Forex pairs spread & volume statistics

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Pip Hunter
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Awesome!

Postby Pip Hunter » Tue Apr 15, 2008 5:41 am

This is great information, thanks much for sharing. I had observed some particular strength in one of my systems during the London session, and now I can rationalize why :)

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willis11of12
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Postby willis11of12 » Thu May 15, 2008 10:57 am

Hey Michael,
I was just curious about your spreads stats. when you say the average spread at a given hour, is that from the beginning of that hour until the end of that hour, or does it start 30 minutes before and end 30 minutes after? I am assuming the first, but I just wanted to make sure.
Also, have you compared Hotspotfx or Interactive Brokers to see if their spreads at the same times is about the same or not?
Thanks for the graphs, they are very interesting to me. :)

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michal.kreslik
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Postby michal.kreslik » Thu May 29, 2008 5:51 pm

willis11of12 wrote:Hey Michael,
I was just curious about your spreads stats. when you say the average spread at a given hour, is that from the beginning of that hour until the end of that hour, or does it start 30 minutes before and end 30 minutes after? I am assuming the first, but I just wanted to make sure.
Also, have you compared Hotspotfx or Interactive Brokers to see if their spreads at the same times is about the same or not?
Thanks for the graphs, they are very interesting to me. :)


Hi, Willis,

the question of time is being explained in the article precisely. Please read it thoroughly :)

EFX/MBT spreads reflect the true interbank spreads very closely.

Michal

traderduke
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Forex Volitility per pair

Postby traderduke » Thu Jun 19, 2008 9:57 pm

Michael,
do you have any stats on the volitility or price swing per pair or do you think volume beggets volitility. GBPJPY appears to be the most volitile but EURAUD isn't the second most volitile. Any thoughts?

Ray

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michal.kreslik
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Re: Forex Volitility per pair

Postby michal.kreslik » Thu Jun 19, 2008 10:13 pm

traderduke wrote:Michael,
do you have any stats on the volitility or price swing per pair or do you think volume beggets volitility. GBPJPY appears to be the most volitile but EURAUD isn't the second most volitile. Any thoughts?

Ray


Hi, Ray,

the volume is not necessarily a proxy for the volatility. In a strong trend, everyone and his dog might be selling (high volume), but there might be no retracements and the price action might be a clear-cut free-fall (so there's almost no short-term volatility).

Also, all depends on the fractal magnitude on which you are looking for the volatility measure. So there's no "objective" way on how to express the volatility.

Michal

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traderduke
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Forex Volitilty

Postby traderduke » Fri Jun 20, 2008 12:06 pm

Michael,
You appear to have a great database, if you captured the low and high of each busy time say all GBPXXX currencies from 0200 to 1100 (EST Time)for several days or weeks wouldn't that give you the most volitile? Between Volume and Volitility your charts and indicators would excel.

I run the equities for biggest differences between high and low then sort on volume that gives me the most tradable, the most volitile and the timeline to trade those stocks.

Ray

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Postby novdarko » Sun Jun 29, 2008 1:43 pm

Hello,

does anybody know where can I get reliable data on volume for each currency pair daily traded?

Is the % of volume for each currency pair changing a lot? Where can I get reliable data on % volume for each currency pair?

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zam4ever
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Postby zam4ever » Thu Feb 19, 2009 7:14 am

Hye all,

My first post here.

4 days ago, it was anniversary for this thread.

Michal, do you have new data, like for a year, and have simple statistic like in the first post?

By the way, may I request to distribute your information in my local forum in Malaysia?

Thank you and have a nice trade!

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michal.kreslik
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Postby michal.kreslik » Thu Feb 19, 2009 9:53 am

zam4ever wrote:Hye all,

My first post here.

4 days ago, it was anniversary for this thread.

Michal, do you have new data, like for a year, and have simple statistic like in the first post?

By the way, may I request to distribute your information in my local forum in Malaysia?

Thank you and have a nice trade!


Hi, Zam,

you're free to redistribute any information you wish provided you include a link to the original source.

Yes, I've got many new statistics, but as I'm using it for my own active interbank trading, I'm no longer making it public.

Have a great day!
Michal

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zam4ever
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Postby zam4ever » Thu Feb 19, 2009 9:58 am

michal.kreslik wrote:Hi, Zam,

you're free to redistribute any information you wish provided you include a link to the original source.

Yes, I've got many new statistics, but as I'm using it for my own active interbank trading, I'm no longer making it public.

Have a great day!
Michal


Thank you for permission.

By the way, if it is okay with you, will you share with me (us), how do you collect all the data, and represent it in nice graphical view.

If I know the way how to do it, probably I'll be able to replicate the same system for couple of months with my spare computer, and share the results with community too.

Thank you.

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