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How to get Forex Volume Data?

Don't Study Lagging Measures: Aggregate Institutional Data for Active Analysis

Story Highlights

  • How to get Forex Volume Data
  • Knowledge is power
  • Don't Study Lagging Indicators
  • Statistically Driven Market Model
  • Tip of the day: When you believe, you will succeed
  • Nicks Steps To Getting Forex Volume Data
Forex is not an exchange driven market and it is notoriously difficult to find reliable forex volume data. From the very first time when i started exporting tick data from my metatrader 4 terminal via DDE to an excel spreadsheet to track ask/bid quotes in real-time, I had the idea of aggregating many multiples of MT4 terminals from different brokers to better gauge market activity and volume.

In episode 79 of two blokes trading podcast, Nick from Alpha Group, a forex scalper who utilises propreitary volume indicators describes an active method of analysis that looks at the current price action and volume to gauge market direction, correlations & divergence. Nick utilises a volume model that pulls volume data from several ECNs to give him a clear picture of the Forex volume being traded at any given time.

Statistically driven market model

He employs a statistically driven market model and approach. As Nick says, “The market is a dynamic beast” and he thus does not use fixed TP/SL levels but rather lets volume and price action guide whether he stays in the trade or not;

  • When volume and price action are increasing together and breaking prior highs/lows this is a good indication.
  • When in a trade and deciding whether to close or hold; when volume and price are extending further, stay in the trade and let it run, or get out when volume and price action diverge.

“When you get your head around it anyone can do it.”Two Blokes Trading

To succeed you must believe. When you believe, you will succeed.
To succeed you must believe. When you believe, you will succeed.

How to get Forex Volume Data?

There is a level of correlation amongst the institutional exchanges, (Reuters, Bloomberg etc.).

 

Volume + Price Action

+ Market Cycles -don’t study lagging measures

 

Nicks Steps:

1. Aggregate the limit order books for all institutional exchanges

2. Remove redundancy

3. Filter / Analyse the Data

 

Nick aggregates volume data from institutional exchanges, he filters this data and narrows down his focal point to what he wants to see. When he is honed in on these measures he is able to see what volume is doing on a global scale and the correlations that are evident. He receives an alert the minute these change.

The key ingredients:

Volume + Price Action + Market Cycles, Nick says the synergy of how all these three elements correlate with his system are around 98.5%.

Nick does not use any indicators, as he points out that they are lagging and not predictive. He goes on to say that from the people he talks to and the people he has taught to trade, they come to him with a 40% confidence level, on a trade per trade basis. Once they remove the historical lag their confidence level increases to 55-60% in a period of about a week, and once you properly apply the three ingredients the confidence level increases to 80% in just a few weeks.

Once you properly apply, volume, price action and market cycles the confidence level increases to 80% in just a few weeks.

Surf the Waves

Some key takeways:

  • When you get your head around it anyone can do it
  • Before anything else, preparation is the key to success
  • Nick is a visual person and needs to understand the chart from a “very visual perspective”.
  • He says trading is an art form; he’s not a quant nor mathematician
  • He does not study lagging indicators –
  • He analyses tick by tick data, allowing him to extract a statistical edge in real-time market conditions
  • He uses the real-time data in conjunction with market cycles to hone in on his entries

Be sure to to listen to EP 079 of Two Blokes Trading for more insight and be sure to subscribe.

Intense study, practice, is the rock solid foundation.

A profitable trader will try to ascertain what the probable tendency of the market is before he embarks in any undertaking.

The people that I know who are the most successful at trading are passionate about it. They fulfill what is the first requirement: developing intuitions about something they care about deeply, in this case, trading. Charles Faulkner

It is not the strongest of the species that survive, nor the most intelligent, but the ones most responsive to change. Charles Darwin

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