Formalising common approaches to trading - page 21
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Thank you for reading this partially, but my question is why there is no tick chart, although all the information to organize it seems to be available? Or has anyone tried to create such a chart with the help of programming?
A tick chart of the price change is not a problem, and there is a history of it. Another question is how much real volume is in a tick, which is just difficult to determine, because you have to take into account the tick change in the volume of market orders involved in the formation of this shift. I don't see a way to implement it, there are too many participants.
... Another question - how much real volume is in a tick, it is just difficult to determine, because we have to take into account the tick volume change of market orders involved in the formation of this shift. ...
There is no tick volume in the tick, only the volume of a particular trade at a given price, there is no such information in the retailer's forex, hence the discrepancy.
If we may go back to the market example: $20.05 Bid - 200 lots <=>$20.06 Ask - 300 lots, i.e. the Bid has buy limit orders of 200 lots in total, the Ask has sell limit orders of 300 lots, all these are the so-called passive orders. If there are no aggressive orders (for example market orders), the market will not move anywhere, there will be no change of bid-ask levels. Now let's assume we want to sell 10 lots, we have two options:
1) Sell-Limit order at Ask, i.e. at $20.06. If we increase the volume of Ask by 10 lots (i.e. Ask becomes 310 lots), our 10 lots will be at the end of our Sell order queue, if we do not get there, the market will go down before our Sell order is filled.
2) Sell aggressively, send a Sell-Limit order at $20.05 or Market order (at the best price at the moment of request). What will happen in this case? The volume in the Bid-Ask will be reduced by 10 lots to 190, the line "time - $20.05 - 10 lots - UST code" will be added to the T&S (on the retail-forex will be only "time - $20.05"), i.e. all deal attributes will be fixed: time-price-volume-route. But the Bid-Ask will remain at the same level.
The Bid level can only change if the flow of aggressive sell orders exhausts the volume at the Bid, i.e. all the passive buyers at 20.05 will be filled. All this flow of aggressive sell orders will be reflected in T&S. In this case, if this flow goes without changes to aggressive buying, there will be one single tick at 20.05, until the Bid changes. If during the passage of this sell flow, there will also be single aggressive buying (on the Axc), there will also be single ticks on 20.06.
Tick volume in forex, applies only to formed bars, i.e. the number of ticks during the formation of a bar. Some research traders argue that there is a fairly high correlation between tick and regular BAR volume, at certain time periods. But this, imho, is not applicable to correct analysis.
...
Tick volume in forex, applies only to formed bars, i.e. the number of ticks during the time a bar is formed. Some research traders argue that there is a fairly high correlation between tick volume and normal volume, at certain periods of time. But it, imho, is not applicable to correct analysis.
Another question is how much real volume is in a tick, this is just difficult to determine as we need to take into account the tick volume change of the market orders involved in forming this shift. I don't see a way to implement it, there are too many participants.
Does it make sense to consider an individual tick?
If we consider the tick volume as some function, it will depend on several parameters, in particular on the real volume and, let's say, "the idea".
So, if we don't consider dependence on "idea", there is a suspicion that the tick volume depends on the real one logarithmically, i.e. roughly speaking Vt ~ logx(V)*F("idea").
UPD: by "idea" is meant everything but the real volume, on which the tick volume depends. And the logarithm is hardly natural.
Does it make sense to consider an individual tick?
If we consider the tick volume as some function, it will depend on several parameters, in particular on the real volume and, let's say, "the idea".
So, if we don't consider dependence on "idea", there is a suspicion that the tick volume depends on the real one logarithmically, i.e. roughly speaking Vt ~ logx(V)*F("idea").
UPD: by "idea" is meant everything but the real volume, on which the tick volume depends. And the logarithm is hardly natural.
The filtering of the tick-flow by the quote provider must also be taken into account.
You also need to take into account the filtering of the tick stream by the quote provider.
Yeah right, even here there is no "consensus" among the quotation providers. So it's not serious to spend man-hours to analyse them seriously. In my opinion, the only approach to use real volumes when trading in MT4, is to watch T&S, Level 2 (stack) and market profile on corresponding futures or stocks, make analysis, make decisions and execute them in MT4.
In MT5 there will be real volumes. (but not for forex)