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Indicators: Sort Volume

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Automated-Trading
Admin
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Automated-Trading 2015.12.21 12:12 

Sort Volume:

Calculates volume for each currency on pair based on price movement.

Author: Rolan Isido

user3822
151
user3822 2015.12.22 15:30  

Hi, I'm wondering why there's a discrepancy between the total volume from your indicator to that of Better Volume (fwiw, Better Volume calculates the same total volume as the default MT4 Volume indicator).



Discrepancy

Rolan Isido
205
Rolan Isido 2015.12.22 18:45  
user3822:

Hi, I'm wondering why there's a discrepancy between the total volume from your indicator to that of Better Volume (fwiw, Better Volume calculates the same total volume as the default MT4 Volume indicator).



Hello,

Sort Volume calculates as per candle bar. While Better Volume calculates by averaging x period of volumes. It's different approach of algorithm.

Sort Volume calculates volume for each currency, Volume pair xxx/yyy becomes Volume xxx and Volume yyy. While Better Volume calculates the status of pair volume or categorize volume.

The idea of Sort Volume is to split the volume from pair itself to recalculates market price for psychological price.

Here's the idea

 

Same pair and TF as yours so you can see the difference.

user3822
151
user3822 2015.12.23 08:30  
Rolan Isido:

Hello,

Sort Volume calculates as per candle bar. While Better Volume calculates by averaging x period of volumes. It's different approach of algorithm.

Sort Volume calculates volume for each currency, Volume pair xxx/yyy becomes Volume xxx and Volume yyy. While Better Volume calculates the status of pair volume or categorize volume.

The idea of Sort Volume is to split the volume from pair itself to recalculates market price for psychological price.

Here's the idea

 

Same pair and TF as yours so you can see the difference.

Hi Rolan,

I believe I understand the difference, even before you explained it, but maybe you can confirm for me: With Sort Volume, an uptick for the current candle represents an increment in volume for the base currency, and a down tick for the current candle represents an increment for the quote currency.

From all my research into Volume in Forex, it is calculated the same way, minus the color-coded separation of quote/base currency ticks as Sort Volume does. Now, I should say I've never looked at the code for Volume indicator in MT4, but if I'm understanding you correctly, you're saying that it takes x volume bars and averages it out. Any research (google) shows that Forex volume is based on the number of up/down ticks per candle (trading) session and not an average of volume bars over X period.

To sum up, I don't understand the discrepancy. To me, both Volume and Sort Volume should calculate the same total amount of ticks, with Sort Volume separating them into base (up) / quote (down) ticks.

If you're positive that Sort Volume is correct, then please excuse my ignorance.

Rolan Isido
205
Rolan Isido 2015.12.23 11:20  
user3822:

maybe you can confirm for me: With Sort Volume, an uptick for the current candle represents an increment in volume for the base currency, and a down tick for the current candle represents an increment for the quote currency.

Yes, that is correct.
user3822:

you're saying that it takes x volume bars and averages it out.

No. Sort volume doesn't averaging, Better Volume does.

As per-candle movement, basically it's a pull and push between bullish and bearish. Here's the logic, if a candle (shadows and body) upwards, the momentum volume between bullish and bearish in bottom wick is zero, because volume traded between them is equal.

As the opposite. If a candle (shadows and body) downwards, the momentum volume between bullish and bearish in top wick is zero, because volume traded between them is equal.

user3822:

both Volume and Sort Volume should calculate the same total amount of ticks.

Every trader has different approaches based on their own perspective and analysis. Sort Volume is relational volume. Since there's no central system, there's no accurate method of measuring true volume.
user3822
151
user3822 2015.12.23 15:16  
Rolan Isido:
Yes, that is correct.

No. Sort volume doesn't averaging, Better Volume does.

As per-candle movement, basically it's a pull and push between bullish and bearish. Here's the logic, if a candle (shadows and body) upwards, the momentum volume between bullish and bearish in bottom wick is zero, because volume traded between them is equal.

As the opposite. If a candle (shadows and body) downwards, the momentum volume between bullish and bearish in top wick is zero, because volume traded between them is equal.

Every trader has different approaches based on their own perspective and analysis. Sort Volume is relational volume. Since there's no central system, there's no accurate method of measuring true volume.

I set Better Volume to calculate only the last two candles (previous session candle and current session candle). The previous session candle's volume remained the same despite the number number of candle's that Better Volume had processed.

And it's not just Better Volume. The results of the standard Volume indicator with MT4 reflect the results of Better Volume and disagree with the sum of Sort Volume's volume ticks.

I hope I don't sound rude. I really like this indicator you created. But personally, as long as the sum ticks of the base currency and quote currency do not match the ticks of the standard MT4 volume indicator, I do not believe it is giving an accurate representation of volume.


In this image, the calculations are way off. As you can see, I set Better Volume to only calculate the volume of 2 candles. If Better Volume was averaging the volume of X candles, it would have given a different result than a) standard MT4 Volume indicator b) Better Volume with setting set to calculate a number of candles greater than 2. The EUR and AUD ticks should combine for 1464, right? Both the standard MT4 Volume indicator and the Better Volume confirm that total amount of ticks in volume for said candle  was 1464. But Sort Volume only calculated 677 ticks.

If I'm still wrong about that, just ignore me. But I truly believe the calculations are wrong.

Rolandlau
6
Rolandlau 2015.12.27 15:21  
Rolan, Found you indicator volume Sort very interesting, can you explain the red/blue bar on one volume bar? Is it the bid vs ask volume?
Stanislav Korotky
17924
Stanislav Korotky 2015.12.27 17:41  
user3822:

If I'm still wrong about that, just ignore me. But I truly believe the calculations are wrong.

The source code is available, so you can check everything in detail. As for discrepancy in data between 2 indicators, you have been told that Sort Volume ignores volumes in wicks opposite to bar direction. At least I understand this so. So the values of Sort volumes can not be equal in sum to standard volumes.
Rolan Isido
205
Rolan Isido 2015.12.27 20:57  
Rolandlau:
Rolan, Found you indicator volume Sort very interesting, can you explain the red/blue bar on one volume bar? Is it the bid vs ask volume?
Thank you for your interest on Sort Volume.
My approach is to interpret the actual volumes traded by sellers and buyers based on market price movement and volume provided by MT4.
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