Ticks vs. Q_TotalVolume discrepancy

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JoshM
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Ticks vs. Q_TotalVolume discrepancy

Postby JoshM » 11 Jul 2012

According to the help file for Ticks, Ticks returns "total volume for the current bar if Build Volume On is set to Trade Volume".

However, adding the following indicator to such a chart shows that Q_TotalVolume is missing ticks. (Or am I missing something?)

Code: Select all

Variables:
   IntraBarPersist PrevVolume(0);

if (LastBarOnChart_s = True) then begin

   Print(TimeNow, "Ticks: ", Ticks, "  totalVolume: ", Q_TotalVolume,
         IffString(Q_TotalVolume = PrevVolume, " <--- ", ""));
   
   PrevVolume = Q_TotalVolume;   
end;


Gives:

Code: Select all

11-07_15:07:31  Ticks:  139.00  totalVolume: 219780.00
11-07_15:07:44  Ticks:  149.00  totalVolume: 219790.00
11-07_15:07:50  Ticks:  153.00  totalVolume: 219794.00
11-07_15:08:09  Ticks:   14.00  totalVolume: 219808.00
11-07_15:08:09  Ticks:   84.00  totalVolume: 219894.00
11-07_15:08:10  Ticks:   86.00  totalVolume: 219897.00
11-07_15:08:10  Ticks:  100.00  totalVolume: 219897.00 <---
11-07_15:08:10  Ticks:  103.00  totalVolume: 219897.00 <---
11-07_15:08:10  Ticks:  106.00  totalVolume: 219900.00
11-07_15:08:10  Ticks:  109.00  totalVolume: 219913.00
11-07_15:08:10  Ticks:  119.00  totalVolume: 219913.00 <---
11-07_15:08:12  Ticks:  120.00  totalVolume: 219914.00
11-07_15:08:30  Ticks:  125.00  totalVolume: 219924.00
11-07_15:08:56  Ticks:  130.00  totalVolume: 220358.00
11-07_15:08:56  Ticks:  342.00  totalVolume: 220358.00 <---
11-07_15:08:56  Ticks:  343.00  totalVolume: 220358.00 <---
11-07_15:08:56  Ticks:  344.00  totalVolume: 220358.00 <---
11-07_15:08:56  Ticks:  518.00  totalVolume: 220358.00 <---
11-07_15:08:56  Ticks:  549.00  totalVolume: 220358.00 <---
11-07_15:08:56  Ticks:  564.00  totalVolume: 220358.00 <---
11-07_15:09:00  Ticks:  664.00  totalVolume: 220458.00
11-07_15:09:01  Ticks:  669.00  totalVolume: 220468.00
11-07_15:09:04  Ticks:  674.00  totalVolume: 220477.00
11-07_15:09:04  Ticks:  683.00  totalVolume: 220477.00 <---
11-07_15:09:10  Ticks:  687.00  totalVolume: 220481.00


As can be seen, if Ticks increments compared from the previous tick, Q_TotalVolume doesn't increment. Also, compared with the Ticks value, Q_TotalVolume is missing volume.

Since Q_TotalVolume returns the same value as the volume in the chart's Status Line, does that also mean the reported volume in the Status Line is incorrect?

Using MultiCharts Version 8.0 Release (Build 5605).

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Re: Ticks vs. Q_TotalVolume discrepancy

Postby SUPER » 11 Jul 2012

Bowlesj3, did a comprehensive study on missing tick some time back and it may provide some additional information: viewtopic.php?f=1&t=6877
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Re: Ticks vs. Q_TotalVolume discrepancy

Postby JoshM » 12 Jul 2012

SUPER wrote:Bowlesj3, did a comprehensive study on missing tick some time back and it may provide some additional information: viewtopic.php?f=1&t=6877

Thanks Super. I don't know if it's related to the BarStatus, it doesn't seem so (at least, I don't see a reliable pattern):

Code: Select all

12-07_13:05:02    BarTime: 13:05:00  BarStatus: 1  Ticks: 683  TotalVolume: 432790
12-07_13:05:03    BarTime: 13:05:00  BarStatus: 2  Ticks: 683  TotalVolume: 432908
12-07_13:05:03    BarTime: 13:06:00  BarStatus: 0  Ticks: 32  TotalVolume: 432908 <---
12-07_13:05:03    BarTime: 13:06:00  BarStatus: 1  Ticks: 41  TotalVolume: 432908 <---
12-07_13:05:03    BarTime: 13:06:00  BarStatus: 1  Ticks: 55  TotalVolume: 432908 <---
12-07_13:05:03    BarTime: 13:06:00  BarStatus: 1  Ticks: 116  TotalVolume: 432908 <---
12-07_13:05:03    BarTime: 13:06:00  BarStatus: 1  Ticks: 117  TotalVolume: 432908 <---
12-07_13:05:03    BarTime: 13:06:00  BarStatus: 1  Ticks: 118  TotalVolume: 432908 <---
12-07_13:05:07    BarTime: 13:06:00  BarStatus: 1  Ticks: 119  TotalVolume: 432910
12-07_13:05:07    BarTime: 13:06:00  BarStatus: 1  Ticks: 120  TotalVolume: 432910 <---
12-07_13:05:07    BarTime: 13:06:00  BarStatus: 1  Ticks: 121  TotalVolume: 432912
12-07_13:05:07    BarTime: 13:06:00  BarStatus: 1  Ticks: 122  TotalVolume: 432916
12-07_13:05:07    BarTime: 13:06:00  BarStatus: 1  Ticks: 126  TotalVolume: 432916 <---
12-07_13:05:11    BarTime: 13:06:00  BarStatus: 1  Ticks: 128  TotalVolume: 432918
12-07_13:05:13    BarTime: 13:06:00  BarStatus: 1  Ticks: 129  TotalVolume: 432919
12-07_13:05:16    BarTime: 13:06:00  BarStatus: 1  Ticks: 130  TotalVolume: 432920
12-07_13:05:27    BarTime: 13:06:00  BarStatus: 1  Ticks: 131  TotalVolume: 432921
12-07_13:05:28    BarTime: 13:06:00  BarStatus: 1  Ticks: 206  TotalVolume: 432996
12-07_13:05:42    BarTime: 13:06:00  BarStatus: 1  Ticks: 211  TotalVolume: 433026
12-07_13:05:43    BarTime: 13:06:00  BarStatus: 1  Ticks: 236  TotalVolume: 433046
12-07_13:05:43    BarTime: 13:06:00  BarStatus: 1  Ticks: 256  TotalVolume: 433046 <---
12-07_13:05:46    BarTime: 13:06:00  BarStatus: 1  Ticks: 258  TotalVolume: 433048
12-07_13:05:46    BarTime: 13:06:00  BarStatus: 1  Ticks: 268  TotalVolume: 433058
12-07_13:05:47    BarTime: 13:06:00  BarStatus: 1  Ticks: 278  TotalVolume: 433178
12-07_13:05:47    BarTime: 13:06:00  BarStatus: 1  Ticks: 285  TotalVolume: 433178 <---
12-07_13:05:47    BarTime: 13:06:00  BarStatus: 1  Ticks: 292  TotalVolume: 433178 <---
12-07_13:05:47    BarTime: 13:06:00  BarStatus: 1  Ticks: 384  TotalVolume: 433178 <---
12-07_13:05:47    BarTime: 13:06:00  BarStatus: 1  Ticks: 385  TotalVolume: 433178 <---
12-07_13:05:47    BarTime: 13:06:00  BarStatus: 1  Ticks: 388  TotalVolume: 433178 <---
12-07_13:05:54    BarTime: 13:06:00  BarStatus: 1  Ticks: 561  TotalVolume: 433351
12-07_13:05:58    BarTime: 13:06:00  BarStatus: 1  Ticks: 571  TotalVolume: 433361
12-07_13:06:01    BarTime: 13:06:00  BarStatus: 2  Ticks: 571  TotalVolume: 433363
12-07_13:06:01    BarTime: 13:07:00  BarStatus: 0  Ticks: 2  TotalVolume: 433363 <---
12-07_13:06:08    BarTime: 13:07:00  BarStatus: 1  Ticks: 6  TotalVolume: 433367
12-07_13:06:08    BarTime: 13:07:00  BarStatus: 1  Ticks: 7  TotalVolume: 433368
12-07_13:06:20    BarTime: 13:07:00  BarStatus: 1  Ticks: 9  TotalVolume: 433370
12-07_13:06:25    BarTime: 13:07:00  BarStatus: 1  Ticks: 12  TotalVolume: 433373
12-07_13:06:30    BarTime: 13:07:00  BarStatus: 1  Ticks: 13  TotalVolume: 433374
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 313  TotalVolume: 433886
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 320  TotalVolume: 433886 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 327  TotalVolume: 433886 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 349  TotalVolume: 433886 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 352  TotalVolume: 433886 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 478  TotalVolume: 433886 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 507  TotalVolume: 433886 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 514  TotalVolume: 433886 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 521  TotalVolume: 433886 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 525  TotalVolume: 433886 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 530  TotalVolume: 433896
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 535  TotalVolume: 433989
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 547  TotalVolume: 433989 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 549  TotalVolume: 433989 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 556  TotalVolume: 433989 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 563  TotalVolume: 433989 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 613  TotalVolume: 433989 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 619  TotalVolume: 433989 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 621  TotalVolume: 433989 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 625  TotalVolume: 433989 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 626  TotalVolume: 433989 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 628  TotalVolume: 433989 <---
12-07_13:06:38    BarTime: 13:07:00  BarStatus: 1  Ticks: 647  TotalVolume: 434039
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 656  TotalVolume: 434087
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 660  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 678  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 679  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 683  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 686  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 687  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 694  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 695  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 696  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 701  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 703  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 714  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 725  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 726  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 736  TotalVolume: 434100
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 738  TotalVolume: 434100 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 739  TotalVolume: 434100 <---


Code: Select all

Variables:
   IntraBarPersist PrevVolume(0);

if (LastBarOnChart_s = True) then begin

   Print(TimeNow,
         "  BarTime: ", FormatTime("HH:mm:ss", ELTimeToDateTime_s(Time_s)),
         "  BarStatus: ", NumToStr(BarStatus(1), 0),
         "  Ticks: ", NumToStr(Ticks, 0),
         "  TotalVolume: ", NumToStr(Q_TotalVolume, 0),
         IffString(Q_TotalVolume = PrevVolume, " <--- ", ""));
   
   PrevVolume = Q_TotalVolume;   
end;

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Re: Ticks vs. Q_TotalVolume discrepancy

Postby bowlesj3 » 13 Jul 2012

These are my notes on this. Last time I checked it the issue was largely fixed but there were a few missing ticks. I was not checking against volume. This was all done before the check box to skip ticks that have the same price (which defaults to skipping the ticks which I think should be the other way around personally).


NOTE: this project management entry may already cover the issue and it may be fixed.
https://www.multicharts.com/pm/viewissue ... _no=MC-155

Ticks Missing Test using TS & MC with GV Data Sharing.
viewtopic.php?f=1&t=6919&hilit=missing+execution

New Subject: Studies not getting executed on every tick.
viewtopic.php?f=1&t=6877&hilit=missing+execution


Bob's Why I don't trust "IntraBarPersist"
viewtopic.php?f=1&t=6307
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Re: Ticks vs. Q_TotalVolume discrepancy

Postby JoshM » 17 Jul 2012

Thanks for your links and further information John. However, I'm not sure this problem is related to skipping ticks. If it were, wouldn't we expect that the Q_TotalVolume increments without the Print statement being triggered by the indicator? That would indicate that a tick is missed, since the daily volume is incremented without a tick being received/processed.

For example, the output from the post earlier in this thread is

Code: Select all

12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 678  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 679  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 683  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 686  TotalVolume: 434087 <---
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 687  TotalVolume: 434087 <---


But I think that, if ticks are missed, we'd probably see something like this (where TotalVolume increments more than the trades received):

Code: Select all

12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 678  TotalVolume: 434087
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 679  TotalVolume: 434120
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 683  TotalVolume: 434150
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 686  TotalVolume: 434195
12-07_13:06:41    BarTime: 13:07:00  BarStatus: 1  Ticks: 687  TotalVolume: 435120


(But I'm not sure if this reasoning is correct).

---------------

MC support, can you comment on this thread? It's documented enough and also old enough (almost a week) to warrant a response from your side. Thanks.

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Re: Ticks vs. Q_TotalVolume discrepancy

Postby Henry MultiСharts » 18 Jul 2012

Josh, that is not guaranteed that all ticks from the chart would be reflected in the status line volume. Chart volume should be compared to the vendor's platform chart volume, status line volume should be compared to the the vendor's platform status line volume.
If you need precise tick volume information-you need to get it from the chart.
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Re: Ticks vs. Q_TotalVolume discrepancy

Postby roslja » 12 Oct 2012

I have faced the same problem. It looks like Q_TotalVolume (DailyVolume) gets updated only once every second. It does not tick at all. Your prints confirm the same.
Tested with IQFeed.

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Re: Ticks vs. Q_TotalVolume discrepancy

Postby Henry MultiСharts » 15 Oct 2012

Q_TotalVolume (DailyVolume) updates are received from the datafeed with the freguency they are provided by the datafeed.


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