Trade volume on tick charts

[investorcat]

I would like to use tick charts on my NinjaTrader platform. My problem is that the volume is also represented as ticks, so all I see is a series of 'soldiers' of equal height, with each one representing my tick value (transactions).

So does any one know how to select trade volume on a tick chart, and then have volume reported in trade size, which gives me variable volume bars?

[NinjaTrader_ChelseaB]

Hello investorcat,

This will depend on your connection.

Currently, testing Kinetick, the volume for the ES 12-15 on a 1 tick chart is not giving uniform 1 volume bars. This does fluctuate and reflects what is shown in the Time & Sales window.

Below is a link to a quick video I made to test this.

http://screencast.com/t/aoCb1a2JP

[investorcat]

My data feed comes from 'Continuum' (Ninjatrader B.) I'm trading the YM on a 700 tick chart, and when I add volume to the chart I only get a series of volume bars with epual height. Could you please try to setup a 700 tick chart and then add volume to it?

I have tried to insert an image to this message - but no luck.

[Harry]

My data feed comes from 'Continuum' (Ninjatrader B.) I'm trading the YM on a 700 tick chart, and when I add volume to the chart I only get a series of volume bars with epual height. Could you please try to setup a 700 tick chart and then add volume to it?

I have tried to insert an image to this message - but no luck.

You would get equal height volume, if you use a 700 volume chart.

For a 700 tick chart there should not be uniform volume.

Only if you chart FOREX instruments, you may get uniform volume with a tick chart. This is because most providers of FOREX data do not supply notional volume, but tick volume. Please see chart attached, which shows (correct) uniform volume for $EURUSD. But this should not be the case with YM 12-15, as is shown on the second chart.

[investorcat]

Hi Harry

The tick chart you just posted displays tick volume. Try to compare bar size and volume - they mach. Nowhere on the chart would you see high volume and a narrow bar - and thats because its tick volume and not real trading volume.

[NinjaTrader_ChelseaB]

Hello investorcat,

Attached is a screenshot of the YM 12-15 while connected to NinjaTrader Continuum.

The volume is similar but varies by about 100 from bar to bar.

[NinjaTrader_ChelseaB]

Hello investorcat,

With the charts shown by Harry, on the first chart is the $EURUSD instrument. This a Forex pair.

With forex there is no centralized exchange meaning the volume cannot be tracked. If any volume is showing this is not volume of the entire market but just the volume of your brokerage.

As the volume with forex has no meaning, many data providers and brokerages do not record the volume and these are reported uniformly.

However, the second chart is the YM 12-15. This chart is not uniform in the screenshot. The YM is a Future and is traded on a centralized exchange called the CME (Chicago Mercantile Exchange). This centralized exchange is able to track the volume of trades on its system and does report volume of those Future instruments.

Further, while the NinjaTrader Continuum does not support Forex instruments, it does support Futures.

[investorcat]

Hi Chelsea

I did not post any charts Harry did :-)

If you take a look at the chart you just posted, then you will see that compared to a time based chart, the volume displayed is very uniformed. There is hardly any difference between the volume bars, and you can't read anything out of it. Compare with a 5 min chart and you will see the difference.

[NinjaTrader_ChelseaB]

Hello investorcat,

I saw that and had to edit my post.

However, the volume looks about right. With the same amount of ticks there should be similar volume with some variation between bars.

What are you seeing as the issue with the YM chart I have posted?

[Harry]

Hi Harry

The tick chart you just posted displays tick volume. Try to compare bar size and volume - they mach. Nowhere on the chart would you see high volume and a narrow bar - and thats because its tick volume and not real trading volume.

This is what I have written below. The FOREX volume supplied by all data feeds is tick volume.

But the volume shown for YM is real volume, not tick volume. The question here is how volume is being reported by the exchange. If you have a large order, it is typically crossed with a whole bunch of smaller orders. The ticks refer to the smaller orders, therefore they are mostly broken down. For YM there are no really large orders, therefore the volume bars that you will notice are the result of a statistical fluctuation of orders sizes between 1 and 10 lots.

On a 700 tick chart for ES you would find more outliers and larger variation around the average volume. In order to see a larger volume fluctuation for YM, you would need to take a smaller period tick chart. In this case a 10-lot transaction will stand out and increase the volume of the bar that contains it, I have attached a 10.tick chart, which probably looks the way you would like to see it.

It is all about definition of what is a tick - by the way this was recently changed - and it is all about statistics. There is definitely no problem with the datafeed.

[Harry]

Or best open a 1-tick chart, and you can see the volume of every single transaction that took place. I do not think that the chart below is uniform.

The uniformity of the 700-tick is a simple consequence of the law of large numbers.

[investorcat]

Ok that makes sense. Guess I have to trade on a smaller tick chart then.
I'm on Copenhagen time, so time for bed

But a 10 tick chart is not something I can use in my trading - Because if we were watching a tick chart following the release of the NFP data, then the candles would form as though being fired from a machine gun, and therefore nothing I can trade of.