In general, the errors and anomalies in FXCM tick data seem to apply to the current trading week, and after the Friday close FXCM seems to "clean" the data. By using this indicator to reconstruct the volume, many of these anomalies seem to be fixed. However, the current trading day seems to have slightly higher than normal tick volume values - but I didn't find a way to overcome this. Just bare in mind that the current day's values will probably get reduced after the close.
The indicator shows the average (Simple Moving Average) of the volume, and it can also show 2 bands. The bands can be set according to the "standard deviation", or the "average". The indicator allows a multiplier to be specified for each band. The default multiplier is 2 (typical when using standard deviation mode). If you are using the "average" mode, then I suggest setting the lower band at 0.8, and the upper band at 1.4.
Here's a screenshot.
Here's the code.
volume.lua- (16.83 KiB) Downloaded 1139 times
I've also updated the BetterVolume Indicator to use this "volume reconstruction" method.
The indicator was revised and updated
