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NT 7 vs NT 8 Time & Sales.

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    #16
    For tick data each "tuple" of price/volume represents a 'tick' that's been received. A tick being defined as a bid/ask offer update. There is no 'trade' ticks since there is no volume and there is no ticker tape of trades being executed for forex. Its just bid/ask updates of where FXCM will fill orders for buying and selling. When you look at a T&S in NT7 you will see 'last' which is replaced with 'bid' data and the volume will be the number of bid/ask changes that occurred (on FXCM's servers) between the time that you received the snapshot bid update 'tuple' in your T&S or historical data manager window.

    Its easy to get hung up on the terms so happy to try to clarify something further to help it make sense what you see for forex.

    Note: Kinetick's FXCM data feed they don't send volume per 'tuple' and we sub in 100K base in that case in both NT7 and NT8.

    Minute data is completely different as minute data 'still driven off bid prices' will be the total range inside a minute of all bid offer updates recieved for that minute. Volume on the minute bars will be the number of bid/ask offer updates 'total/in aggregate'.

    -Brett
    BrettNinjaTrader Product Management

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      #17
      Thanks Brett. I think it's getting clearer. So let me see.... if I were to sum the number of market data "ticks" (i.e., bid/ask offer updates) which occur from the open "tick" of a minute price bar to the closing tick of that minute price bar, I would expect to see that sum be equivalent to what you would store (in HDM) as the minute "volume" (i.e., total number of bid/ask offer updates).

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        #18
        Getting close, however more specifically you would have to sum the volume of the ticks to equal the volume of the 1 minute bar that contains those ticks.

        You can't just sum bid/ask updates since that assumes you receive every bid/ask offer change from FXCM which isn't the case. You only get a polled update ever X milliseconds which is defined by the FXCM API. Volume will hold the 'true' number of bid / ask changes from the server.

        -Brett
        BrettNinjaTrader Product Management

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          #19
          Well, that's even better. So even though the tick "volume" is always 100k, it will still sum correctly and reconcile with the minute "volume" ?

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            #20
            It did with NT8. However like I mentioned we're reverting to the NT7 style where we don't send flat 100K anymore. We will send the number of bid/ask changes as volume reported from FXCM.

            Your last question makes me concerned we might not be on the same page. Feel free to email me at brett.barrett[at]ninjatrader.com directly and include your number. Sometimes its easier to hash out such things on the phone.

            -Brett
            BrettNinjaTrader Product Management

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