Why isn't FX tick data reporting a volume of 1?

[Crassius]

Volume is not reported in FX data, and each tick should have a volume reported as 1. You can then use it as tick volume.

Both the FXCM data and MB Trading have seemingly random numbers reported as volume, which gets picked up by any indicator using volume. Tick volume has its uses, if inferior to real volume, yet this junk data reported as volume has n use at all, that I can see.

Please see attached pics. Am I mistaken here?

[NinjaTrader_MichaelM]

Hello Crassius,

Thank you for writing in. Forex trading does not take place in a single exchange so there is no place for central volume data to either be created or stored. That means that volume data for Forex does not exist except for what an individual broker reports for their own user base. Beyond this, 1 tick does not equal 1 volume. 1 tick is more like 1 trade. 1 trade can be of any given volume. You can test this with a 1 tick chart for any instrument with the VOL indicator applied. Unless every single trade happening on that instrument is for a quantity of 1, you will see the VOL indicator showing higher numbers.

Please let me know if you have any questions or if I may be of further assistance.

[Crassius]

While I thank you for your response, and largely agree, I disagree.

Forex does not report time an sales info. One tick in Forex does not mean 1 trade. In Forex, 1 tick is simply 1 price quote.

The numbers reported as volume in the screen shot of the historical database do have anything to do with the number of trades on that tick, and they have nothing to do with any volume traded on that tick.

In instruments without time and sales, tick volume can be used as a proxy for volume, with each tick having a volume of 1. Treasuries used to be traded without real volume, and people used tick volume as a proxy for real volume, with each tick counted as a volume of 1.

The volume reported in your Forex tick charts is of no use at all..... it doesn't represent a trade, number of trades or number of anything else like volume... contracts, shares, etc.

Again, a tick in Forex is noting but a price quote, and reporting 11 or 6 or anything other than 1 as volume is useless to the user.

[NinjaTrader_Kyle]

Hello Crassius,

Thank you for your feedback.

NinjaTrader will display the volume which is quoted by the market data source which the application is connected to however I do understand the point which you're making. I'm afraid that I do not have any further information about how MB Trading or FXCM generate the volume figures which are provided however MB Trading or FXCM support should be able to offer more information on this.

In the meantime, I will forward your comments regarding forex volume reporting to our development staff for further consideration.