Forex ECN Time and Sales?

Discussion in 'Forex' started by FutureScalper, Aug 11, 2011.

  1. Is anyone aware of an ECN Forex brokerage which offers a Time and Sales via an API connection? So this is a somewhat technical question.

    I'm currently immersed in a high performance Forex EUR/USD trading system using MB Trading's API, and they offer for EUR/USD and other such spot currencies, a "pseudo time and sales" from their market depth API in Forex. It's not a real Time and Sales, of course.

    This pseudo T&S is only a streaming log of the most recent inside BID and ASK price/volumes which are quoted, and says nothing about whether actual transactions occurred. So it would be inferential, at best, to try to estimate a Time and Sales from that sort of data.

    Now, any Forex ECN *could* certainly offer a true Time and Sales, because an ECN is sort of a "poor man's Globex" or, rather, a matching engine analogous to the more mature exchanges.

    In the case of MB Trading, although they could theoretically offer a Time and Sales from their ECN, they do not, and don't have any plans to do so...

    This would be using a realtime API.

    So, does anyone know of a Forex brokerage with an API which would be able to provide a Forex Time and Sales off their ECN execution?

    Thanks!

    FutureScalperFX
     
  2. Pippi436

    Pippi436

    Supposedly Hotspot publishes T&S on 1 second delayed basis via api. But call them to confirm.

    Not sure tho how T&S of any single venue would be useful in a decentral market.
     
  3. Perhaps a single venue is representative "enough" :)

    Very interesting, thanks. As to your comment, it turns out that T&S analysis in the 6E Futures market maps incredibly accurately on EUR/USD Forex price movements. Also, 6E Depth Of Market analysis is strongly correlated, probably as strong or stronger indication.

    One would almost have to assume a "coordinated" effort. I'll stop short of using the word "conspiracy". Let's just say that the same market movers are "participants" in both markets, also something I would not have expected until I looked very closely at it.

    T&S (aka tape reading) is also not necessarily the right indicator, because it refers to actual trading.

    Additional analysis I've done quite successfully on a Forex DOM is a rough variability analysis, which is moderately well correlated with price direction.

    Ya learn something every day in trading :)
     
  4. This Time & Sales stuff is super interesting. I just learned about this "level 2" stuff recently and was wondering about whether it was applicable to forex as well as stocks.

    Feel free to elaborate on this very interesting subject with pix and/or more details!!!!
     
  5. Well, one thing is that Time and Sales or "order flow" analysis describes actual trading. Whereas Depth of Market "DOM" analysis is able to predict based upon changing patterns of quotes, in preparation for trades which will take place in the near future.

    For example, when Market Maker wants to move the price up, the variability of higher priced Ask tiers on the DOM will collapse, etc.

    By observing actual trading patterns, combined with quote patterns on a DOM, a high degree of predictability can be obtained in short term scalping.
     
  6. Cybren

    Cybren

    Currenex you get T&S much like Hotspot (actually even faster, Hots publishes a bit delayed)