# VSA on FX - Tick volume a proxy for volume?



## WaveSurfer (16 March 2010)

tech/a said:


> .....The concept derived from Wyckoff is very powerful and one of my main tools.....




Thanks tech.

This looks extremely interesting and best of all logical (can't argue with the laws of supply and demand). I just found the book "Master the Markets" in your other thread. Will be reading this one with great interest. And doing some research on Mr. Wyckoff.

Oh, how does this relate to forex? I see it is being used; but on tick volume - is this correct? What are your thoughts on this?

Cheers again mate


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## tech/a (16 March 2010)

*Re: Volume: How can it be used in trading?*



WaveSurfer said:


> Thanks tech.
> 
> This looks extremely interesting and best of all logical (can't argue with the laws of supply and demand). I just found the book "Master the Markets" in your other thread. Will be reading this one with great interest. And doing some research on Mr. Wyckoff.
> 
> ...




Yes correct.From what Ive seen in some of their live trade webinars it works just as well.

Ive not traded Forex.

But traded the SPI for a couple of months.
Enjoyed it and did ok but dont have the time to trade short term intraday due to a group of people who want to work for me and another lot who want me to build things.

Look forward to trading some currency pairs. Should get the feed and watch the action for a few months to get a feel.

Video after Video here.
Just flick past Gavins Dronning.

http://www.youtube.com/results?search_query=Tradeguider+forex&search_type=&aq=f


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## Trembling Hand (16 March 2010)

*Re: Volume: How can it be used in trading?*



tech/a said:


> Yes correct.From what Ive seen in some of their live trade webinars it works just as well.




Tech I just don't see it working. No doubt Trader Guide will pimp anything to catch more customers.

I'll capture Volume on futs, ECNs and then compare it to tick volume but it just goes against all of the very principles that they talk about. Surely this shows how much they are first and foremost a company selling a product not a method.

FX tick vol will always be proportional to the range of the bar. True volume is not.


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## tech/a (16 March 2010)

*Re: Volume: How can it be used in trading?*



Trembling Hand said:


> Tech I just don't see it working. No doubt Trader Guide will pimp anything to catch more customers.
> 
> I'll capture Volume on futs, ECNs and then compare it to tick volume but it just goes against all of the very principles that they talk about. Surely this shows how much they are first and foremost a company selling a product not a method.
> 
> FX tick vol will always be proportional to the range of the bar. True volume is not.




Yeh heard it argued many times.

Even heard Tom Williams say its not a problem---specifically forget their arguement.

All I can say is Ive watched Sebastian (Forget his last name and has a worse presentation than Gavin!) Trade many times live and with results which I thought were good enough to warrent further investigation.

I'll see if i cant find the explaination it was on an Video I have quite  library.
If so i'll post it up.

here it is.
I havent watched it for a while will have another look.

http://www.youtube.com/watch?v=yHTanKQDDQo


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## Trembling Hand (16 March 2010)

*Re: Volume: How can it be used in trading?*

For whatever its worth . I have put together a comparison of AUDJYP Volume vs Ticks to see how well Tick data matches Volume. Each Bar is for a 10 min period from about 2:00 pm today. Have changed the data to % of max so they can be compared. 

From this sample its not too bad. Some bars are 20% diff other pretty close. Interestingly while the volume was light and the market tight and range bound the ticks read higher than volume, as the volume increased in the second part and price started to trend up the ticks didn't increase as much.

May have a further look at a bigger time frame tomorrow. If anyone gives a toss?


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## Timmy (17 March 2010)

*Re: Volume: How can it be used in trading?*



Trembling Hand said:


> If anyone gives a toss?




If anyone wants to use VSA-type work on FX they really need to give a toss.  

I have a few concerns with this TH, mainly the non-centralised nature of the FX market, no one 'exchange', accounting for interbank volumes, etc. etc. 

Obviously what you have done here is the tip of an iceberg in terms of the sort of research that would need to be done to make definitive statements about the tick/volume relationship, so it needs to be read in that context.


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## WaveSurfer (17 March 2010)

*Re: Volume: How can it be used in trading?*



Trembling Hand said:


> For whatever its worth . I have put together a comparison of AUDJYP Volume vs Ticks to see how well Tick data matches Volume......




Interesting Trembling Hand (lol, awesome nick). Although it's not an exact match, it still appears to be somewhat relative.

What volume figures are you using there? Futures volume I presume?

I think Timmy brings a valid point to the table "non-centralised nature of the FX market, no one 'exchange', accounting for interbank volumes".

To me this would make relying on tick volume a little difficult (that little voice in your head repeating the above).

Nonetheless, Trembling's chart does appear to show some relativity. That has me intrigued and will definitely look into this a little further.

And what an awesome book tech. Looking past the TradeGuider plug, there's some great info in there. Cheers for that again mate. I'll be reading this one quite a few times.

I'll also be following this thread with great interest.

Cheers all


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## Trembling Hand (17 March 2010)

*Re: Volume: How can it be used in trading?*

No its ECN volume.


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## WaveSurfer (17 March 2010)

*Re: Volume: How can it be used in trading?*



Trembling Hand said:


> No its ECN volume.




Ahhhh I see. I was wondering why my comparison to futures vol was so different. Haha.


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## Trembling Hand (17 March 2010)

*Re: Volume: How can it be used in trading?*

Shall I start another thread to carry on this Tick v Vol line? Got some good stuff from last nights trades but don't want to mess up this thread with my rantings.


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## Timmy (17 March 2010)

*Re: Volume: How can it be used in trading?*



Trembling Hand said:


> Shall I start another thread to carry on this Tick v Vol line? Got some good stuff from last nights trades but don't want to mess up this thread with my rantings.




Both good ideas ...  the new thread and splitting off your rantings  (I shall join you on the new thread with some of my own too)


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## WaveSurfer (17 March 2010)

*Re: Volume: How can it be used in trading?*



Trembling Hand said:


> Shall I start another thread to carry on this Tick v Vol line? Got some good stuff from last nights trades but don't want to mess up this thread with my rantings.




I will follow with keen interest if you do.


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## Trembling Hand (17 March 2010)

*Re: Volume: How can it be used in trading?*



Timmy said:


> Both good ideas ...  the new thread and splitting off your rantings  (I shall join you on the new thread with some of my own too)




I have posted what I see as the errors of using ticks on last nights fed announcement on my blog if anyone is interested.

http://tremblinghandtrader.typepad.com/trembling_hand_trader/2010/03/fx-tick-vs-true-volume.html

Whoever wants to kick the **** out of my idea can in a new thread if they so feel inclined.


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## Timmy (17 March 2010)

This is the new thread for discussing whether tick volume can be used as a proxy for trade volume.  This thread has been split off from tech/a's thread  Volume: How can it be used in trading?


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## tech/a (17 March 2010)

Looking at T/Hs chart comparison while it is different both appear to show the same thing.
One will show extreme volume and so will the other.
While one will depict better the software reads it very similar to each if they were seperate.

Like any analysis if your using something it only indicates---

Like Elliott I dont need to know the N'th degree wave count.
If its obvious I'll use it.


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## Trembling Hand (17 March 2010)

tech/a said:


> Looking at T/Hs chart comparison while it is different both appear to show the same thing.




Tech did you see the charts on my blog? I don't think they show the same at all. What I see is ticks expand and contract with spread while volume can yet does not necessarily  do the same. Which, I thought was in part, what VSA is about? the hidden volume or lack there of.


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## WaveSurfer (17 March 2010)

LOL TH...

That is one nasty lookin' chart. I'm glad that I'm sound asleep in FOMC hysteria.

I can see both points of view however.

VSA appears to be quite versatile. It can be used to analyse the bigger picture (background as they say) and also bar-by-bar nitty gritty sort of stuff. (Please do correct me if I'm off-track).

TH brings up a valid point that the nitty gritty side can be very easily distorted and if you're using say a test/no supply or no demand type of bar to enter, you'd want to be pretty damn sure it is what it is.

Even your blog post TH still has a great deal of relativity to the volume vs ticks. Volume surely did decline rapidly, but so did the ticks to an extent.

So perhaps it could be useful for the broader view, and a bit iffy for the finer details.

And what about bucket shop versus ECN ticks? You'd surely want an ECN feed that has no middleman intervention. Bucket shops can (and I'm sure do) hide and simulate ticks/price movement.

I like that ECN volume you have there TH. Will have to get my backside moving and shift to IB.


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## tech/a (17 March 2010)

> Tech did you see the charts on my blog?




No I'll shut up until I do.
Out tonight so could be a little while.


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## Trembling Hand (17 March 2010)

WaveSurfer I think you have made some good points. Zooming out the bigger picture holds true. Once you get down to the bar by bar action there can be a fair amount of variation.

The biggest one I would guess is the tight range bar will more than likely show small number of ticks where it may in fact trade large volume.


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## Lone Wolf (17 March 2010)

Ok, I'm going to display my ignorance here... What exactly is a tick? I know that a tick is the smallest amount by which price can change, but how is a tick actually created? I had just always thought that a tick comes in when an order is processed on the market and the price is adjusted accordingly. But if you look at a tick chart, a number of seconds can pass by with no new tick coming in. Considering that there are many thousands of traders out there constantly buying and selling, shouldn't we have multiple ticks per second?

Rather than the price moving on every trade, are the individual trades stored up somewhere until a certain number has been reached, then the result of those lumped trades passed onto the market?

What is it when a tick is flat? Transactions have been made on the market with a net result of no change?

Sorry for such a basic question, but this seemed as good a place as any. Before I consider the difference between tick and volume data I should probably know how a tick is processed. I googled, but all I could find was the standard "a tick is the smallest price movement".


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## Trembling Hand (17 March 2010)

A tick is a movement in price.

On stocks, futs, ECN etc its an actual trade with a change in price.

A tick on bucket shop platform is usually a change in the bid price as they don't give you transition info.


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## tech/a (17 March 2010)

T/H

I think volume would be preferable but I dont think they can get it.
They have tried and had as good results using ticks.

If it failed dismally the boards would be full of punters **** canning VSA and Forex.

Personally I dont need every wave in a wave count to benifit from Elliott.
Ive seen ticks used in leu of Volume on Forex many times---but cant say ive traded it myself---would like too--.


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## Trembling Hand (17 March 2010)

Tech in my hast this morning to post I didn't see that the charts didn't line up with the volume. The large price move & volume happen at the same time.

And yeah I hear what ya saying about infinite detail. Just a bit sceptical that they don't push the real volume over ticks. Its available, via futs or decent ECN, but clearly not to 90% of retail punters.


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## WaveSurfer (17 March 2010)

Lone Wolf,

I believe I have read the answers to your Q's in Trading and Exchanges by Larry Harris. I'll have to pull this book out and check, but I do remember that ticks can be up, down and zero ticks. Zero ticks being multiple transactions occurring at the one price. So yes, you're right with the net result of no change on the zero tick. i.e. last trade price was 2.00, next trade was at also at 2.00.

I also remember reading that forex can move without any transactions occurring. Don't quote me here, but I think it had something to do with a floating exchange rate.

It's actually a great book the Trading and Exchanges (can't remember the full title - market microstructure for practitioners or something as such). Made my head spin when reading it, but was well worth it. It gives you a very detailed explanation (600 odd pages from memory) of how the market's heart beats.

I think you bring up a valid point to consider here mate. How are platforms/data providers classifying ticks? By the exact dictionary definition "minimum price increment" which is a change in price (i.e. zero ticks not counted). Or for each true tick on the ticker (up, down and zero)?

As for the trades being stored, I believe this would be up to the broker/dealer. Whether they provide straight-though-processing to the client or store until x amount is reached and then pass it onto the ECN would depend on their business model (STP or bucket shop/MM).

Your Q's mate have brought back some good memories of that Harris book. I'm going to read it again 

[[Edit]]]
Here's a link to the Google books if anyone is interested:
http://books.google.com.au/books?id... by Larry Harris.&pg=PP1#v=onepage&q=&f=false

It's not the full book either


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## WaveSurfer (17 March 2010)

Trembling Hand said:


> Its available, via futs or decent ECN, but clearly not to 90% of retail punters.




Yer not wrong mate. I had no idea that IB gave you volume until you mentioned it.


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## Lone Wolf (18 March 2010)

Trembling Hand said:


> A tick is a movement in price.
> 
> On stocks, futs, ECN etc its an actual trade with a change in price.
> 
> A tick on bucket shop platform is usually a change in the bid price as they don't give you transition info.




Ok, so it is what I thought it was. I just expected to see the ticks coming through a bit faster if every trade was a tick. Then again, a large number of traders would probably be in bucket shops which may match up trades in house, only sending orders to market to hedge the overall imbalance. 



WaveSurfer said:


> How are platforms/data providers classifying ticks? By the exact dictionary definition "minimum price increment" which is a change in price (i.e. zero ticks not counted). Or for each true tick on the ticker (up, down and zero)?




Other than a point of interest, how the tick is defined probably isn't too important. Unless you are using a bucket shop, then you might want to know where the volume data is coming from. Doing what TH did above is probably the only thing you need to know. Compare your tick data to your available volume data and check that your trading method can accurately use the tick data as a replacement for real volume. There are a couple of bars in TH's chart where the real volume prints a bar that's significantly lower than previous bars, whereas the tick data for that same time doesn't really stand out. But that's just one bar, you have to decide how different is too different.

Thanks for the book reference, I'll go take a look. Although I think I've been doing too much reading and not enough doing lately. Experience is what I really need... but books and forums are interesting.


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## sleepy (18 March 2010)

Heres the TradeGuider Forex Fact Sheet that came out quite a while back. According to them:

Q: I’m seeing the volume histogram update on FOREX issues in eSignal, what does that volume represent?

A: The volume histogram for Forex issues represents the number of transactions or ticks and not true "trade size" activity. It's much like most futures contracts, where the volume histogram reflects the volume of transactions or updates during each given interval.

It is important to understand that TradeGuider does not need actual volume but *relative volume compared to the previous bar to give a VSA indicator. * Volume in FOREX can be seen as activity, and it is this activity that TradeGuider picks up extremely well when using the eSignal datafeed.

sleepy


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## Trembling Hand (18 March 2010)

sleepy said:


> It's *much like most* futures contracts, where the volume histogram reflects the volume of transactions or updates during each given interval.




BS. This makes no sense.

Propaganda to pimp to a market.


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## Timmy (18 March 2010)

Trembling Hand said:


> BS. This makes no sense.
> 
> Propaganda to pimp to a market.




Agree.  Smell it a mile off.

But thanks for posting it sleepy, all grist for the mill.


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## tech/a (18 March 2010)

Trembling Hand said:


> BS. This makes no sense.
> 
> Propaganda to pimp to a market.






Timmy said:


> Agree.  Smell it a mile off.
> 
> But thanks for posting it sleepy, all grist for the mill.




I dont understand.

They *arent* saying its the same.
They are saying that VSA works well using Tick data on Forex.

I'm sure if you got BOTH that youd get signals that matched and seperate signals which didnt relate to each other.
Each would be a signal and traded as any other signal.

The problem is??


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## Trembling Hand (18 March 2010)

Because its a compromise to get new customers in spite of it being counter to their main principles.

VSA is pimped as finding the "hidden" volume within the market, or lack thereof . Then they say oh yeah it works without volume as well 

So what is it?


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## tech/a (18 March 2010)

Trembling Hand said:


> Because its a compromise to get new customers in spite of it being counter to their main principles.
> 
> VSA is pimped as finding the "hidden" volume within the market, or lack thereof . Then they say oh yeah it works without volume as well
> 
> So what is it?




Both.

It works with both.

Everyone who uses it with tick volume have no problems with it.
Williams who designed it has no problems with it.

Seems those who want to pick holes in a successful software (They sell them like hot cakes and the internet isnt jammed with testimonials of disgruntled clients.) because *they* feel *they* have found an inconsistency ---when the company has been more than transparent.

Just dont see the problem.
I'm sure that if you can get Real volume to load into the software they wouldnt have a problem with that either.


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## Timmy (18 March 2010)

Tech - please don't read me as trying to pick holes in a successful software/company.  I have learnt a lot from VSA and TG and have no problem with their success.  I think it was you who said in an earlier post on your "volume" thread that TG had a good product but all the marketing was a bit on the nose (I'm paraphrasing).  I have no problem with good products being marketed, I'm a big fan of Coca-Cola myself, for example.  Well done to TG for popularising and marketing a good form of tape reading, I am a big supporter.

I do have a problem with using it on FX, though, where reliable volume information is not available.  That still leaves equities and futures, and any product that can be charted with reliable volume, where I think it is very helpful.  BTW, not using it on FX is my choice, anyone with the opposite view, thats fine too.  The proof is always in the eating, and if it is working for someone, great.


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## tech/a (18 March 2010)

> TG had a good product but all the marketing was a bit on the nose (I'm paraphrasing).




Once you've heard Gavins Dronning on and on and on---and on---and even further on---just when you thought he'd stopped---on and on and on-- you'll see what I mean.

Sebastian Manby also sounds as enthusiastic as Michael Clark reading a Womens Day while watching Brisbane in the Nab cup.


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## Timmy (18 March 2010)

tech/a said:


> Once you've heard Gavins Dronning on and on and on---and on---and even further on---just when you thought he'd stopped---on and on and on-- you'll see what I mean.
> 
> Sebastian Manby also sounds as enthusiastic as Michael Clark reading a Womens Day while watching Brisbane in the Nab cup.




Can't disagree with you on this tech!  LOL.


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## WaveSurfer (18 March 2010)

tech/a said:


> Once you've heard Gavins Dronning on and on and on---and on---and even further on---just when you thought he'd stopped---on and on and on-- you'll see what I mean.
> 
> Sebastian Manby also sounds as enthusiastic as Michael Clark reading a Womens Day while watching Brisbane in the Nab cup.




LOL

Credit to Sebastian. He certainly knows how to analyse the market bar-by-bar (from my limited viewing so far). He just needs to up the volume - get a little LOUD buddy  I found I had my media player up full bore trying to hear him.

I can understand both sides of the coin here. People will say anything to sell their product. Due diligence on our part isn't a bad thing.

I think tech has said it though. If it were a dismal failure, there'd be a lot of disgruntled clients voicing their opinion. Like Timmy more or less said, the proof is always in the pudding.

I know I would struggle relying on it personally. The little voice in my head will always be hammering away, I wonder what the other volume is saying, these are just "ticks", blah, blah, blah :bonk:

Does not mean I'm going to shut up shop in my mind either. If I can find an edge from it, I'll certainly be using it.


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## WaveSurfer (20 March 2010)

Hey Trembling Hand (or any other IB users),

I am about to move to IB and am currently getting used to their TWS platform in demo/sim mode.

Is there anything I need to know about the ECN fx volume through IB? It does not appear to be available in the sim (possibly just not available in demo mode).

Will I require an additional feed or something to get this when I do go live? Or is there a hidden setting somewhere that I have missed? 

Cheers


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## sinner (1 April 2010)

*Re: Volume: How can it be used in trading?*



Trembling Hand said:


> FX tick vol will always be proportional to the range of the bar. True volume is not.




Screenshots from todays session on cable so far (M15)...captured from two brokers FxPro and Alpari UK.






...so...no.


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## WaveSurfer (1 April 2010)

*Re: Volume: How can it be used in trading?*



sinner said:


> Screenshots from todays session on cable so far (M15)...captured from two brokers FxPro and Alpari UK
> 
> ...so...no.




Hidden Gap Volume, lol. Nice one

Where'd you get that indi sinner? Make it yourself mate?

Admittedly, I have been using tick volume on my fx charts 

I only look for the overall increase/decrease of ticks on a move. No real VSA, but yeah. I think I like it. That voice is still in the back of my mind though "It's not real volume". Little bugger doesn't quit.

I must say, that master the markets book is absolutely awesome. Not just the VSA stuff, the insight into the minds of the "smart money" is priceless. I have a book Trading and Exchanges - market microstructure for practitioners and reading Tom Williams made fireworks go off in my mind. Something I'll be divulging into in great depth. Thanks again tech


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## sinner (2 April 2010)

*Re: Volume: How can it be used in trading?*



WaveSurfer said:


> Hidden Gap Volume, lol. Nice one
> 
> Where'd you get that indi sinner? Make it yourself mate?
> 
> ...




No I didn't make it myself, it was made by forexfactory member "Hidden Gap". It isn't anything crazy or special secret, just coloured volume bars to indicate a few things and a few std.dev bands to indicate a few other things.

Nothing wrong with forex tick vol IMHO. Call it "Volatility Spread Analysis" if it makes you feel any better. Works for me, I've post plenty of VSA calls live on ff with a good hit rate.


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## WaveSurfer (2 April 2010)

*Re: Volume: How can it be used in trading?*



sinner said:


> No I didn't make it myself, it was made by forexfactory member "Hidden Gap". It isn't anything crazy or special secret, just coloured volume bars to indicate a few things and a few std.dev bands to indicate a few other things.




Ahhh ok. I get it now. lol

Thanks mate.


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## WaveSurfer (4 May 2010)

Just thought I'd post this. It's Todd Krueger's view on fx tick volume from his free video newsletter (if interested you can register for this @ www.traderscode.com - I have no affiliation here).

Seems the data feed is key (specifically eSignal and its impressive list of fx contributors - http://kb.esignalcentral.com/article.asp?article=3108&p=1).

Link to Todd's newsletter


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