Interactive Brokers Forex Volume Response

[jmflukeiii]

I asked IB what data is being provided to create the Volume histogram I see on my NinjaTrader charts (i.e. what data is being provided to create this since it doesn't appear to just be tick volume like most forex brokers because it shows up in the Billions and seems to be independent of price movement). This is their response:


SInce IB does not record trade related information for FOREX we do not provide volume, unfortunately I am not sure what this value is identifying but for further assistance it is essential you contact Ninja Trader for assistance.

To recap Forex does not contain volume, IB does not map any volume related information for Forex to any third party vendor. It is possible Ninja Trader is using this field as an identifier for different information when loading a Forex chart and it may not actually refer to volume data.

Regards,


IB API Support

[Radical]

I doubt this has anything to do with NT specifically, because you can also see this "volume" with other platforms. I would ask IB again.

That said, maybe someone here knows what this is all about anyway?

[NinjaTrader_Brett]

Hello,

We are using TICK data to build volume charts from IB. These charts will only build in live off the tick data. provided from IB

-Brett

[NinjaTrader_Brett]

However i will further add there is no central market for forex. Therefor there is no way with forex markets to do any type of correct volume analysis. Therefor there really is no real point to this with forex.

-Brett

[jmflukeiii]

So there's an average of 5Billion ticks per minute? Or is it just using the bid/ask size at a given tick as a display for the volume for that tick? Also i see volume move up without prive moving.

[Radical]

Also i see volume move up without prive moving.

Just an aside, tick volume can increase without price changing.

Edit: according to the above post, I'm wrong.

[NinjaTrader_Brett]

NinjaTrader builds forex charts off the Bid price. This is what is used as there is no central market so no trade tape or last market data type like what you have futures when you have a tick that means a trade occurred.

-Brett

[jmflukeiii]

Okay so this is no different than any other volume data from any other broker then, just a collection of price movements, but because IB shows the bid size, NT just takes that as the volume to display for that tick.

[NinjaTrader_Brett]

Correct, however with Forex each forex broker would have different volume reported on their feed.

-Brett

[pbmi66]

I have printed the Bid/Ask/Tick data to the Output Window for several forex pairs, using Interactive Brokers data feed.

It seems to me that NT reports:

1. Under MarketDataType.Last, e.Price = Bid Price and e .Volume = Bid Size
2. Under MarketDataType.Bid, e.Price & e .Volume appear correct
3. Under MarketDataType.Ask, e.Price is rounded UP to 4 decimal places, ie 0.91335 is reported as 0.9134, and e.Volume is correct

Is there a reason why Ask Price is rounded up?

[pbmi66]

OK, solved this by changing tick size in Instrument Manager. Now, all Bid/Ask price/volume values are correct.

Strange how Bid Price was ok beforehand...