Building an ATS - Logbook

Discussion in 'Automated Trading' started by tiagor, Dec 5, 2012.

  1. Right, you cannot get the real/total volume from a broker because there is no single exchange in Forex, so the last volume traded comes from your broker. MBT, being a retail broker, often shows small last volume traded numbers such 1K, 5K, sometimes larger, so I am not sure that MBT's volume highly correlated to the total market volume.

    What do you mean by "here is no time and sales data, just tick movement, which in MBT comes from their ECN connections."?
    I am using MBT's Quote API and they show Last Price (last price trade), Last Size (number of shares/pair qty last traded), also Last Bid, Last Ask, Last Bid Size, Last Ask Size. So they show bid/ask, and last price traded along with volumes.

    Do you know names of banks and partners where MBT gets its liquidity?
     
    #111     Dec 19, 2012
  2. tiagor

    tiagor

    Not trade volume but tick volume, which measures the number of tick changes in a given timeframe. Price movement is correlated to trade volume so you may think of it like market pressure. To try and explain how I use it, just imagine, for example, a big upbar on a 5 minute sample with low tick volume. I may infer from this that there is no supply pressure. On the other hand if the upbar has a relative (in relation to previous samples) high tick volume then there were a lot more price changes for the same price range, implying a lot more resistance to the move, and so on.

    Tick volume does not multiply by the number of lots since you cannot grasp all orders being placed. Hence, no reliable time&sales data.


    You probably get that data from the best price/trade on their liquidity pools

    I don't believe that information is public though I think some years ago they mentioned something like being connected to about 12 banks. I may be mistaken though.
     
    #112     Dec 19, 2012
  3. By tick volume you mean order arrival rate, I see your point now, thank you.
     
    #113     Dec 19, 2012
  4. lol. Anyone contending that this has a PnL impact?
     
    #114     Dec 19, 2012