Ticks with a volume of 0?

[ToMer_K]

Hi,
In the "Code Breaking Section" documentation you wrote the following:

Bars with 0 Volume
In previous versions, the NinjaTrader core was designed to replace a tick with a volume of 0 with a volume of 1. This resulted in all ticks having a volume value of at least 1. NinjaTrader 8 has removed that design policy and will now allow ticks with a volume of 0 to be processed. This policy change may require logic changes to any custom bar types, indicators, or strategies which may have previously assumed volume would always be greater than 0.

I was wondering how can a tick have a volume of 0? Are we talking on OnMarketData events of bid, ask and last with 0 volume or OnBarUpdate calls with 0 volume because of no tick in the bar time period?

Any reason for an exchange to send redundant data that contains volume of 0?

Please provide an example if possible.

[NinjaTrader_ChelseaB]

Hello ToMer_K,

With Forex there is no centralized exchange. There is no exchange that is able to track all of the transactions. Instead these transactions happen between specific banks.

Any volume reported represents only your brokerage's trades as all other trades between other banks cannot be seen.

Because of this, data providers and brokerages may not save any volume with historical data as this should not be used when trading Forex.
With NinjaTrader 7, this would be represented as a 1, as the backend would not be able to process a 0.
With NinjaTrader 8, this will be a 0, as the backend is now able to process a 0.

Also, this is true of indexes (such as the ^TICK) which cannot be traded and also store a blank for the volume which in NT7 will be a 1 and in NT8 will be a 0.

[ToMer_K]

Thanks.

So as I understand it will not have any implication on futures?

[NinjaTrader_ChelseaB]

Hello ToMer_K,

That is correct, this would not affect futures which do have a centralized exchange which does report accurate volume.