Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

Can I use DOM information from Interactive Brokers? Does it make sense? I assume that it makes sense to apply some volume based algorithms only then when you know this order book, that you can get info about is really market book. If it represents the main part of the market, otherwise this information is negligible in front of all big names doing trading and in light of their orders which you are not aware of.

What information gives me volume info from IB? Can I make assumption about FX order flow based on their data feed?

We can see here that IB covers all important exchanges, but what is their volume? The sum of the all noticed volumes on exchanges? Please could you clarify this issue a little as it was always confusing to me.

share|improve this question
    
I can't parse the run-on sentence in your first paragraph; it makes no sense to a native English speaker. Consider re-writting it. –  chrisaycock Mar 3 '13 at 22:47
    
Look at who uses X_Trader by Trading Technologies then you can answer the question to yourself. Are you trying to start up a brokerage or why all those odd broker questions? –  Matt Wolf Mar 4 '13 at 0:58
    
in the future hedge fund, maybe. why this is odd? odds are your responses xD , but thanks nevertheless. X_Trader? IB has TWS, not X_Trader –  private data public channel 2 Mar 4 '13 at 1:08
add comment

1 Answer

Assuming your question is about using the FX 'volume' you see in a broker's DOM or T&S window, you probably can't infer much about order flow in the way you can with other instrument types. FX volume and tick data are not equivalent to what you will see for other instruments. That is, unless the feed is coming from a FX ECN like HotSpot or Currenex, the volume and ticks you're seeing are just quotes, not completed trades.

share|improve this answer
    
how can I see completed trades not at the BID or ASK? ofcourse these are not completed but only limit orders put there. trade may be done only at BID, ASK, but we still can see depth of the market - so these are quoted, right? question is if I can treat these data from IB as from "all the market", after my edit I think maybe yes (?) –  private data public channel 2 Mar 7 '13 at 21:07
    
@cf16 - I'm not positive, but part(s) of Freddy's answer in this question (How is historical data for forex collected or computed?) might shed some light. –  Andrew Cheong May 4 '13 at 21:25
    
thank you very much –  private data public channel 2 May 5 '13 at 2:45
add comment

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.