Just to be clear here ... Since the data is available there should be a function for it.
I fully endorse this post.
What JCL and Spirit say, is partially correct, but
in no case justify the lack of a traded volume proxy.
Are price updates a good proxy for actual traded volume in FX? I know that this debate will never end, but my feel of years trading forex
based on tick volume - 1 min time frame -
is absolutely concordant with that paper.
J.P.
