Forex volume data on daily/weekly chart

[monoblog]

Hi all,

I have searched the forum and looked thru the knowledge base but couldn't get a definiteive answer to the question: Why no volume data on daily and weekly forex chart? I subscribe to GTIS forex data feed with market depth.

Thanks in advance.

mb

[ScottJ]

That's because the volume you see on intraday charts for Forex contracts is equal to the # of updates, not actual volume or trade sizes. Forex data only contains bid/ask data (where bid is mapped to the last field) so no actual volume exists. Our procedures for daily capture (for historical data) are looking for true volume figures, not # of updates.

Thanks.

[monoblog]

Thanks ScottJ for the quick reply.

mb

[Laurentius]

Hello ScottJ,

I just found this thread and read your post.

If I understand correctly what you wrote you are acctually saying that with GTIS Spot FX contributors eSignal is actually gathering true transaction volume which was traded each day and not tick volume? Could you please confirm?

If I have understood correctly, are the volume data gathered from all contributors, or only from certain providers?

Again if I understood it correct, are the procedures for this so reliable that the volume data for each day is consistent?

Thank you,
Laurentius

[eostrom]

forex volume

All of our Forex data is calculated the same as fare as volume goes. Volume on forex is just a number of updates the symbol has experienced so it's not actual trade size. Hope this clears things up a bit

[Laurentius]

Re: forex volume

Originally posted by eostrom
All of our Forex data is calculated the same as fare as volume goes. Volume on forex is just a number of updates the symbol has experienced so it's not actual trade size. Hope this clears things up a bit

Thank you for your quick reply Eric.

This is what has always been my impression too, but it's kind of confusing when Scott wrote: "Our procedures for daily capture (for historical data) are looking for true volume figures, not # of updates". So this made me ask.

Laurentius

[eostrom]

I see why that quote is a bit confusing. What Scott is saying is that our daily capture is looking for a true volume number that isn't there for Forex symbols.

[Laurentius]

Aaah, I see. When you put it that way it is understandable.

Thank you Eric