If you have not seen it yet, FXCM have produced a Real Volume Indicator. This is a fantastic move for traders as this information has been critically missing.
If you don’t know about it, you can read more on the DailyFX page here: http://www.dailyfx.com/forex_forum/tradera-s-tool-box/632673-real-volume-transaction-indicators-only-available-fxcm.html and you can also watch the Webinar on YouTube here: https://www.youtube.com/watch?v=e1K8mfnOwJg
I have been playing with it a little bit and it looks pretty cool. I was pretty quick to drop it on a Back-tester window and try to devise some strategies using it but unfortunately it is not supported in the Back-tester. When I asked my contacts at FXCM about this, I was told that the data it uses cannot be simulated in the back-tester and it is simply not supported. Darn!
However, I was assured that you can write strategies which consume this indicator but of course they need to be run live. I personally am not a big fan of trading strategies without back-testing them but if you guys want to, let me know!
For now, I’m considering writing a tool to dump out the data to an external file or database that I can then use for my backtesting.