Hello dear support.

I tried to download traded volumes data (like as indicator "Volume") via IIndicators.volume method, but received information looks like wrong or broken. I've try to download volumes data day-by-day and compare volumes amount with ticks amount. My results:

MYDEBUG Downloading data for specific day: 20 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 56213
MYDEBUG Volumes count in period: 79198
MYDEBUG
MYDEBUG Downloading data for specific day: 21 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 0
MYDEBUG Volumes count in period: 86400
MYDEBUG
MYDEBUG Downloading data for specific day: 22 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 1457
MYDEBUG Volumes count in period: 86387
MYDEBUG
MYDEBUG Downloading data for specific day: 23 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 29635
MYDEBUG Volumes count in period: 86400
MYDEBUG
MYDEBUG Downloading data for specific day: 24 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 29624
MYDEBUG Volumes count in period: 86400
MYDEBUG
MYDEBUG Downloading data for specific day: 25 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 9143
MYDEBUG Volumes count in period: 86399
MYDEBUG
MYDEBUG Downloading data for specific day: 26 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 38751
MYDEBUG Volumes count in period: 86400
MYDEBUG
MYDEBUG Downloading data for specific day: 27 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 44405
MYDEBUG Volumes count in period: 79196
MYDEBUG
MYDEBUG Downloading data for specific day: 28 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 0
MYDEBUG Volumes count in period: 86400
MYDEBUG
MYDEBUG Downloading data for specific day: 29 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 3033
MYDEBUG Volumes count in period: 86397
MYDEBUG
MYDEBUG Downloading data for specific day: 30 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 37276
MYDEBUG Volumes count in period: 86400
MYDEBUG
MYDEBUG Downloading data for specific day: 31 Dec 2013 00:00:00 GMT
MYDEBUG Ticks count in period: 27945
MYDEBUG Volumes count in period: 79197
MYDEBUG

Code:

    public void collectAllVolumes(IContext context) {
        
        this.history = context.getHistory();
        IIndicators ii = context.getIndicators();
        
        while (currentDate.getTime() <= stopDate.getTime()) {
            Date localStopDate = new Date();
            localStopDate.setTime(currentDate.getTime() + 1 * 24 * 60 * 60 * 1000 - 1);

            System.out.println("Collecting start");

            List<ITick> ticks = null;
            double[] volumes = null;
            
            try {
                ticks = history.getTicks(instrument, currentDate.getTime(), localStopDate.getTime());
                volumes = ii.volume(instrument, Period.TICK, OfferSide.BID, currentDate.getTime(), localStopDate.getTime());
            } catch (JFException ex) {
                Logger.getLogger(HistoryCollector.class.getName()).log(Level.SEVERE, null, ex);
            }
            
            System.out.println("MYDEBUG Downloading data for specific day: " + currentDate.toGMTString());
            System.out.println("MYDEBUG Ticks count in period: " + ticks.size());
            System.out.println("MYDEBUG Volumes count in period: " + volumes.length);
            System.out.println("MYDEBUG");
            
            currentDate.setTime(currentDate.getTime() + 1 * 24 * 60 * 60 * 1000);
        }
    }

I don't understand why some days have volumes amount different from 86400. Theoretically, all days contains 86400 seconds and I don't understand why somewhere such "gaps" occurred.

Also volumes sum for 1 second isn't comfortable format for me. Is it possible to receive historical traded volumes (like as indicator "Volume") for each tick?

Thank you.

If you mean 'TRADED volume' is volume of transactions the answer is: No.

See more: Volume transacted at the Bid vs volume transacted at the ask

As I understand, indicator Volume (in Dukascopy trading terminal) shows actual TRADED volume. Isn't it?

My question is how to technically fetch this indicator data for each tick.

Also thank you for interesting link.

Volumes of transactions are unavailable at all by API and for any indicator. The reason is that Forex is an OTC market.

Sure nobody can provide full Forex traded volume, but some bank/broker/marketplace can provide local traded volumes on local marketplace. And in my understanding, Volume indicator is likely displays Dukascopy marketplace traded volume.

The issue remains actual. I would be very grateful for any technical support help. Thank you.

Did you spot any particular second (i.e., timestamp) when the volume value is missing?

Thank you for reply.

Unfortunately, no. Method IIndicators.volume returns only array of doubles (without linked timestamps).

Maybe you can explain how I can receive historical volumes for each tick? Is it possible?

Yes, by using the asynchronous read approach, see the example in javadocs: IHistory.readTicks. In the LoadingDataListener.newTick method you would fetch either the getBid or the getAsk value and proceed.

As I understand, Volume indicator displays Dukascopy marketplace traded volume, that's why this indicator can't be calculated from bid/ask values. Am I right? If I'm wrong, where I can read indicator's specification or description?

Maybe existed some method for subscribing on indicator and receiving data each tick? Also I can't find something like this in your example, this method provides fetching bid/ask and market depth data only.

The indicator works with the same values that you:

• See on the chart
• Receive from API IHistory methods.

Hence it does not make much sense to use the indicator if your goal is to collect or aggregate the volumes.
We don't see point in doing that - use the IHistory methods for that purpose.

My goal is to operate with historical data of Volume indicator. I can't find algorithm or description how this indicator calculates from bid/ask or market depth data.

In the file com/dukascopy/indicators/VolumeIndicator.java (in JForex API sources, file attached) I can only observe that this indicator already receive fully prepared data:

    public void setInputParameter(int index, Object array) {
        inputs[index] = (double[][]) array;
    }

    public IndicatorResult calculate(int startIndex, int endIndex) {
        int i, j;
        for (i = startIndex, j = 0; i <= endIndex; i++, j++) {
            outputs[0][j] = inputs[0][4][i];
        }
        return new IndicatorResult(startIndex, j);
    }

How I can calculate Volume indicator data in your opinion?

We reiterate that from a strategy it does not make much sense to work with the volume indicator, since you can access the same data more efficiently by using the IHistory methods.
The indicator simply outputs volume of the bars that it receives as input. For tick case it is not ticks, rather 1 second bars which are aggregated from ticks.

I would like to build trading system exactly on Volume indicator. Sure I want to test it on historical data.

My issue can be fixed by two ways:

• Fetch historical calculated data of Volume indicator.
• Or understand calculation algorithm of Volume indicator and manually calculate historical data of indicator using IHistory methods (to receive bid/ask/bars/market depth information/etc).

How IHistory methods can be useful for me without calculation algorithm understanding? Please explain how I can fix this issue.

What do you mean by "calculation algorithm understanding"? If you mean algorithm how the volumes are constructed, see the link from the topic's second post, where there is an elaborate discussion on the matter.
If you don't find IHistory usage useful, how do you expect the volume indicator which is exactly based on IHistory data to be useful?
Also why should you add an extra layer by calling the volume indicator if you can get the same value right away from the history?

Issue was fixed.

Volume indicator shows sum of volumes on best bid price during some period. This information explains everything. Now I can calculate/construct historical Volume indicator data for any TF and test my system.

Thank you for suggestive thoughts and patience