Volume Charts Wrong By Factor of 10 to 100+

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trader39
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Volume Charts Wrong By Factor of 10 to 100+

Postby trader39 » 31 Aug 2013

In the last versions of MC64, volume charts are presenting at most 10 to 15 ticks per trade even if the trade is 100 x or more the volume increment; leading to large trades being underplotted by orders of magnitude. This is a critical issue because large trades that are 100x or more the norm are exactly the ones which a volume chart should highlight; instead it presents them as merely somewhat above average.

The symbol SHLD on Friday August 30th dramatically illustrates this problem. There are two 100,000 contract trades in quick succession at 12:18:44 and 12:19:20, for a total, including intervening trades, of just over 200,000 contracts. Their volume is correctly reflected in Quote Manager and in a Volume Avg study attached to a tick chart. They also correctly reflect as 10 bars on a 20,000 contract chart. However, they only show as 32 bars (or 32,000 contracts equivalent) on a 1000 contract chart, and merely 38 bars (just 7,600 contracts versus the actual 200,000 total) on a 200 contract chart.

Please advise how to make all volume charts display correctly. Selecting a very large contract interval (eg 20,000) sacrifices far too much information for a symbol like SHLD which ordinarily only trades 100 contracts at a time.
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Henry MultiСharts
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Re: Volume Charts Wrong By Factor of 10 to 100+

Postby Henry MultiСharts » 18 Sep 2013

Hello trader39,

Contract Resolution requires tick data. The bars are plotted based on the volume of each tick. The bar is closed when the volume reaches the specified resolution. MultiCharts uses summation and/or fragmentation of separate ticks volume. Summation of ticks is used when one tick volume is not enough to plot a bar of the required resolution. Fragmentation is used when the volume of one tick exceeds the required volume for plotting a bar. Such bar is split into multiple bars of the specified resolution, though the number of bars of the specified resolution that will appear on the chart is limited. The default fragmentation value is 15 bars. You can change the number of fragmentations in the Registry:

HKEY_CURRENT_USER\Software\TS Support\MultiCharts64\Shaper
TickBreakCount

If you want to have all of the 200 contract bars plotted on your chart you need to set it to 1000.

Please adjust the registry value while MultiCharts and all of its processes are closed.
After that is done start the QuoteManager, right click on SHLD symbol from eSignal and select Clear cache. Once that is done you can plot the chart in MultiCharts.

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TJ
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Re: Volume Charts Wrong By Factor of 10 to 100+

Postby TJ » 28 Oct 2013

Hello trader39,
Contract Resolution requires tick data. The bars are plotted based on the volume of each tick. The bar is closed when the volume reaches the specified resolution. MultiCharts uses summation and/or fragmentation of separate ticks volume. Summation of ticks is used when one tick volume is not enough to plot a bar of the required resolution. Fragmentation is used when the volume of one tick exceeds the required volume for plotting a bar. Such bar is split into multiple bars of the specified resolution, though the number of bars of the specified resolution that will appear on the chart is limited. The default fragmentation value is 15 bars. You can change the number of fragmentations in the Registry:
HKEY_CURRENT_USER\Software\TS Support\MultiCharts64\Shaper
TickBreakCount
If you want to have all of the 200 contract bars plotted on your chart you need to set it to 1000.
Please adjust the registry value while MultiCharts and all of its processes are closed.
After that is done start the QuoteManager, right click on SHLD symbol from eSignal and select Clear cache. Once that is done you can plot the chart in MultiCharts.
Is there a down side on setting the registry to 1000?

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Henry MultiСharts
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Re: Volume Charts Wrong By Factor of 10 to 100+

Postby Henry MultiСharts » 29 Oct 2013

Is there a down side on setting the registry to 1000?
More bars will be plotted on the chart due to the setting change. The more bars are plotted - the more memory is used.


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