Options in the Cash Foreign Exchange Markets for Higher Timeframe Charts

Intraday trading in the cash foreign exchange markets is unfortunately only a part of the picture so far as MIDAS is concerned. There's also the problem of higher-timeframe charts where all three variations of volume data, as defined by Elder, are absent. For higher timeframe charts such as the daily and weekly timeframes, a cash foreign exchange trader has four options:

  1. Apply MIDAS purely to the futures market equivalent of the underlying cash market and work with the corresponding volume.2
  2. Apply MIDAS with futures open interest data.
  3. Apply MIDAS with volume related to currency Exchange Traded Funds (ETFs)/Exchange Traded Notes (ETNs).3
  4. Apply MIDAS without volume.

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