FXCM Volume....

[fxRichard]

I'm trying to understand how volume is calculated coming from FXCM.

They claim to have 3 different types of volume:

1) Tick Volume - Number of ticks in x period
2) Transaction Volume - Number of trades in x period
3) Real Volume - Amount of currency traded in x period

I fully understand Forex is a decentralized market and that the volume is not really relevant etc. I'm simply trying to answer a question for someone else and I see some discrepancies here.

To start I am looking at the data through the VOL indicator which simply just plots Volume[0].

Jason from FXCM first stated that he thought it was Tick Volume, but he later came back stating that he thinks FXCM does not push volume to NinjaTrader and that NinjaTrader was providing some calculation.

My questions are as follows:

1) Is this data being sent by FXCM or is NinjaTrader calculating something to fill the void?
2) If this data is being sent by FXCM does anyone know "what" exactly is being sent?

The base value for Volume[0] is always 1 with FXCM, my assumption is this is simply calculating "Tick Volume" which counts either a) every time price changes or b) every time price ticks.

The problem is on a 1 tick chart you can watch the flat spots for every time price "updates" but the "volume" does not line up. I can provide images if necessary.

[FMtrader]

I sent the following questions to FXCM in Australia a few days ago and am yet to get an answer. I will post the reply when and if I get one as it is clearly related to this thread.

1. Exactly what is the volume data I see if I load the “volume” indicator on a NinjaTrader based FX chart. Is it the volume of all FXCM customers or is it some type of tick volume. I appreciate that volume data is usually unobtainable for FOREX so I would like to understand exactly what I am looking at.
2. Continuing on from the above why is the volume displayed on your Trading Station Charts much different to what I see for the same chart on NinjaTrader?
3. How much historical chart price data is directly available to my copy of NinjaTrader from the FXCM servers. Do your servers support data in tick format required to build chart bar types such as range bars and renko bars? Within NinjaTrader there is an option to download historical FOREX data from their servers and I am wondering whether this is mandatory or whether FXCM’s servers can handle all data requests?

[NinjaTrader_PatrickH]

Hello fxRichard,

Thank you for your note.

FXCM Volume sent from their API does not represent order executions or order updates. The FXCM Volume data they are sending represents the number of "tick" updates that occurred to the bid/ask during a specific time interval. The volume reported in NinjaTrader for "bid" and "ask" will be the same (this also includes last price, since NinjaTrader substitutes bid price for last).

[FMtrader]

I sent the following questions to FXCM in Australia a few days ago and am yet to get an answer. I will post the reply when and if I get one as it is clearly related to this thread.

1. Exactly what is the volume data I see if I load the “volume” indicator on a NinjaTrader based FX chart. Is it the volume of all FXCM customers or is it some type of tick volume. I appreciate that volume data is usually unobtainable for FOREX so I would like to understand exactly what I am looking at.
2. Continuing on from the above why is the volume displayed on your Trading Station Charts much different to what I see for the same chart on NinjaTrader?
3. How much historical chart price data is directly available to my copy of NinjaTrader from the FXCM servers. Do your servers support data in tick format required to build chart bar types such as range bars and renko bars? Within NinjaTrader there is an option to download historical FOREX data from their servers and I am wondering whether this is mandatory or whether FXCM’s servers can handle all data requests?

This is the response I got from FXCM:

"Thank you for your interest in FXCM.

To answer your first and second questions, volume indicators that we provide are usually representative of the existing liquidity operating through FXCM, that is the volume of FXCM customers. This does not cover the entire FX market, nor other financial institutions and brokers whom provide foreign exchange products. The volume as displayed in FXCM trading station platform may differ from NinjaTrader’s, as the sources they collect information from is different as mentioned in our disclaimers. Generally, I would endorse Trading Station’s volume reporting more due to the extensive support FXCM provides for the platform compared to NinjaTrader’s.

We do attempt to provide as much historical chart data to our clients as you can see on Trading Station, the charting for AUD/USD goes up the way to 1996. FXCM’s servers can handle most requests directed at them however it might take some time for you to download and load them up on a personal computer. I would recommend contacting NinjaTrader here as it is their platform that may impact the requests you made. As I know there are no issues with these on Trading Station.

Please let me know if you have any further questions."