volume bar = contract?

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O66
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volume bar = contract?

Postby O66 » 11 Apr 2011

Hi, im testing MC 7 with zenfire feed

Have ES set as a 4800 volume (contract) chart.
but the plotted chart is way faster then 4800 volume.(compared to other charting platform with same feed)
what is it what im doing wrong?

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TJ
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Re: volume bar = contract?

Postby TJ » 11 Apr 2011

O66 wrote:Hi, im testing MC 7 with zenfire feed

Have ES set as a 4800 volume (contract) chart.
but the plotted chart is way faster then 4800 volume.(compared to other charting platform with same feed)
what is it what im doing wrong?


volume bar = contract

in the Format Instrument window,
set Build Volume On: Trade Volume

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Re: volume bar = contract?

Postby O66 » 11 Apr 2011

thanks for prompt reply.
hera are my settings and chart:
http://screencast.com/t/ql9mEA9A

here is cahrt compared with NT 4800 volume

http://screencast.com/t/qEqTSnpwunR5
see the difference?
same datafeed.

any ideas?

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TJ
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Re: volume bar = contract?

Postby TJ » 11 Apr 2011

O66 wrote:thanks for prompt reply.
hera are my settings and chart:
http://screencast.com/t/ql9mEA9A

here is cahrt compared with NT 4800 volume

http://screencast.com/t/qEqTSnpwunR5
see the difference?
same datafeed.

any ideas?


a few possibilites:

1. the datafeed is good, MultiCharts is drawing the chart incorrectly.

2. the datafeed is good, NT is drawing the chart incorrectly.

3. the datafeed is bad.


a few things you can check:

1. add volume to the chart. You should see all the bars are cap'ed at 4800.

2. ask someone to post a chart of the same instrument from another datafeed, so that you can compare the differences.


ps. you should use a simple bar chart with no indicators, so that you can see the bars clearly.

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TJ
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Re: volume bar = contract?

Postby TJ » 11 Apr 2011

today's es 4800 contracts
datafeed = interactivebrokers
Attachments
esm1 20110411 4800 contracts.png
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O66
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Re: volume bar = contract?

Postby O66 » 12 Apr 2011

here is my MC chart : http://screencast.com/t/5RCzUgjVKdvO

as you can see this is last 3 hours in a more condensed chart then yours.
your chart is almost the complete session and shows 6 hours in a less condensed way.
22:15 is close (My time -6 hours)
my chart is plotting much more candles.

here is NT chart with exact same feed (same pc)
http://screencast.com/t/U18kighWH5p
this looks like your chart

there is something wrong in my MC and datafeed combi
i cant figure out what it is.

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Re: volume bar = contract?

Postby Tresor » 12 Apr 2011

Here you can find the 'official daily volume' reports by CME http://www.cmegroup.com/market-data/vol ... -interest/

At least you''ll know how much volume MC/Zen-fire adds during the day to official data.

Note: incorrect volume (both higher and lower than the official figures) may be indicative of data vendor filtering ticks (uncontrolled thortling) - this was (and probably still is) the case with OEC and Transact data feed.

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Re: volume bar = contract?

Postby Tresor » 12 Apr 2011

And make the excercise as per picture.
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Daily bars with volume revised.png
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Stan Bokov
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Re: volume bar = contract?

Postby Stan Bokov » 12 Apr 2011

Not all data feeds provide accurate uptick and downtick volume on historical bars. This was the problem for people trying to use Cumulative Delta trading techniques - for them we created an option with IQFeed to construct minute and daily bars out of ticks. The volume should be accurately represented in real-time flow, and with TickID, all ticks that you collect real-time will now be accurately represented when you draw your locally saved historical ticks on the chart.

Volume bar is the same as Contract bar.

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Re: volume bar = contract?

Postby O66 » 12 Apr 2011

yes sounds perfect, but i have a problem.

here is my 4800 volume chart from last 5 hours

http://screencast.com/t/tioJns1O8spr

how is this compared to your chart?

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Re: volume bar = contract?

Postby Tresor » 12 Apr 2011

O66 wrote:yes sounds perfect, but i have a problem.


Your problem is explained in this picture.

If you follow my advice from the previous post and:
- make the excercise with 3 charts of different resolution each I suggested in the previous post and post them here,
I will tell you excatly what is the solution to your zen-fire problem.
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volume mismatch zen-fire.png
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Re: volume bar = contract?

Postby O66 » 12 Apr 2011

zenfire doesnt give me backfill other then this day.
i have deleted es and added it back.

so im not able to plot the charts you mentioned.
do you really need them?

its pretty obvious that my 4800 volume chart is printing much more candles then it supposed to print

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Re: volume bar = contract?

Postby Tresor » 12 Apr 2011

O66 wrote:so im not able to plot the charts you mentioned.


You are able to do it. You wil have only 1 bar plotted, which is enough for the experiment.

O66 wrote:do you really need them?


You need them. All 3 charts in portrait mode (Window - arrange vertically) in one workspace (easy for comparison purposes).

O66 wrote:its pretty obvious that my 4800 volume chart is printing much more candles then it supposed to print


But less obvious may be a combination of the below:
- MC uses incorrect field in zen-fire API for volume, or
- zen-fire has bugs in their data feed API
- zen-fire filters ticks
- yet something else,
which I can only tell you after you post the screenshot the way I suggested.

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Re: volume bar = contract?

Postby O66 » 12 Apr 2011

ok thanks for the help.
i will post after market.

here is a video of 4800 contract.
http://bit.ly/eMYJIB

The total volume doesn't add 4800 for a new bar....

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Re: volume bar = contract?

Postby O66 » 12 Apr 2011


Tresor
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Re: volume bar = contract?

Postby Tresor » 12 Apr 2011

Good.

I. Your problem is a combination of many issues:
1. this bug: https://www.multicharts.com/pm/viewissue ... e_no=MC-45
2. this bug: https://www.multicharts.com/pm/viewissue ... e_no=MC-46
3. zen-fire in its API provides both:
(i) unfiltered ticks and MC shows volume data based on unfiltered ticks in the status line, and
(ii) heavily filtered ticks and MC uses filtered ticks data to plot both volume study and plot volume bars.

II. Problems 1 and 2 can be solved by MC alone. Problem 3 can be solved by MC and zen-fire working together - zen-fire simply has to tell MC which API cell transmits unfiltered ticks*.

* It may be the case that no unfiltered tick data can be availed by zen-fire. I personally doubt they can provide unfiltered ticks for free.
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Re: volume bar = contract?

Postby O66 » 12 Apr 2011

ok thats clear.
i wait for the update

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Re: volume bar = contract?

Postby Tresor » 12 Apr 2011

O66 wrote:ok thats clear.
i wait for the update


I think you shouldn't wait. You should act. You should run additional tests and report a bug in MC - zen-fire integration in project management here: https://www.multicharts.com/pm/

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Re: volume bar = contract?

Postby Tresor » 12 Apr 2011

Revised picture. I omitted latencies* (I call them 'latencies' but they may very well be a bug - to be determined by MC staff or by you in further tests) in volume between 3 charts that is transmitted in status lines.

* If this is latency then MC should seriously consider multi-core and multithread support for chart drawing and bar plotting (and not only for optimization).
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TJ
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Re: volume bar = contract?

Postby TJ » 12 Apr 2011

just a note...

re: 1 day = 86,400 sec

make sure you are comparing apples to apples,
the 3 charts should be of the same time frame.

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Re: volume bar = contract?

Postby Tresor » 12 Apr 2011

TJ wrote:just a note...

re: 1 day = 86,400 sec

make sure you are comparing apples to apples,
the 3 charts should be of the same time frame.


1 day = 24h = 1,440 min = 86,400 sec = apples to apples

There is no need for the purpose of the experiment to compare apples to oranges (1 day vs 5,000,000 contracts). The daily volume on the instrument he selected will hardly be higher than 5 million contracts. MC should therefore plot daily volume (less than 5 million) on his 5,000,000 contract bar anyway*. If he gets more than 1 bar** of 5,000,000 contracts per day, this is even a clearer evidence of the bug in MC - zen-fire integration

* unless the logic of how volume bars are plotted in MC changed recently.
** for the sake of experiment the volume resolution can be increased from 5,000,000 to 100,000,000 though

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TJ
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Re: volume bar = contract?

Postby TJ » 12 Apr 2011

1 day of RTH =/= 24 hrs

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Re: volume bar = contract?

Postby O66 » 13 Apr 2011

i tried with euro and volume seems better but still not the same

http://screencast.com/t/FglX1J0r5qB2

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Re: volume bar = contract?

Postby Tresor » 13 Apr 2011

O66 wrote:i tried with euro and volume seems better but still not the same


Should be:
(i) the same (accross all resolutions in Volume study and equal to volume transmitted in the status line, AND equally important
(ii) 100% equal to exchange official volume.

You can achieve (i) and (ii) with IQ feed.

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Re: volume bar = contract?

Postby Stan Bokov » 16 May 2011

Dear traders,

Thank you very much everyone for helping us discover this bug. Tresor's assumptions are not relevant to this error, but during investigation we discovered that when you turn on the DOM, in MC7 and using Zen-Fire, MultiCharts would count ticks improperly, resulting in improper volume. This only happened when the DOM was turned on. This has been fixed already and will be avialable in MC7 Beta 4.

https://www.multicharts.com/pm/viewissue ... _no=MC-267

Once again, thank you all for helping us identify and fix this issue.


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