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New way to measure volume

  • #1
  • First Post: Edited May 2, 2017 9:59pm Dec 15, 2016 6:35am | Edited May 2, 2017 9:59pm
maybe you realized that volume in forex is heavily time based.
that means the volume peak is day and hour depended. every hour on a day and every weekday has his own average volume.
normaly you can see a volume increase from monday to thursday with a decreasing volume on friday.
so i wrote an indicator which shows the average volume for the past X days or the average volume for the past X weekdays and compares the slope between the average volume and the actual volume.
so ConsiderWeeks=1 means that you look back e.g. 20 weeks and take the average volume only for the mondays.
now a green bar means that the volume increased stronger from the last bar to the recent bar as it would normally do.
the gray bars are representing the average volume.

i have found out for me that volume is not useful for my trading but maybe you find a way.
  • #2
  • Dec 15, 2016 7:00am Dec 15, 2016 7:00am
What do you mean volume is forex is not useful. The chart you attach is a perfect illustration why volume in forex IS quire relevant, event if it is a broker volume, works fine as general proxy. Maybe you are looking in wrong places?
  • #3
  • Dec 15, 2016 7:02am Dec 15, 2016 7:02am
The term "volume" is misused in MT4. Volume in MT4 is just a tick counter ... nothing else.

Please don't get me wrong. I am not saying that it is useless. Just clarifying what is Volume in MT4.
MT4/MT5 EAs/Indicators/Alerts coder
  • #4
  • Dec 15, 2016 7:36am Dec 15, 2016 7:36am
Quoting FerruFx
The term "volume" is misused in MT4. Volume in MT4 is just a tick counter ... nothing else. Please don't get me wrong. I am not saying that it is useless. Just clarifying what is Volume in MT4.

What Is The fastest Way To Check Volumes in forex world ?
  • #5
  • Dec 15, 2016 8:00am Dec 15, 2016 8:00am
Quoting FerruFx
The term "volume" is misused in MT4. Volume in MT4 is just a tick counter ... nothing else. Please don't get me wrong. I am not saying that it is useless. Just clarifying what is Volume in MT4.
http://www.moneyshow.com/articles.as...currency-26591
Quote
In 2011, Caspar Marney, head of Marney Capital and ex-UBS and HSBC trader, conducted an analysis of actual volume and tick volume in forex. He used data from eSignal, EBS, and Hotspot. For the pairs he studied, he calculated the correlation between tick volume and actual volume is over 90%.

there is no volume counter in forex because the market is not centralized.
  • #6
  • Dec 15, 2016 8:03am Dec 15, 2016 8:03am
Quoting mambomango
{quote} http://www.moneyshow.com/articles.as...currency-26591 {quote} there is no volume counter in forex because the market is not centralized.
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  • #7
  • Dec 15, 2016 8:07am Dec 15, 2016 8:07am
Quoting mambomango
{quote} http://www.moneyshow.com/articles.as...currency-26591 {quote} there is no volume counter in forex because the market is not centralized.
That was my point. Volumes in forex is a tick count. Nothing about traded volumes.
MT4/MT5 EAs/Indicators/Alerts coder
  • #8
  • Dec 15, 2016 8:10am Dec 15, 2016 8:10am
Quoting kpclick
What do you mean volume is forex is not useful. The chart you attach is a perfect illustration why volume in forex IS quire relevant, event if it is a broker volume, works fine as general proxy. Maybe you are looking in wrong places?
i mean i couldnt find an edge for me but that doesnt mean that "volume" is useless.
what do you think is the important information volume spikes or even a strong decreases in volume can tell you?
  • #9
  • Dec 15, 2016 11:26am Dec 15, 2016 11:26am
Quoting mambomango
maybe you realized that volume in forex is heavily time based. that means the volume peak is day and hour depended. every hour on a day and every weekday has his own average volume. normaly you can see a volume increase from monday to thursday with a decreasing volume on friday. so i wrote an indicator which shows the average volume for the past X days or the average volume for the past X weekdays and compares the slope between the average volume and the actual volume. so ConsiderWeeks=1 means that you look back e.g. 20 weeks and take the average...

From what you have said I still can't get how do you compare volumes for example from past Monday and this Monday. Yes you can compare Monday and Friday volumes and they will be different but what criterion do you use to measure difference in same days (periods)?
I use Tick Volume indicator on Hotforex, which also measures a number of price changes during certain period and compares it with same period in different time. As for me it looks more logic and reasonable.
  • #10
  • Dec 15, 2016 12:34pm Dec 15, 2016 12:34pm
Quoting leebsurag
{quote} From what you have said I still can't get how do you compare volumes for example from past Monday and this Monday. Yes you can compare Monday and Friday volumes and they will be different but what criterion do you use to measure difference in same days (periods)? I use Tick Volume indicator on Hotforex, which also measures a number of price changes during certain period and compares it with same period in different time. As for me it looks more logic and reasonable.
for example on a 4 hour chart and its monday, 16:00, period is 20: it will take the 16:00 bars from every monday of the past 20 weeks.
maybe its useless but its for experimental purposes.
if you turn ConsiderWeeks off it will just take the last 20 days for the average.
  • #11
  • Dec 15, 2016 4:02pm Dec 15, 2016 4:02pm
If this is something you find useful, I have attached two additional versions of getting that measurement. I don't have the mq4 files, but maybe it can give you ideas about display. I don't use any "yesterday" information, so I agree it is a bit useless, but some people might perceive it differently.

Attached File(s)
File Type: ex4 HourlyMovement.ex4   5 KB | 457 downloads

Attached File(s)
File Type: ex4 DailyMovement.ex4   7 KB | 456 downloads
You cannot be extraordinary by being normal
  • #12
  • Last Post: Dec 16, 2016 3:42am Dec 16, 2016 3:42am
Quoting mambomango
{quote} i mean i couldnt find an edge for me but that doesnt mean that "volume" is useless. what do you think is the important information volume spikes or even a strong decreases in volume can tell you?
The same chart as yours... zoom in please...

Attached Image (click to enlarge)
Click to Enlarge Name: AUDJPYH4.png Size: 64 KB


...considering above points regarding volume. It nowhere says it supposed to be a number of contracts exchanges. Possibly this bias comes from stock worlds. However argument that ticks/transactions is less worth then known number of contracts of specific currency, does not have much validity, considering how large orders are slices into smaller, practical pieces. Ticks/transaction are a reasonable proxy.

One more point to consider. Many believe that price has fractal nature, so do I. And what exactly stops believe that volume has also fractal nature?
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