tick volume distribution accross 3.5 years of data

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michal.kreslik
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tick volume distribution accross 3.5 years of data

Postby michal.kreslik » Thu Jun 15, 2006 12:28 pm

Have a look at the tick volume distribution in GBPUSD pair. I measured it accross 3.5 years of data. The resolution is 15 min.

I tried to point out and explain the "bumps" you can see on the histogram. These bumps correspond to the major FX trading centres activity around the world:





Interesting point is that the standard deviation moves pretty much in unison with the mean tick volume value:



Michal

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Postby SJTRADES » Thu Jun 15, 2006 1:41 pm

Where are the gmt time daily lines?

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Postby michal.kreslik » Thu Jun 15, 2006 1:52 pm

SJTRADES wrote:Where are the gmt time daily lines?


SJ,

the histogram starts at 5 pm ET Sunday and ends at 5 pm ET Friday.

Attached you will find the source data excel table:
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volume GBPUSD 15 min data only.zip
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Postby SJTRADES » Thu Jun 15, 2006 2:13 pm

I am confused. The excel data shows a number of days of data, how to I relate that to the volume chart? Thanks.

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Postby michal.kreslik » Thu Jun 15, 2006 2:33 pm

Every row presents all tick volume values for bars that occured at the particular time (for example, at 18:00) during the whole 3.5 years testing period.

So, if we look at the attached excel table:



we can see that there were exactly 111 bars that occured on Sunday 17:15 ET close time (which means the bar comprises the price data > 17:00 AND <= 17:15). in the columns under volume data per bar there are tick volume values of all those 111 bars.

You can simply add up those values and divide by 111 and the resulting value is the mean value of all the bars that occured at timeOfBarClose ET.

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Postby SJTRADES » Thu Jun 15, 2006 3:27 pm

Maybe not so confused, but trying to recognizing the value of the charts? Yes, they represent a week of trading volume that at starts at 5 pm ET Sunday and ends at 5 pm ET Friday. However, major trading is asociated with when major local area markets are open during their normal trading times even though the FOREX market trades 24 hours per day. Thus an arrow pointing to a general area to different markets is not particularly helpful (to me). Additionally, it seems to me that price associated with volume should also be added, thus price, volume and time should/would form a better understanding of the total data, I think. Thanks for your time.

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Postby michal.kreslik » Thu Jun 15, 2006 3:59 pm

This research shows what is the commitment of FX traders during the typical week with a 15-min resolution. That helps to anticipate when the major moves might occur.

Certainly, when there is no activity on average, you don't expect your breakout system to signal a trade.

I trade intraday and this statistics has helped me to choose the best time window during the typical day when most activity occurs. In a nutshell, my systems are more likely to signal a trade when there's some action. I needed to know what is the distribution of this activity during the day and week to make this assessment.

SJTRADES wrote:However, major trading is asociated with when major local area markets are open during their normal trading times even though the FOREX market trades 24 hours per day.


Yes, that's true and my research proves it. The question is: how can you tell that it is so? Have you seen any similar research elsewhere? I don't base my decisions on hunches and there is no similar research on FX trading volume distribution on the internet as far as I know. This is why I did it by myself.

SJTRADES wrote:Additionally, it seems to me that price associated with volume should also be added, thus price, volume and time should/would form a better understanding of the total data, I think.


I'm not quite sure which price exactly are you talking about. The histogram is a series of averaged tick volume data. You can't average price over 3.5 years of data.

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Postby obx » Thu Jun 15, 2006 6:56 pm

KK,

Thanks. Great work (as usual) !

obx

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Postby SJTRADES » Thu Jun 15, 2006 7:40 pm

obx wrote:KK,

Thanks. Great work (as usual) !

obx


michal.kreslik wrote:This research shows what is the commitment of FX traders during the typical week with a 15-min resolution. That helps to anticipate when the major moves might occur.

Certainly, when there is no activity on average, you don't expect your breakout system to signal a trade.

I trade intraday and this statistics has helped me to choose the best time window during the typical day when most activity occurs. In a nutshell, my systems are more likely to signal a trade when there's some action. I needed to know what is the distribution of this activity during the day and week to make this assessment.


I agree, but how does one relate volume unless it is related to price AND the possible time you can trade with some system. One possibility is to have 3 or 4 traders that are AWAKE during the 24 hours at their VITAL time.

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Postby michal.kreslik » Thu Jun 15, 2006 10:18 pm

SJ,

this is not a trading system. Just a study on when to expect the most activity in the market.

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