I am seeing strange Volume values for intraday bars using IQFeed. Rather than seeing the expected trading volume for the bar (say 1-minute), I get a constant large value. That value is equal to what QuoteManager says the "UpVol" is for the instrument, but the "TotalVol" field in QuoteManager looks like the value I want. I've attached a screenshot of the QuoteManager EditData window and the output of a simple signal.
Steps I took:
* In Portfolio Backtester, added the following signal:
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Print(GetSymbolName, " ", (Date+19000000):0:0, " ", Time:0:0,
" OHLC[", Open:0:2, " ", High:0:2, " ", Low:0:2, " ", Close:0:2, "] ",
" Vol ", Volume:0:0);
* In Portfolio Backtester, added a single Instrument from IQFeed. In the Insert Instrument / Settings tab, I chose Resolution 1 Minute, Quote Field "Trade", Sessions "Default", and Build Volume On "Trade Volume".
* When I run this strategy I see the following:
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AAON 20121015 1553 OHLC[18.85 18.85 18.85 18.85] Vol 324723904
AAON 20121015 1555 OHLC[18.85 18.85 18.84 18.84] Vol 324723904
AAON 20121015 1556 OHLC[18.88 18.88 18.87 18.87] Vol 324723904
AAON 20121015 1557 OHLC[18.89 18.89 18.89 18.89] Vol 324723904
AAON 20121015 1558 OHLC[18.88 18.89 18.88 18.89] Vol 324723904
AAON 20121015 1559 OHLC[18.87 18.87 18.87 18.87] Vol 324723904
AAON 20121015 1600 OHLC[18.87 18.90 18.87 18.87] Vol 324723904
When you compare this to the QuoteManager screenshot, you will see that the Volume values match the "UpVol" column. I guess this is consistent with the PowerLanguage documention for "Volume", which says: "For tick and volume-based charts, and time-based charts with resolutions of 24 hours or less: the volume traded on Up ticks will be returned if Build Volume On is set to Trade Volume; the number of Up ticks in the current bar will be returned if Build Volume On is set to Tick Count."
But I don't want either of these. I just want the total volume for the bar and it appears that value is available to QuoteManager as the "TotalVol" field. Is there a way I can get at the data in the "TotalVol" column instead?
Multicharts 64-bit v8.0.5622.401
IQFeed v4.8.1.7
Thanks,
Mike