Volume Units

[Botan626]

Hello,

I didn't find info I need in the guide https://ninjatrader.com/support/help.../?data_box.htm

so will ask here: what are the units of Volume in the Data Box? 421197 of what?

https://i.imgur.com/EsTIKAq.png

[NinjaTrader_PatrickG]

The data box shows information about the data series (and indicators) and a certain point in time on your chart. For example, if you had a 5 minute chart and hovered over a particular 5 minute bar, the volume value shown in the data box would be the volume for that 5 minute bar.

Volume is the number of shares or contracts traded in an instrument during a given period of time.

[Botan626]

So in case of GBPUSD on my screenshot that would be 421197 standard lots (1 lot = 100000 units of base currency)?

[NinjaTrader_PatrickG]

I apologize - I didn't notice that the instrument in your screenshot is a forex instrument. The answer is slightly different when plotting forex. Since there is no centralized exchange in forex, the volume data provided doesn't truly represent volume in a traditional sense. Forex spot data charting is traditionally driven from the bid side only, since no 'true' last exists. Provided values would not represent a centralized auction based market as with stocks or futures

What this number represents will be dependent on exactly who you're connected to for forex data.

[Botan626]

Ok, I'm connected to FXCM demo account. Please tell me what that number means then.

[NinjaTrader_PatrickG]

FXCM Volume sent from their API does not represent order executions or order updates (compared to what you see with a futures feed or what is reported from other forex providers).

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).

Since the API is "polling" based, not every tick makes it to the platform. Therefore, the volume updates you see are the number of bid/ask ticks that were missed since the last price update.

For example, if you are looking at the T & S feed (i.e., a 1-tick feed), the "Volume" that you see does not tell you how many trades were executed at that price. The volume reflects the number of bid/ask updates that occurred since the last tick was received. Video example - https://www.screencast.com/t/olYvmfMkLebF

Additionally, due to the "polling" nature of their feed, no two clients would see the same exact updates, which means the volumes will be different when comparing two users charts. This also includes the historical data servers that NinjaTrader uses to record from a live feed. As a result, historical volume can change from what was recorded live on a client connection vs what was recorded on historical data connection.