GammaJammer

I have no idea why / whether it works. I don't use VSA an I never have. I merely wanted to correct the awfully large amount of completely erroneous guesswork prevalent on this thread, about tick volume, and whether or not there is any causal relationship with actual mrket volume. As I know for a fact that tick volume is a completely bogus measure invented solely to add another meaningless bell and whistle to retail charting platforms (name me one pro platform that has it?), why on earth would I want to actually study it any further than I already have done. That's not to say I don't think other members should use tick volume, vsa or whatever you like. Equally, if someone came to me and said they had a way of reading tea leaves that told them what interbank eur/usd volume was, I would tell them to stop being so silly. But if they said they had a system that used this to give them 90% winners I wouldn't actually discourage them from using that. Call it what you like - a crutch maybe, a security blanket? whatever. If it works for you then fine. I just don't happen to share that view. GJ

Not a huge fan myself, but I don't try and force others to use the methods / tools I use. Prefer a simpler approach myself. Know a few peers who do like Demark though. Don't, however, get me started on Elliot Waves

Plus you have known skim for how long? I think long enough (and as opposed to people who have never met skim)

I think you could certainly do the analysis, but I still think that the specific factors I outlined regarding the way FX data is disseminated mean that the results simply don't translate to FX. Look, at the end of the day I can't force people to have the same opinion as me on this stuff, but look at it this way; I sit here at my desk. I have all the electronic trading tools I could want. I have quants and researchers who are far cleverer than I am. I have developers who can program stuff if I need it. Don't you think if there was some causality here it would be in my interests to exploit that? Knowing the minute ins and outs of the FX market is 90% of my job, so I have a vested interest in what you guys are all saying being right about tick volume because I could use that to enhance our algorithmic trading capabilities etc. But I still don't buy it. And I am in a position to do more than just guess at stuff. So this is why I can't help feeling all everyone else is doing is clutching at straws. People don't have access to all the volume data, nor do they have access to the (not 100% comprehensive, but far better than anecdotal) info the banks etc have. So they are desperate to find something that equates to the tools the 'big boys' have. But the retail community doesn't have access to that data yet. Sorry, that's just the way it is. What you CAN do if you have the resources, is pay for expensive time and sales data to be delivered via a lightning fast pipeline from some of the ecns (EBS in particular do this) and can crunch this data to your hearts content (till your wallet implodes at any rate). But that's real transaction data, NOT some half@ssed approximation from a third rate chart vendor. GJ

Largely correct - studies are more frequent now but still not 100% of volume is included. This will change in the next few years. Plus the value of this information is such that those who are doing such work are largely reticent about sharing the results. Incorrect - it tells us precisely nothing about activity (see my explanation earlier re RIC contribution, data intellectual property etc) Correct, although the last sentance still seems to hold out hope that really isn't there. Incorrect - I have told you in no uncertain terms about correlation - it is irrelevant and what I think you're really referring to is causality NOT correlation. Plus you omitted the many times where it will actually be negatively correlated. So if correlation veers from positive, to flat, to negative, that is no sort of a useful correlation at all. Incorrect - there is no 'Yet'. It just isn't causal. That's my take on this thread. GJ

ICAP (owners of EBS) actually have a research department working on stuff like this. They do seminars on it. Don't always agree with their findings (a few of the assumptions are imho deeply flawed) but it's very enlightening stuff nevertheless. GJ

It's not a tie at all, merely a very creative stain from my tomato soup, cunningly spilled down my front in the shape of a tie. Getting the windsor knot at the top to look right was a beeatch.

My god - it's like you have a webcam pointing at my desk.

Yes I knocked a quick Phd thesis out on that very subject before I had my cup of tea and bowl of shreddies this morning.....

Plus everyone else has stopped joining in and it just seems to be you and me now.

Even that would be fine IF one chart provider's data was even a reasonable proxy for the market. But I'm trying to demonstrate why even that just isn't so. This price update stuff is a total total red herring. end of.

My opinion is no, it isn't necessarily due to market sentiment at all It's just noise. For a start it's a chart feed and could come from anywhere. Secondly, even if it's taking its price from a half decent source, what happens behind that is that such a source will likely comprise contributions from many banks (it won't likely be ecn feeds as most of them dont publish this data externally in real time yet). Thus all these contributor banks will usually be updating their price every few seconds on a 'heartbeat' basis and sending them to Reuters etc to publish. These are indicative quotes only, NOT dealable prices (which aren't simply streamed out to the ether in that way). As the banks like to see their names on Reuters / Bloomberg contributor pages regularly, they're gonna update prices regularly. So you might get 3 updates in 10 seconds from each bank say, with the result that even assuming only 10 banks contribute to the feed, it's gonna be a very busy feed. And these contributions are subject to a few certain rles. Chief of which is that they AREN'T alllowed to, for example, take the EBS Best bid and offer, re-brand them as the Citibank bid / offer (just an example) and send it out to Reuters as a contributor price. They would leave themselves open to litigation by an ecn like EBS if they did that (as they're not meant to be simply white labelling data that EBS make a lot money from selling). But as it's only an indication price, it can be a bit wider. Doesn't have to be one point wide in eurusd. So maybe EBS is 50/51, so they have a model that takes this in, and pumps out a price a pip around it, so they're 49/52. Now it's their own price, so that's fine. Say someone else has a different model, one that always shades one side only. So their price might be 50/52 for example. A third bank might have one that's one point wide, but always a tick higher than the EBS best bid say, so they are 51/52 If they all send in price updates to this mythical price feed vendor (someone whose data feeds your charts) the price might go 49/52, 50/52, 51/52 To the uninitiated it might look like buying interest is stacking up, but in reality all that happened is that the contributions lined up in a certain way. And if the feed driving the chart is 'cleaned' to keep for example a constant spread or whatever, these underlying updates would all still probably require a new tick update in the chart. Make sense? I'm a trader, not a data vendor, so any finer detail than this is straying away from my area of expertise a bit, but I just feel that a lot of people are just purely guessing in this thread, and not from a position of being able to make their guesses educated. Unless you have actually been involved in this stuff (and I have) then it's tough to have the relevant knowledge. Which is cool, but people just can't stop themselves from trying to guess at the answer anyway, and imho missing the point. Hope this clears things up a bit GJ

http://www.bis.org/publ/rpfx07.htm There you go (this is the one from which people derive the headline $3.2 trillion daily FX market turnover).... regards GJ

Hey - I'm very straightforward GJ

Oh stop

No, not neccessarily. If you study how price behaves across ALL the ecns, you realise that in many cases EBS is still the driver, and with the way the prices were flying about my best guess is that what little did go through on the other ecns was more likely to be latency arbitrage (and therefore really just a bit of noise in terms of overall market direction) than it was genuine interest trading. People had pulled a lot of their interest out at that point waiting for it to calm down a bit. THAT's what I'm talking about in a nutshell. GJ

Not necessarily - some of the price feeds these days are a bit of a house of cards, so you genuinely can have price updates with little or no accompanying volume. Yank on one thread and something else moves a little, causing in turn something else to move etc. I'm not saying this happens all the time, merely that the fact that it happens at all, and that I don't have to wait any length of time to find examples exposes the assumptions people are making when using 'tick volume' as any sort of approximation for proper volume are just completely off beam. And as for eurusd / usdchf yes that can indeed form part of why contributor firms update their eurchf prices, but again, that in itself doesn't mean anything at all in terms of eurchf volume per se. If anything, it adds further to my argument.

No Walter - it isn't. It might work for you to trade this way but be assured - the statement you made here in reation to FX and tick volume is utterly false. EUR/CHF trading on EBS right after the oil data was a perfect perfect perfect example of what I'm saying. Price was 1.6323/4. It went 23 Given then 22/23 21/22 20/21 19/20 without a bean going through (my screen shows bid, offer, last given, last paid etc etc). Finally someone paid the 20 offer (for smalls, which was all that was there). So at that point you had a 20/21 market where last paid was 20 but last given was 23!!!!!!!! In between those two actual trades you had had lots of price updates that would have registered on your tick volume, but that didn't equate to a single euro of business going through. This kind of thing is why I get frustrated. I try again and again to explain how stuff works, and people just hear what they want to hear.

Still not the same thing as the triennial one I'm talking about (and indeed it does actually make reference to the last one of these) but interesting stuff nevertheless. GJ

Not giving up on TL (at least not quite yet), but am giving up on this thread as I've said, via the links that I posted, all that I feel I need to say. Tick volume doesn't even work as a relative measure imho (although that's not to say it wasn't a good idea in theory and worth a look). And as I feel my posts explain why I hold these views, and as no-one came back to say that they had read and understood them, OR came back to ask me for a bit of clarification, I just felt that this thread was one of those threads where people came to it already having convinced themselves of their view, and not prepared to let anything sway that. I freely admit that I too am pretty fixed in my view on this stuff, but that is because it is my job to know this sort of fine detail about the market inside out, and it has been for some time. So if I didn't feel like I was talking from a position if fairly deep knowledge I think my boss would have hired the wrong guy to run the trading desk GJ

The big, widely respected one is the BIS one, but that's only triennial. GJ

It's all total horse, but no-one is going to believe me despite my posts, so I give up. GJ

Ah - all becomes clear now.

Here's another post detailing why it's a completely useless proxy (under certain circumstances it may even have some srt of NEGATIVE correlation with volume) GJ http://www.trade2win.com/boards/forex-discussion/25620-volume-2.html#post345757

Hmmm - slightly odd insofar as they don't make any reference to where this number has come from. have a feeling it could be a tad artificial meself. GJ