Using the latest release of MC14, I wanted to experiment with Bidsize and Asksize on a realtime chart.
I built a simply indicator with a IntrabarPersist variable called vTIckCount. Indicator of course has "Update Every Tick" set to on and "Skip Identical Ticks" set to off.
The charts where I placed the indicator are 200 tick charts.
The indicator simply sets vTIckCount to 1 when BarStatus=0, and sets it to vTIckCount = vTickCount + 1 for all other BarStatus values.
When BarStatus=2 (end of bar), I trace the vTickCount value via Print statement.
The vTickCount value in the trace should be 200, but it is not.
Sometimes it is less (150, etc) or more (sometimes over 400).
What's going here ? Looks like BarStatus is not being set properly for tick charts.
BarStatus issues
Re: BarStatus issues
Guys, after much testing of this, I've come to the conclusion that something is seriously wrong when it comes to tick charts.
When I go to count the ticks in an indicator or function with Update On Every tick, my count is far below the tickcount setting for the bar.
When the end of the bar occurs (Barstatus=2), my tick counter is anywhere from 50 to 100 for a 200 tick chart....yet I match perfectly with the Total Volume for the bar when I trace this.
What this is telling me that I've been trading with a much faster chart than I thought I was.
When I go to count the ticks in an indicator or function with Update On Every tick, my count is far below the tickcount setting for the bar.
When the end of the bar occurs (Barstatus=2), my tick counter is anywhere from 50 to 100 for a 200 tick chart....yet I match perfectly with the Total Volume for the bar when I trace this.
What this is telling me that I've been trading with a much faster chart than I thought I was.
- TJ
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Re: BarStatus issues
Who is your data provider?
Did you know most of the data provider streams compressed quotes?
ie. they are not true tick-by-tick streams. They are snapshots . . . periodic snapshots of xxx millisecond intervals.
Did you know most of the data provider streams compressed quotes?
ie. they are not true tick-by-tick streams. They are snapshots . . . periodic snapshots of xxx millisecond intervals.
Re: BarStatus issues
I have IQFeed. I am aware that Interactive's data stream is compressed.Who is your data provider?
Did you know most of the data provider streams compressed quotes?
I'll be moving to Rithmic soon, so that will be interesting comparison.
I am tracing the millisecond timestamp for sure. What's wierd is that the MC "countdown" indication on the screen looks valid,ie. they are not true tick-by-tick streams. They are snapshots . . . periodic snapshots of xxx millisecond intervals.
but again, what I am seeing thru my indicator is much different.
I now wonder if the "Skip Identical Ticks " setting is not working for the indicator....that would explain everything....as there are probably a lot of "side-ticks" for the E-Mini's.
- TJ
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Re: BarStatus issues
Interactive is not the only one who compresses data.
Check the small print in your data provider's spec. You might be surprised.
Check the small print in your data provider's spec. You might be surprised.
Re: BarStatus issues
Naw....something else is wrong. If that was the case, then MC's tick countdown calculation would reflect the compressed ticks.Interactive is not the only one who compresses data.
Check the small print in your data provider's spec. You might be surprised.
Only other explanation is that MC is able to access some sort of a tickcount field in the data feed that is not available to EL indicators/functions.
Upticks,DownTicks, Ticks is set to volume if you have: Build Volume On is set to Trade Volume. This is of course is what I want....as I am tracking these values as well as BidSize and AskSize.
I wonder what would happen if Build Volume On is set to Tick Count ?
Re: BarStatus issues
Here is the official word from IQFeed:
I am running a 200 tick E-mini chart in Multicharts.
However, when I go to count the ticks for every bar, they are much less than 200.....like 50 to 100.
However, the MC tick countdown indicator seems to catch all 200 ticks. How can this be ? Is there a hidden tickcount field in the data stream ?
12:56:37 PM
Mark E
sorry, that would be a question for MultiCharts, as that software is creating the 200 tick interval. We just provide tick-by-tick data, we don't set tick intervals
12:57:52 PM
Me
So there is no data compression i.e. multiple ticks per data record, correct ?
12:59:01 PM
Mark E
no, every tick is accounted for in IQFeed. A few years back, the CME began bundling ticks, but IQFeed unbundles them, as that i what our customers want.
1:01:31 PM
any rebundling of ticks for your charts in MC, .e.g. 100tick or 200tick, that's all handled in the software. You can check the individual ticks outside of MC by using the IQFeed Time & Sales app, which is found in the IQFeed Applications folder
1:02:57 PM
Me
Excellent Mark, that's what I thought. I know that Interactive Brokers compresses their data feed.
Thanks for that.
I am running a 200 tick E-mini chart in Multicharts.
However, when I go to count the ticks for every bar, they are much less than 200.....like 50 to 100.
However, the MC tick countdown indicator seems to catch all 200 ticks. How can this be ? Is there a hidden tickcount field in the data stream ?
12:56:37 PM
Mark E
sorry, that would be a question for MultiCharts, as that software is creating the 200 tick interval. We just provide tick-by-tick data, we don't set tick intervals
12:57:52 PM
Me
So there is no data compression i.e. multiple ticks per data record, correct ?
12:59:01 PM
Mark E
no, every tick is accounted for in IQFeed. A few years back, the CME began bundling ticks, but IQFeed unbundles them, as that i what our customers want.
1:01:31 PM
any rebundling of ticks for your charts in MC, .e.g. 100tick or 200tick, that's all handled in the software. You can check the individual ticks outside of MC by using the IQFeed Time & Sales app, which is found in the IQFeed Applications folder
1:02:57 PM
Me
Excellent Mark, that's what I thought. I know that Interactive Brokers compresses their data feed.
Thanks for that.
Re: BarStatus issues
OK, see attached for the proof. Carefully note that BarStatus=0 SOMETIMES follows BarStatus=2, but not always. In fact, it's a rarity.
Something is really wrong here. I think the internal "new tick" event handle in MC is not working right and thus BarStatus is not being set properly.
Something is really wrong here. I think the internal "new tick" event handle in MC is not working right and thus BarStatus is not being set properly.
- Attachments
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- Bug-BarStatus.txt
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