Monday, October 17, 2016

Candle Profile (Release 11) : Support for FXCM's "Real Volume"

I have uploaded a new version of the Candle Profile indicator. This supports FXCM's "Real Volume" indicators (actually it uses the "Directional real volume" indicator).

The FXCM’s “Directional Real Volume” indicator can provide real volume (buy, sell and total) direct from FXCM’s order books. However, there are a few things to note:

  • The “Directional Real Volume” indicator has to be installed separately. The indicator can be obtained from “FXCM Apps” site (https://www.fxcmapps.com/apps/directional-real-volume/)
  • The real volume data is only available for certain high liquidity instruments (currently: EUR/USD, USD/JPY, GBP/USD, EUR/JPY, AUD/USD, GBP/JPY, USD/CAD, AUD/JPY, USD/CHF, EUR/CHF, NZD/USD, EUR/AUD, EUR/GBP and EUR/CAD).
  • Historic data before 2010 does not appear to be available.
  • The real volume data is loaded separately from FXCM’s servers. This takes an additional amount of time, resulting in a delay before the indicator is drawn. This could be a several seconds or even minutes depending on the size of the chart

The Candle Profile can use this data, where available, to construct the profile. If "real volume" data is not available, then the Candle Profile can use tick volume or "TPO". (TPO is "Time Price Opportunity", which is a Market Profile term, basically it means that price traded at that location).



More information on the Candle Profile can be found here.

Saturday, October 15, 2016

Multi-Indicator Indicator (Release 8)

Just made a small change to the Multi-Indicator Indicator. It now draws a central reference line for indicators such as RSI, CCI, etc.

It is on the download server.


More information about the Currency Strength Meter can be found here.

Currency Strength Meter (Release 22)

Just added "currency cross alert" to the Currency Strength Meter. This feature can alert you when one currency strength crosses above/below another. It works in any mode (e.g. "Normal", "RSI", etc.).

It is on the download server.


More information about the Currency Strength Meter can be found here.

Tuesday, October 4, 2016

VWAP Indicator

Volume-Weighted Average Price (VWAP) is the ratio of the value traded to total volume traded over a particular time horizon. The time horizon is usually a day although other time horizons are sometimes used such as weekly, monthly and quarterly.

VWAP is often used as a trading benchmark by investors who aim to be as passive as possible in their execution. Many pension funds, and some mutual funds, fall into this category.

The aim of using a VWAP trading target is to ensure that the trader executing the order does so in-line with volume on the market. It is sometimes argued that such execution reduces transaction costs by minimising market impact costs (the additional cost due to the market impact, i.e. the adverse effect of a trader's activities on the price of a security). The VWAP can be considered as a “fair price”.

In addition to computing and plotting the VWAP, this indicator also plots standard deviation bands. The indicator can compute VWAP for daily, weekly, monthly and quarterly time-frames, as well as hourly and 4-hourly.

This indicator supports FXCM’s “Real Volume” indicator. This indicator can provide real volume direct from FXCM’s order books. However, there are a few things to note:
  • The “Real Volume” indicator has to be installed separately. The indicator can be obtained from “FXCM Apps” site
  • The real volume data is only available for certain high liquidity instruments (currently: EUR/USD, USD/JPY, GBP/USD, EUR/JPY, AUD/USD, GBP/JPY, USD/CAD, AUD/JPY, USD/CHF, EUR/CHF, NZD/USD, EUR/AUD, EUR/GBP and EUR/CAD)
If “Real Volume” data is not available, then the indicator can use tick volume data instead.



This indicator is now available on the store.

Sunday, October 2, 2016

VWAP with "Real Volume"

Modifying my VWAP indicator to use the "Real Volume" data from FXCM.

In the screenshot below, I've super-imposed 2 instances of VWAP indicator. The pink lines are using "tick volume", and the gold lines are using the real-volume.

This is still under development.