VSA on FX - Tick volume a proxy for volume?

[Trembling Hand]

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.

 

[tech/a]

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--.

 

[Trembling Hand]

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.

 

[WaveSurfer]

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

 

[WaveSurfer]

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.

 

[Lone Wolf]

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.

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.

 

[sleepy]

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

 

[Trembling Hand]

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.

 

[Timmy]

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.

 

[tech/a]

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.

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??

 

[Trembling Hand]

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?

 

[tech/a]

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.

 

[Timmy]

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.

 

[tech/a]

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.

 

[Timmy]

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.

 

[WaveSurfer]

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.

 

[WaveSurfer]

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

 

[sinner]

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

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.

 

[WaveSurfer]

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

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

 

[sinner]

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

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.

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.