CTV - Continuous Tick Volume for NeoTicker

NeoTicker indicators

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michal.kreslik
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CTV - Continuous Tick Volume for NeoTicker

Postby michal.kreslik » Wed Nov 01, 2006 10:58 am

Hello, friends,

as we all know, the volume comes in a number of different flavors. It can be a
  • contract volume - the number of contracts traded in a given time period. This one is the most precise. It's available in the stock market, for example.
  • trade volume - the number of trades (regardless of their size) in a given time period
  • tick volume - the sum of ticks in a given time period
  • combination or modification of the above (like net ticks = upticks minus downticks)
In Forex, there's no centralized exchange, so it's impossible to track down the exact sum of contracts traded nor the total trades count executed during a given time period.

That's when the tick volume comes in handy. Every Forex broker provides a tick volume information, but what the "tick" means in this respect, actually? Obviously, it's
  • not a price change since there are consecutive ticks with the same price
  • not a Forex market trade executed since the broker can't possibly know about all the trades executed at that time in the world (remember, there's no centralized exchange)
Although I haven't found any exact definition of a "tick" in the major Forex brokerage houses, it's pretty certain that the "tick" is a proportional representation either of the number of Forex trades executed or the number of contracts traded that are known to the broker. Naturally, the broker won't form a tick for you every time he sees a trade in the market, otherwise the number of ticks per second would be unmanageably high.

The actual tick volume will vary accross different brokers. The bigger the broker, the more exact the number of the ticks known to him will be in relation to the number of total Forex trades executed all over the planet.

The commonplace tick volume is traditinally displayed as a histogram:



The trouble with this type of tick volume projection is that you are tied to the timeframe selected, so that you don't know what the tick volume is until the bar is complete. Paradoxically, you can tell what is the tick volume only once during the bar = at its close. The higher the timeframe, the bigger the time gap between the moments you know the exact tick volume.

My answer to this problem is to calculate the tick volume continuously. On every new tick, I calculate the tick count for the last n seconds, because the second is the most precise time information available. I call this indicator CTV - Continuous Tick Volume.

So if I decide to display the tick volume for the last 15 minutes, I simply set the lookback period for CTV calculation to (15 * 60) = 900 seconds and I get the tick volume for the last 15 minutes on every new tick. With every new second, the tick volume information for the second that occured 15 minutes ago is dropped from the calculation.

The Continuous Tick Volume is especially useful for sharp timing and scalping conditions. It tells you when the evil things are looming and when the liquidity is dropping or rising minutes before the traditional tick volume indicator does so.


A CTV indicator applied to GBP/USD with a 5 minutes lookback (300 sec):




A CTV indicator applied to GBP/USD with a 15 minutes lookback (900 sec):



The CTV indicator is designed to be applied to 1 Tick charts. The minimum lookback period is 1 second, which translates to the CTV returning the tick count for the last 1 second (the second on which the current tick occured).

CTV indicator has a built-in error checking capability that warns you about incorrectly set timeframe or lookback. The indicator disables itself in such a case, tells you what's wrong and offers an option to open a new web browser with this forum thread loaded (isn't that a neat feature? :) ):



As always, CTV comes with a complete source code for NeoTicker in C#. CTV is quite computationally demanding.

Enjoy! :)

Michal Kreslik
Attachments
CTV_source.zip
CTV Indicator C# source. Microsoft Visual Studio Project.
(15.71 KiB) Downloaded 117 times
CTV_indicator.zip
CTV Indicator IDL and DLL files.
(46.83 KiB) Downloaded 130 times

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stuart18020
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CTV indicator zip file

Postby stuart18020 » Sat Nov 18, 2006 7:16 pm

Hi,

Attempt to extract from CTV indicator zip file fails. Error message indicates unkhown compression type.

I have tried PowerDesk 6.0 and IZarc utilties.

TIA

Stuart18020

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michal.kreslik
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Re: CTV indicator zip file

Postby michal.kreslik » Sun Nov 19, 2006 3:59 pm

stuart18020 wrote:Hi,

Attempt to extract from CTV indicator zip file fails. Error message indicates unkhown compression type.

I have tried PowerDesk 6.0 and IZarc utilties.

TIA

Stuart18020


Hi, Stuart,

WinZip 7.0 works fine.

Michal

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TomKeough
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Postby TomKeough » Thu Nov 23, 2006 8:58 pm

Works fine here too...
Thanks, Michal.
Tom
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