FXCM new volume indicators

[siroki]

Hi,

FXCM recently added 5 new volume indicators to their Trading Station platform.

• Real Volume
• Transaction Indicators
• Directional Real Volume Indicator
• On Balance Real Volume Indicator
• Market Movers Index Indicator

Is this information available through NT as well?

Thanks.

[NinjaTrader_Jason]

Hello siroki,

We provide the VOL and OBV indicators by default in NinjaTrader. You can find them in the Indicator menu. Unfortunately, the other indicators are not present in NinjaTrader.

[Summer321]

Real Volume

Yes, however, the VOL indicator in Ninja Trader does not give the same data as the Real Volume indicator in FXCM's Trading Station. For example, yesterday at 18.00 (AEST) the hourly bar had a volume of 243M in Ninja Trader, whilst FXCM's real volume was 159M. The relative difference between bars is also not the same.

FXCM claim that their real volume indicator (& all 5 of their new volume indicators) use actual volume traded by their clients. What is the source of data for Ninja Trader's VOL indicator?

[NinjaTrader_Jason]

NinjaTrader receives volume data from the connected data feed. I will forward the suggestion to support the "Real Volume" indicator from FXCM in NinjaTrader.

[Harry]

FOREX is traded across various electronic networks, which makes it difficult to make an estimate for volume traded. Typically, all FOREX data feeds come with tick volume (number of FOREX transactions) and not with the nominal value of the transactions. This is also true for FXCM.

Tick volume is correctly displayed by NinjaTrader and can be used in a similar way as conventional volume.

It seems that FXCM now offers additional volume information, which is the volume traded by their customers. This volume does not necessarily reflect the volume traded in the FOREX markets. Also there is probably little historical backfill available for this type of volume. Therefore it would not make sense to replace the information currently transmitted via the volume field of the data feed - tick volume - with the new real volume. This would result in incoherent volume data for backtests and should be avoided.

[NinjaTrader_Jason]

Thank you for your feedback Harry. I will forward it as well.