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We've discussed quantity quite a few times, not sure where the threads are though
anyway, there are two ways to get volume in FX. You may look at tick quantity, which is a measure of the amount of ticks per bar. This could be misleading if mild quantity is being traded and there are a whole lot of ticks.
The second method, the one I like, is to have a look at the futures contract quantity. For instance, if you would like a volume estimate on the EURUSD, you are able to look at the quantity on the CME futures contract ECZ05. The futures market wasn't an ideal solution, but I find it is a estimator of FX volume.
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Importance of volume?
In the world of equities, the volume index has an important part. A breakout, for instance, just is not the same without some volume behind it.
Reading through the threads on FF, one rarely comes across the topic of volume being discussed. How important is it, if at all? Are there any Forex trading egies that are based or partly based on volume?