iVolume equivalence

I am looking for a function which is equivalence to iVolume in MT4.
Does Zorro have it?

Forex has no volume. That's for stocks only.

You could theoretically use the quote frequency instead, but this is not usable for trade signals because it depends on the broker, not on the market.

So how can I use quote frequency?

Not easily. It is available in the asset struct through the "nCounter" element. But you had to write a C function for accessing it - that's not for beginners.

We could implement it of course, but we would need a good reason for that, as the quote frequency is mostly random and not a measure of the trade volume.

This tick bot is very interesting.
What do you think?

http://cyberbot2.com/
http://www.myfxbook.com/members/CyberFXorg/cyberbot2/425543

Just to be clear here, Forex does have volume - it's called tick volume and differs from order volume as seen on Futures and stocks. Tick Volume might seem useless but it actually has almost the same predictive properties as Order Volume, if used right of course. Since the data is available there should be a function for it.

I think Forex can not have a volume, because for Forex there is no global exchange that can register trades and sum up the volume.

The tick volume is not a volume, its the frequency of quotes of your broker. I think no broker publishes his volume. When the broker generates many price quotes the frequency goes up, so one could think it is something similar to the trade volume, but its only similar to the price volatility and not to the volume. Forex trades by retail brokers are anyway very small compared to the total forex market, so the quote frequency of a broker has no relation to the forex trade volume and I doubt it can predict anything.

The tick volume is not really similar to the price volatility, as it normally only counts the price changes, but not the price range. You could maybe say that it is similar to the noise of the volatility.

In any case it depends on how the broker counts price changes - 4 or 5 digits - and which liquidity providers are used. So it does not reflect the market, like price or volume, but the traffic on the broker's server. It's hard to see how that could be used for a trade system.

the only usefull stats i know is to follow the fx futures

http://www.cmegroup.com/trading/fx/

it could be very usefull to have it embedded into Zorro.

Forex Broker Volume Comparison
http://www.myfxbook.com/forex-broker-volume

Hi,

Could you add Tick/Renko chart in a future Zorro?
They are the major charts other than a normal time-based chart.

Tick bars can be added - they might be useful under certain circumstances.

Renko bars have no use for automated trading in our opinion, so we normally won't add them. But if a client pays for this function, we'll add it also to the public Zorro version. Alternatively, you can just program Renko bars in a script - should not be very difficult.

I'm curious, why do you say that "Renko bars have no use for automated trading"? Any particular reason?

Renko bars are constructed by removing the time information from the price curve. You can only see a trend direction, but not its steepness or its acceleration and deceleration. So your algorithm gets less information and consequently will be less profitable than with a real price curve.

Renko bars are meant as a visual aid, with the idea of not getting distracted by the dents and ripples in a curve with real bars. They are not meant for automated trading. A computer won't get distracted by dents and ripples and thus has no use for Renko bars.

If you don't mind a little constructive discussion, and while I agree with you on most parts of your reply, I could also claim that OHLC bars/candlesticks are not suitable for algorithmic trading because they too remove lots of price information (also as a visual aid). Would I be wrong?

For example, consider Renko with 1 pips brick size and H4 OHLC, I'm sure you'll agree that the former (Renko) carries a lot more information than the latter. Sampling every 4 hours does a much stronger data reduction than waiting for 1 pips move with bricks.

Renko and other CRB (constant range bar) types most powerful (and sometimes most troublesome) feature is that they're not time based, IMHO. So powerful that I'm still seriously researching it and definitely will consider it for automated trading. Because, in both cases we're speaking of data reduction, we take lots of price ticks and collapse it to either an OHLC candlestick or a brick, the difference is that OHLC bars are sampled by time (periods), where bricks are sampled by price (difference). Because profits come from price differences, bricks could even be more suitable for trading. Strong words, I know. The research on this interesting subject is ongoing...

I can certainly be wrong here. When you look into the trading scene and methods from a mathematical point of view, you see a lot of obvious bunk. So you might come too quick to the conclusion that some particular method can not work.

After that disclaimer: I think you can not compare the information loss of renko bars with OHLC bars. OHLC extracts a certain time frame from the price data. Due to the fractal nature of price curves, this is not really a loss of information, at least not for the particular time frame the system is designed for. Within that time frame, the information is complete.

Profits do not come from price differences. They come from the prediction of price differences. You need some criteria, such as a trend deceleration or some curve or candle pattern, for predicting a reversal or a continuation. Such a criteria is missing in a Renko chart. You can see the reversals, sure, but you can see not much for predicting them.

Of course the usefulness of Renko bars can be easily proven by at least one profitable system that is based on Renko bars instead of the price curve. However I haven't seen such a system yet.

Yeah, now that you've explained it so nicely, and I specifically like the paragraph where you explain the need for some kind of price prediction, I think you might have an important point there.

I mean, I'll have to sit on that for some time before I have an answer for myself, and then you. Or I'll just come back with a profitable Renko system, without a lot of explanation, how about that?

The truth is, I spent some quality time researching various bricks, even inventing my own brick type , but it's also true that I didn't come up with a new profitable Renko system, although it all looks very promising and tempting. Who knows, maybe you just provided me the answer why it ended like that. Now that I've discovered Zorro, I'll put the emphasis back to OHLC paradigm. I need to reset.

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.