My charting package seems unable to show volume for IB's IDEALPRO FX ECN. Is it the package or is IB hiding the volume? If it's hiding the volume, why in the hell is it doing that? I'm therefore guessing it is my charting app. What do folks use to chart FX with IB/IDEALPRO? Thx.
I'm using TWS and no volume is displayed for any of my IDEALPRO pairs. I use Metatrader for charting from a different data source that does include volume.
That seems crazy no? I mean there is a time and sales window within the TWS FX Trader applet. Is IB hiding volume? Also you say you use another FX data source. But given that its coming from a different marketplace, how indicative is the volume on your external source to the IDEALPRO ECN? Seems like you can't trust that it has empirical meaning on IDEALPRO? When I run BracketTrader, I can see the volume scrolling bar as it changes the bids/asks. Anyone have more information on this?
Yes and no. There is no real-time spot FX volume data released by any ECN, broker, or market maker. The only FX volume available to the retail trader is that of the CME FX futures.
Are you sure about that? Sorry to doubt you, it just doesn't sound right. I am sure HotSpot provides it, DukasCopy provides it, why doesn't IB provide it? And what do you mean yes and no? Either they are hiding it or they aren't. Of course there is volume information, so why are they hiding it? Also, what significance is there from the time and sales and the top of book volume info? Can that be used to track volume or not really since what we really want is volume in sales? I remember reading that for FX volume of the bid/ask can be used. IB does provide that in their interface and other apps show it, so how do I get that in a chart histogram? If this is how IB is going to be, I'll go to HotSpot.
HotSpot does not provide it, nor does Dukascopy (at least they didn't when I was a client of theirs). I don't see volume data in either platform. Yes they have the volume data on client transactions, but they're not technically "hiding it" per se. IB theoretically could publish the volume data of their client transactions (if doing so isn't blocked in their bank agreements), but I'm not even sure what benefit it would be. The volume in the CME FX futures is likely far, far greater than whatever spot volume IB clients are doing, so as a general volume indicator, the CME is the better option.
Interesting, I had considered using the pricing of FX futures and options as indicators, but not considered the volume. Is the volume of FX futures now roughly half or more than half of the daily FX trading globally (aggregate of spot + futures/options) ? I guess my question is if you're using the technique of Volume Spread Analysis, will the volume of the CME FX futures give you indications in the spot trading volume? Again I read in a description about VSA that using the volume in the ticks of FX can be substituted for the trade volume. By that I take it it was meant to use the bid/volume and ask/volume of each tick for a given bar. Does that make sense? That much IB and HotSpot do provide yes?
Oh no, not even close. Off the back of my hand, I'd say it's around 5% (that's in the EuroFX, significantly less in the other currencies). If you google the BIS Triennial Survey, the latest report released this year shows several tables breaking down the $3T in daily FX trading amongst spot, swaps, forwards, by currency, etc. You could then compare this data to volume data from the CME to get your percentage. I roughly recall the activity in EUR/USD alone being around $800B/day globally. I'm not sure if that includes futures in that total (the BIS report will specify), but as of right now, today's CME volume in the EuroFX is 45B euros notional. So there's the roughly 5-8%. The other currency futures are less liquid, so the percentages could vary more (likely to the downside). I can't say for certain. But the volume of the CME FX likely trumps that of any individual broker, so its data does have value from a spot comparison perspective. I'm not familiar with VSA so I can't comment there. IB does provide bid and ask size in their tick data, as does MBT, and likely HotSpot. If you do see "volume" data released by other brokers, investigate it, as it's likely just the number of ticks per period. The MT4 client used by many spot dealing desk brokers has a volume indicator, and it's confused by many who are interpreting it as actual volume.
Yes, volume of spot market is much much higher than of futures. At least everybody says. That`s why slippage on limit orders is also much higher on spot forex than on CME futures. Or did I get something wrong? Regards Hittfeld
Hotspot retail on the euro-platform does report T&S. HotspotFXi doesnt show it on the platform, but it maybe available through the API (IIRC the api docs). It is atleast available on a historical basis (you can purchase tick and T&S data from them, but its expensive). In my opinion volume data from any single venue is insignificant, due to the distributed structure of this market. The BIS figures are heavily skewed too, in my opinion. In the FX market, you would have to accout for the second and third wave effect too. For example, take a 20 mio. trade on Hotspot, one participating bank gets the execution, and then they hedge the position on the interbank market (i.e. EBS). Now all of the three platforms report 20 mio. - and there sure are situations where a trade gets passed through more often, multiplying the volume each time. Since everyone is so secretive about their flow and how much they keep in their own books/can internalize, its futile to try to come up with any meaningful stats of the overall market.