread. This is for collecting resources to base trades on, NOT trading itself. If you don't look at fundamentals, this probably isn't the thread for you.
Fair enough, but a discussion or collection of "facts" will tend to result in that... lol.

Quote
Oanda Position Ratios:
Does the oanda data give you time frames on those trades? I'm guessing it can't. Would be very difficult to use that data as it stands.

In IBFX we see "volume" reported... but it's just volume from other traders at IBFX. Speculators, and how successful those are... we don't know. Whether their positions are winning or losing and when they got in... not something we can know. Maybe a sudden shift in direction would tell us something tho.

I tend look more to things like:
http://fxtrade.oanda.com/currencyCorrelations/

Also:
http://www.rogerseconomics.com/Indic...DataSites.html
http://www.rba.gov.au/
http://www.centralbankrates.com/

Pretty much every central bank has a site w/ information.

Quote
If you look at any stock on stockcharts.com, you'll see huge volume some weeks with very little price movement. Sometimes it moves a lot. But it adds another dimension to your candlestick charts if you have that information....

The problem is, COT data isn't weekly data. It comes out weekly, but it's only 1 day's worth of data. Just because there's a large change in volume over 2 different reports doesn't mean the weekly volume has changed, it just means that one Tuesday had more trading than another. A single news event could effect that, I don't see a way to interpolate that to weekly data.
  • #7
  • May 24, 2008 1:34pm May 24, 2008 1:34pm
I see your point and its a good one.

The report is the collection of all long and short positions, not just the day's activity though....

Correct me if I am wrong, but if I buy a long contract Monday and sell (exercise it?) it Wednesday, it will be on that Tuesday report.

??

Quoting Rabid
The problem is, COT data isn't weekly data. It comes out weekly, but it's only 1 day's worth of data. Just because there's a large change in volume over 2 different reports doesn't mean the weekly volume has changed, it just means that one Tuesday had more trading than another. A single news event could effect that, I don't see a way to interpolate that to weekly data.
  • #8
  • May 24, 2008 1:41pm May 24, 2008 1:41pm
Quote
I see your point and its a good one. The report is the collection of all long and short positions, not just the day's activity though.... Correct me if I am wrong, but if I buy a long contract Monday and sell (exercise it?) it Wednesday, it will be on that Tuesday report.
I believe it will show up, yes. I think the COT is an inventory of all current positions held at that pit. The question will be then... how long have these positions been held? Short term contracts (news and spike trades) will come and go and skew the numbers. Is there a way to filter those outs?

Or just assume that equal numbers of short term traders would trade around both tuesdays? Obviously during changing economic conditions that wouldn't be true, but it's be a fair baseline assumption maybe.
  • #9
  • May 24, 2008 1:46pm May 24, 2008 1:46pm
A smart cookie. Good.

So I wonder if you can collect new contracts from the CBOT's trading platform... do it that way.

Quoting Rabid
I believe it will show up, yes. I think the COT is an inventory of all current positions held at that pit. The question will be then... how long have these positions been held? Short term contracts (news and spike trades) will come and go and skew the numbers. Is there a way to filter those outs?

Or just assume that equal numbers of short term traders would trade around both tuesdays? Obviously during changing economic conditions that wouldn't be true, but it's be a fair baseline assumption maybe.
  • #10
  • May 24, 2008 1:59pm May 24, 2008 1:59pm
Historical nonfarm payroll data... 98-06....

http://www.forexfactory.com/showpost...5&postcount=16
  • #11
  • Last Post: May 24, 2008 2:43pm May 24, 2008 2:43pm
my next thought for a nice sentiment indicator is the current rollover premium. we've all seen GBPJPY climb, due primarily to its generous long swap.

extreme swap differentials make a pair attractive or unattractive for investors. we saw the same bullish movement when NZDJPY had a generous swap.

does anyone know where to find monthly swap premiums for all pairs? i am researching this on google currently.... if you already have it, please share.
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