Synthetic tick volume is very useful (for forex).

  • We all know it's difficult for retail individual trader to gauge real forex volume.

  • But synthetic volume synthesized from tick data streamed from your broker can give you an approximation of the real volume.

  • This approximation is probably far from perfect, but it's better than nothing. I don't know how close it is to the real volume (who knows what the real volume is in forex?). However, it was good enough to provide new insights and break my algos' plateau and improve their performance.

  • It's possible to create a profitable strategy that only uses price data.

  • However, if you ignore volume, then you're missing out a lot, and your algos will never reach their full potential because volume can give you some insights about the market that price can never will.

  • It takes little effort to synthesize synthetic volume from tick data. The result is worth this extra effort.

That is a list of my humble newbie opinions from my recent discoveries. Feedbacks, suggestions and advice will be highly appreciated.

Submitted November 03, 2020 at 02:11AM by twistedmush

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