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.
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