Up Volume Down Volume  [SOLVED]

Questions about MultiCharts and user contributed studies.
KhaosTrader
Posts: 186
Joined: 10 May 2012
Has thanked: 14 times
Been thanked: 10 times

Up Volume Down Volume

Postby KhaosTrader » 11 Sep 2012

I see on the saw the reference to the wiki that explains that historical total volume is recorded to the database as total volume and up volume, where down volume is stored as 0.

This sounds like a bug or flaw to me. I would like to have up volume stored as up volume and down volume stored as down volume.

Can you explain why you have it this way? There are some indicators that I am planning to write where I very much would like to know the proper historical up volume and down volume.

So I respectfully ask you to explain why you designed it this way, and when will you make it store up and down volume properly.

User avatar
Henry MultiСharts
Posts: 8387
Joined: 25 Aug 2011
Has thanked: 1201 times
Been thanked: 2681 times

Re: Up Volume Down Volume

Postby Henry MultiСharts » 11 Sep 2012

KhaosTrader, please specify the datafeed, instument and resolution you are using.

KhaosTrader
Posts: 186
Joined: 10 May 2012
Has thanked: 14 times
Been thanked: 10 times

Re: Up Volume Down Volume

Postby KhaosTrader » 11 Sep 2012

I am using IQFEED, i trade stocks, such as AAPL and GOOG.

Time resolutions I use frequently are 1 min, 3 min, 5min, 10min, 15 min, 30 min, 1 hour, 2 hours, 4 hours, 1 day, 1 week.

User avatar
Henry MultiСharts
Posts: 8387
Joined: 25 Aug 2011
Has thanked: 1201 times
Been thanked: 2681 times

Re: Up Volume Down Volume

Postby Henry MultiСharts » 11 Sep 2012

Regarding historical data:
IQFeed does not have a data field for up volume or down volume.
IQFeed has only Incremental Volume and Total Volume.

KhaosTrader
Posts: 186
Joined: 10 May 2012
Has thanked: 14 times
Been thanked: 10 times

Re: Up Volume Down Volume

Postby KhaosTrader » 11 Sep 2012

Well, i see up vol and down volume for the current bar in IQFEED, but not for the past bars.... Therefore I do think it offers support to some degree at least.

Which feeds are u saying does support up and down volume?



Enclosed is a screenshot of upvol and downvol showing up on the current bar of DMND this am.

UpVolDownVol.png
UpVolDownVol.png (84.22 KiB) Viewed 494 times

User avatar
ABC
Posts: 516
Joined: 16 Dec 2006
Has thanked: 110 times
Been thanked: 290 times
Contact:

Re: Up Volume Down Volume

Postby ABC » 11 Sep 2012

Henry MultiСharts wrote:IQFeed does not have a data field for up volume or down volume.
IQFeed has only Incremental Volume and Total Volume.


As far as I know IQFeed provides the bid and ask price at the time of the trade (both for historical tick data as well as realtime data), so it would be possible for MC to provide the information by calculating it. Something that needs to be done for 8.1 anyway, otherwise you wouldn't be able to provide historical delta information.

Regards,

ABC

KhaosTrader
Posts: 186
Joined: 10 May 2012
Has thanked: 14 times
Been thanked: 10 times

Re: Up Volume Down Volume

Postby KhaosTrader » 11 Sep 2012

They definately should correct this in 8.1 , upvol and downvol are very useful pieces of information.

User avatar
Henry MultiСharts
Posts: 8387
Joined: 25 Aug 2011
Has thanked: 1201 times
Been thanked: 2681 times

Re: Up Volume Down Volume  [SOLVED]

Postby Henry MultiСharts » 11 Sep 2012

You did not read my answers.

Henry MultiСharts wrote:Up and down volume are provided and stored for realtime data only.

Henry MultiСharts wrote:For minute-based and daily-based resolutions all historical total volume is recorded to the data base as total volume and is also recorded as up volume. Down volume is empty.
You can find more information in the corresponding Wiki article.

If you collect the data in realtime-volume information will be saved to the database and available in the future.
These users thanked the author Henry MultiСharts for the post:
TJ

KhaosTrader
Posts: 186
Joined: 10 May 2012
Has thanked: 14 times
Been thanked: 10 times

Re: Up Volume Down Volume

Postby KhaosTrader » 11 Sep 2012

Questions

1) does iqfeed offer historic upvol and downvol?

2) if not, how do I save the data realtime?

3) which feeds offer historical upvol and downvol for stocks on minute and hourly timeframes?

User avatar
ABC
Posts: 516
Joined: 16 Dec 2006
Has thanked: 110 times
Been thanked: 290 times
Contact:

Re: Up Volume Down Volume

Postby ABC » 11 Sep 2012

KhaosTrader wrote:Questions

1) does iqfeed offer historic upvol and downvol?

2) if not, how do I save the data realtime?

3) which feeds offer historical upvol and downvol for stocks on minute and hourly timeframes?


1) No, but trade price, trade volume and bid/ask price at the time of the trade. So it could be calculated.
2) MC does this for you automatically.

User avatar
TJ
Posts: 6523
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 957 times
Been thanked: 1883 times

Re: Up Volume Down Volume

Postby TJ » 11 Sep 2012

KhaosTrader wrote:Questions

1) does iqfeed offer historic upvol and downvol?

see post #4

KhaosTrader wrote:2) if not, how do I save the data realtime?

see post #8

KhaosTrader
Posts: 186
Joined: 10 May 2012
Has thanked: 14 times
Been thanked: 10 times

Re: Up Volume Down Volume

Postby KhaosTrader » 11 Sep 2012

1) looking at post 8, it doesnt tell me what settings i must set. so tell me what settings must i set?

2) Which datafeeds will give me upvol and downvol historically without having to collect it realtime? for stocks on hourly and minute charts

User avatar
Henry MultiСharts
Posts: 8387
Joined: 25 Aug 2011
Has thanked: 1201 times
Been thanked: 2681 times

Re: Up Volume Down Volume

Postby Henry MultiСharts » 11 Sep 2012

KhaosTrader wrote:Questions

1) does iqfeed offer historic upvol and downvol?

No.

KhaosTrader wrote:2) if not, how do I save the data realtime?

The data is automatically saved into the database once you close MC and all of its applications.
You can plot the chart to get the data or collect real time data without plotting.

KhaosTrader wrote:3) which feeds offer historical upvol and downvol for stocks on minute and hourly timeframes?

TS

KhaosTrader
Posts: 186
Joined: 10 May 2012
Has thanked: 14 times
Been thanked: 10 times

Re: Up Volume Down Volume

Postby KhaosTrader » 11 Sep 2012

ok i will research it.

TS is the only provider that offers upvol and downvol historically?

User avatar
Henry MultiСharts
Posts: 8387
Joined: 25 Aug 2011
Has thanked: 1201 times
Been thanked: 2681 times

Re: Up Volume Down Volume

Postby Henry MultiСharts » 11 Sep 2012

KhaosTrader wrote:TS is the only provider that offers upvol and downvol historically?

If we are talking about Stock instruments-yes.

KhaosTrader
Posts: 186
Joined: 10 May 2012
Has thanked: 14 times
Been thanked: 10 times

Re: Up Volume Down Volume

Postby KhaosTrader » 11 Sep 2012

Just spoke with IQFEED

Tech support states that the data is available in the stream, and that if the chart software provider wanted to, they deconstruct or construct it such that it would show up valume and dn volume

Basically it would be constructed out of the tick data. As a matter of fact, I was able to see up volume and down volume in tick charts, however I didnt see it in minute charts.

Is it possible for you to construct a minute chart from tick data?

Another way to construct this data would be look at historical time and sales data and then be able to construct the up volume and down volume.

So there are 2 ways that you can construct upvol and downvol historically for IQFEED

KhaosTrader
Posts: 186
Joined: 10 May 2012
Has thanked: 14 times
Been thanked: 10 times

Figured it out

Postby KhaosTrader » 11 Sep 2012

There is a way to get up vol and dn vol in mc on minute bars..

If you select build min and day bars using tick data option in the settings.


Return to “MultiCharts”