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Forex Intrday Volume Trading System

  • #41
  • Jan 18, 2009 6:25am Jan 18, 2009 6:25am
Quoting jaimeca
The question I have is can we rely on an MT4 broker's tick value. Clearly the tick count we observe on an Mt4 platform are solely generated by the traders at that broker. Eg IBFX generates its own , ODL its own etc. It may in no way be representative or aligned with interbank volumes that affect the market. This is why Alex is using the Futures volume because it is centralized and therefore aligned and representative of the true market. Eaprogrammer, would love to hear your point on this.

jb
If the volume is solely generated by the traders at that broker, then it means the price won't move if there is no traders @broker? and if only 1 trader registered in a particular broker and that trader will own the market? This is not true. If thats not true, then your issue is resolved.

On the other hand, broker's prices are different. That can only say the banks that the broker deals with is different. Therefore, signals generated in one broker cannot share with traders in a different one.
If everyone believes it, it will work.
  • #42
  • Jan 18, 2009 6:30am Jan 18, 2009 6:30am
Quoting lodol2
Quote:
Originally Posted by LuboLabo http://www.forexfactory.com/images/buttons/viewpost.gif
I think it would be useful have an indy that collects and show the high volume price of previus day and maybe for the week.
It's important to see if there are a previus big volume position, and where the price are respect to it, and if new high volume is higher.....etc...

EAprgrammer is your indy reset every new high?


Lubo....

Did you try to use as is existing indicator before bringing new ideas?
The Market pays you to be disciplined
  • #43
  • Jan 18, 2009 7:00am Jan 18, 2009 7:00am
Quoting mima
Did you try to use as is existing indicator before bringing new ideas?

Ya I will!!

Lubo
If I know how, I tell You!! Few but Good!!
  • #44
  • Jan 18, 2009 7:20am Jan 18, 2009 7:20am
Quoting jaimeca
The question I have is can we rely on an MT4 broker's tick value. Clearly the tick count we observe on an Mt4 platform are solely generated by the traders at that broker. Eg IBFX generates its own , ODL its own etc. It may in no way be representative or aligned with interbank volumes that affect the market. This is why Alex is using the Futures volume because it is centralized and therefore aligned and representative of the true market. Eaprogrammer, would love to hear your point on this.

jb
It' true, every broker has its own ticks data differerent from other, but this does not mean that observe the accumulation of this type of "volume" can not be realible.
We must try to check, I think it is also the intention of this thread.
Maybe using a broker with larger interbank incoming data wuold be better, I Know that same people use data from eSignal or other data provider to have more accuracy on volume data, but this costs much money and cuold not necessarily be better.

Lubo
If I know how, I tell You!! Few but Good!!
  • #45
  • Jan 18, 2009 7:22am Jan 18, 2009 7:22am
It is always said that volume in Forex is not indicative of where all the buyers/sellers are unlike a stock exchange since there is no central place or building [or whatever one wants to call it] where all trades are routed to.

If a broker deals with banks such as Bank of America, JP Morgan, and Citigroup only, does that mean the volume shown will comprise of all these banks?
  • #46
  • Jan 18, 2009 7:29am Jan 18, 2009 7:29am
I think it costs nothing to try, only then we can draw conclusions.

Lubo.
If I know how, I tell You!! Few but Good!!
  • #47
  • Jan 18, 2009 8:07am Jan 18, 2009 8:07am
I dont understand.
In the chart GBPJPY:
BMC MAX Price:135.20 vol 512
It means that this is the max volume for buy or sell?

BMC buy price: 135.20 vol 320. It means that you can buy at this price if volume gets 320 or more but below 512?

BMC sell price: 135.21 vol 197. It means that you can sell at this price if volumen gets 197 or more but below 512?
Thanks and sorry for my english

Quoting EAprogrammer
First of all, I would like to thanks Alex_S to inspire me to wrote a volume analysis indicator and this thread is dedicated for forex spot using intraday volume.

Please do not post any other file(ea/indicator) to this thread since would like to keep it clean. All updated ea/indicator will be post in post #1.

This indicator works for all brokers and for all pairs.
How this indicator works:
1) Attach to any chart
2) On top left corner, you will see:
i) BMC Max Price: xxx with volume: yyy (Price level accumulated with most volume(buy and sell))
ii)...
Attached Image (click to enlarge)
Click to Enlarge Name: gbpjpym5 jan 16 intraday volume analysis.gif Size: 34 KB
  • #48
  • Jan 18, 2009 8:29am Jan 18, 2009 8:29am
Quoting neurus
I dont understand.
In the chart GBPJPY:
BMC MAX Price:135.20 vol 512
It means that this is the max volume for buy or sell?

BMC buy price: 135.20 vol 320. It means that you can buy at this price if volume gets 320 or more but below 512?

BMC sell price: 135.21 vol 197. It means that you can sell at this price if volumen gets 197 or more but below 512?
Thanks and sorry for my english
Price originally at 133.02, and moves up to 133.50/52 area and sell start accumulating both buys and sells. Since you don't have access to the indicator before, Max Sell Vol reaches 133.51 earlier than Max Buy Vol reaches that level, but this doesn't alert us since the those sell volumes are absorbing those buys entered the market before.

But when Max Buy Vol reaches the same level 133.50/52, that alert us since previous BUYs were absorbed/closed. Then it means a new series of BUYs entered the market and therefore I LONG the market.
If everyone believes it, it will work.
  • #49
  • Jan 18, 2009 8:49am Jan 18, 2009 8:49am
What about this contribution, found on "traders laboratory":

----------------------------------------------------------------------
And a change in the price up one tick and down one tick in FX implies.......nothing. Literally, nothing. Doesn't mean a single sausage went through the market. Equally, could be yards and yards went through. The change in price is much more likely to be because the feed powering the chart is, at some stage in its lifecycle, a blended rate, and thus will update every time there's an update in one of it's 'spoke' feeds.

This is especially true of crosses, where each spoke feed would likely update each time one of the dollar legs updates. So in EUR/JPY for example, you could have a flurry of tick updates just because something is going through in EUR/USD or USD/JPY. means nothing to EUR/JPY - might have been no flow at all. But equally, it could actually be that EUR/JPY is moving, and then a volume stat that potentially looked to all intents and purposes absolutely identical could mean something entirely different.

SO if you just want to plot how many times the price has changed then great, but personally I can't see the use for it. I don't know anyone at all in interbank / wholesale circles who would give it the time of day.
-----------------------------------------------------------------------

Anyway, thank you for sharing your ideas - great stuff.
42
  • #50
  • Jan 18, 2009 9:07am Jan 18, 2009 9:07am
Quoting Freewheelin
What about this contribution, found on "traders laboratory":

----------------------------------------------------------------------
And a change in the price up one tick and down one tick in FX implies.......nothing. Literally, nothing. Doesn't mean a single sausage went through the market. Equally, could be yards and yards went through. The change in price is much more likely to be because the feed powering the chart is, at some stage in its lifecycle, a blended rate, and thus will update every time there's an update in one of it's 'spoke'...



There is no obligation to use it if you don't like it. Are you confident with convetional indicators such as MA, stochastick, RSI...etc? If yes go ahead.
Would you mind to share with rest of us what is worth time of the day for you?
The Market pays you to be disciplined
  • #51
  • Jan 18, 2009 9:28am Jan 18, 2009 9:28am
Quoting mima
There is no obligation to use it if you don't like it. Are you confident with convetional indicators such as MA, stochastick, RSI...etc? If yes go ahead.
Would you mind to share with rest of us what is worth time of the day for you?

Mima, why so upset?

Did I criticize you or the thread starter? NO. The contribution made by another fella is worth to think and talk about. If YOU don't understand how MT4 works, how interbank market works - then go ahead and learn something.
Where do you think volume in forex comes from?
Take you broker, InterbankFX for example. This broker does not deliver ALL the volume in FX, only the volume his LIQUIDITY PROVIDERS trade with. The more of them, the better. BUT, it seems that only few brokers want to tell you who the providers are. In this environment times can occur where your broker shows a complete different volume from what is on the table, simply because there are OTHER brokers with different and bigger liquidity providers.
You did know that?
Well, that leads me to my first question: Why so upset?

The idea of trading by volume is not new, and it is a very powerful tool. Me, I trade with volumes in futures and stock markets, and unless you don't use eSignal or similar platforms*** volume trading in forex (not currency futures!) is not as powerful as it could be. Sure, it is not complete useless, but once again: I made this quotation because I believed this information to be important - especially for noobs.
I'm sure, Mima, that you won't test the indicators on a demo, do you?

*** eSignal gives you access to more than one forex broker data feed, I think there are more than 20 of them.
42
  • #52
  • Jan 18, 2009 9:43am Jan 18, 2009 9:43am
Quoting Freewheelin
Mima, why so upset?

Did I criticize you or the thread starter? NO. The contribution made by another fella is worth to think and talk about. If YOU don't understand how MT4 works, how interbank market works - then go ahead and learn something.
Where do you think volume in forex comes from?
Take you broker, InterbankFX for example. This broker does not deliver ALL the volume in FX, only the volume his LIQUIDITY PROVIDERS trade with. The more of them, the better. BUT, it seems that only few brokers want to tell you who the providers are. In this...


I am not upset. In my post #38 I expressed similar opinion having in mind pretty same what you said. For e-signal data feed you have to have platform. All day long people are modifying this indicator although they didn't try it yet...
Ya, I will go directly to live trading....
The Market pays you to be disciplined
  • #53
  • Jan 18, 2009 9:53am Jan 18, 2009 9:53am
Thanks for sharing !

It is very importent make this indicator for off-line use, so it can backtesting the history data, get the most optimized strategy and parameter.

There is a way to make this indicator for off-line use is to simulate price movement inside M1 data, it can be more than 90% accurate compare the real time tick chart, and that's enough.
  • #54
  • Jan 18, 2009 10:11am Jan 18, 2009 10:11am
This is from esignal.com :



Tick Volume

Tick Volume is not an exact indicator. If you are familiar with the traditional uses of volume, you should quickly understand the significance of tick volume.

Traders generally use the following rules for volume analysis:

 

  1. If prices are up and volume is rising, the market is strong.
  2. If prices are up and volume is declining, the market is very weak.
  3. If prices are down and volume is rising, the market is weak.
  4. If prices are down and volume is declining, the market is strong.

Other rules you might find worthwhile are:

 

  1. In a bull market, volume has a tendency to increase on rallies and to decrease on reactions.
  2. In a bear market, volume has a tendency to increase on declines and decrease on rallies.
  3. Trading volume usually increases dramatically at tops and bottoms in the price chart.

Computing Tick Volume

The tick volume study requires an Intraday chart. The computation for the tick volume study simply counts the number of ticks during the interval specified on the Intraday chart. For example, if you are monitoring a 5-minute Intraday chart, the tick volume study counts the number of ticks that occurred during that 5 minute trading interval.

The activity in the futures instrument has a direct effect on the tick volume study. In slow moving markets, this study is almost useless.

The Market pays you to be disciplined
  • #55
  • Jan 18, 2009 10:44am Jan 18, 2009 10:44am
Quoting mima
a direct effect on the tick volume study.
Well, from the horses mouth - there is a difference between TICK volume and LOT volume.
How many ticks does a 1 Lot order produce, and how many a 100 Lot? No one can tell by ticks. That's why it is important to see order size (in lot), called Level 2 data.
There's another thread about volume, almost fell asleep:

http://www.forexfactory.com/showthread.php?t=136777

Alex shows some pictures how it works with correct (= lot) volume.

These are only my two cent.
42
  • #56
  • Edited 11:57am Jan 18, 2009 11:39am | Edited 11:57am
Greetings,

I like the idea of this volume indicator, but after installing it and trying to open on the first chart, but metatrader froze up and closed. I can not open my platform anymore and keep getting a "critical crash" error.

Any tips???

Thanks!



PS: Just rebooted and still unable to open my MT4 via interbank fx. This is terrible, not sure what to do. Any tips would be appreciated as I am not a programmer. Thank you.
PPS: Just searched for and deleted the indicator and can no longer open MT4 on my PC. Will have to download a new platform from my broker and lose all my chart setups, EA's, and template. Shit.
PPS: Yes, this is the most frustrated I have ever been with a computer.
  • #57
  • Jan 18, 2009 11:57am Jan 18, 2009 11:57am
Quoting jgospoda
Greetings,

I like the idea of this volume indicator, but after installing it and trying to open on the first chart, but metatrader froze up and closed....
Hold on don't do that.
  • #58
  • Jan 18, 2009 11:58am Jan 18, 2009 11:58am
If you do decide to download a new copy of MT4, save it in a new folder like version2 or something like that.
Then just copy over your templates indicators and EA from your old version to you new version. Also just open the old account number with the new version. Then you have everything you had before

BTW it sound like you did not update your MT4 to build 220
  • #59
  • Jan 18, 2009 11:59am Jan 18, 2009 11:59am
hi Ea programmer

yes but alex also usees daily and weekly volume data for intraday trading....but as you collect the data live its maybe not possible to program this

regards lodol
  • #60
  • Jan 18, 2009 12:04pm Jan 18, 2009 12:04pm
Quoting thatwasme
If you do decide to download a new copy of MT4, save it in a new folder like version2 or something like that.
Then just copy over your templates indicators and EA from your old version to you new version. Also just open the old account number with the new version. Then you have everything you had before

BTW it sound like you did not update your MT4 to build 220
Thanks for update. Yes, I did update. Here is a clip of the issue: http://screencast.com/t/A8qN7I1TOC

Thanks again for any tips.
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