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1. The smallest possible price move: In the S&P Emini it is 0.25 index points. In Forex it is 1 pip.
2. A Trade: So, in Forex, when we talk about Tick Volume, say in one minute, we mean the number of trades that were executed during that one minute.
Now, a trade can be either a Buy trade or a Sell trade (i.e. either Bid or Ask). If the number of contracts (or lots) in each trade is included with the tick data, then we have what is called "Market Depth". Market Depth, which will be available in MT5, is a very significant development in the Forex market. Right now the only Forex broker, that I know of, offering Market Depth is FXOpen.
However, there is a serious error in all the Forex tick data files that I have looked at so far. They show a Bid price and Ask price corresponding to every single time stamp. This is incorrect. If you look at a Forex broker's quote screen, you will see that sometimes the Bid price changes, and sometimes the Ask price changes. Only occasionally, both Bid and Ask prices change at the same time.
A tick data file should show clearly the number of Buy trades and the number of Sell trades during any time period. This is very important information, because the market is driven by supply and demand. If there are more buyers than sellers, we expect the market to go up. If there are more sellers than buyers, we expect the market to go down.
If anyone knows how to generate a correct tick data file, I would really appreciate the information.
Thanks