iqfeed intraday bar volume  [SOLVED]

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mjm
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iqfeed intraday bar volume

Postby mjm » 17 Oct 2012

I am seeing strange Volume values for intraday bars using IQFeed. Rather than seeing the expected trading volume for the bar (say 1-minute), I get a constant large value. That value is equal to what QuoteManager says the "UpVol" is for the instrument, but the "TotalVol" field in QuoteManager looks like the value I want. I've attached a screenshot of the QuoteManager EditData window and the output of a simple signal.

Steps I took:

* In Portfolio Backtester, added the following signal:

Code: Select all

Print(GetSymbolName, " ", (Date+19000000):0:0, " ", Time:0:0,
      " OHLC[", Open:0:2, " ", High:0:2, " ", Low:0:2, " ", Close:0:2, "] ",
      " Vol ", Volume:0:0);

* In Portfolio Backtester, added a single Instrument from IQFeed. In the Insert Instrument / Settings tab, I chose Resolution 1 Minute, Quote Field "Trade", Sessions "Default", and Build Volume On "Trade Volume".

* When I run this strategy I see the following:

Code: Select all

AAON 20121015 1553 OHLC[18.85 18.85 18.85 18.85]  Vol 324723904
AAON 20121015 1555 OHLC[18.85 18.85 18.84 18.84]  Vol 324723904
AAON 20121015 1556 OHLC[18.88 18.88 18.87 18.87]  Vol 324723904
AAON 20121015 1557 OHLC[18.89 18.89 18.89 18.89]  Vol 324723904
AAON 20121015 1558 OHLC[18.88 18.89 18.88 18.89]  Vol 324723904
AAON 20121015 1559 OHLC[18.87 18.87 18.87 18.87]  Vol 324723904
AAON 20121015 1600 OHLC[18.87 18.90 18.87 18.87]  Vol 324723904

When you compare this to the QuoteManager screenshot, you will see that the Volume values match the "UpVol" column. I guess this is consistent with the PowerLanguage documention for "Volume", which says: "For tick and volume-based charts, and time-based charts with resolutions of 24 hours or less: the volume traded on Up ticks will be returned if Build Volume On is set to Trade Volume; the number of Up ticks in the current bar will be returned if Build Volume On is set to Tick Count."

But I don't want either of these. I just want the total volume for the bar and it appears that value is available to QuoteManager as the "TotalVol" field. Is there a way I can get at the data in the "TotalVol" column instead?

Multicharts 64-bit v8.0.5622.401
IQFeed v4.8.1.7

Thanks,
Mike
Attachments
quotemanager-editdata-AAON.png
QuoteManager EditData screenshot
quotemanager-editdata-AAON.png (55.9 KiB) Viewed 312 times

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TJ
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Re: iqfeed intraday bar volume

Postby TJ » 17 Oct 2012

Use TICKS

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Re: iqfeed intraday bar volume

Postby mjm » 17 Oct 2012

TJ wrote:Use TICKS

I'm not sure I understand ... In Portfolio Backtester I tried Format Instrument / Settings / Resolution "1 Tick", Quote Field "Trade", Built Volume On "Trade Volume". Now I see:

Code: Select all

...
AAON 20121015 1557 OHLC[18.89 18.89 18.89 18.89]  Vol 50
AAON 20121015 1558 OHLC[18.87 18.87 18.87 18.87]  Vol 150
AAON 20121015 1558 OHLC[18.87 18.87 18.87 18.87]  Vol 50
AAON 20121015 1558 OHLC[18.87 18.87 18.87 18.87]  Vol 50
AAON 20121015 1558 OHLC[18.87 18.87 18.87 18.87]  Vol 50
AAON 20121015 1558 OHLC[18.87 18.87 18.87 18.87]  Vol 50
AAON 20121015 1558 OHLC[18.87 18.87 18.87 18.87]  Vol 50
AAON 20121015 1558 OHLC[18.87 18.87 18.87 18.87]  Vol 50
AAON 20121015 1559 OHLC[18.87 18.87 18.87 18.87]  Vol 50
AAON 20121015 1559 OHLC[18.88 18.88 18.88 18.88]  Vol 50
AAON 20121015 1559 OHLC[18.88 18.88 18.88 18.88]  Vol 50
AAON 20121015 1559 OHLC[18.88 18.88 18.88 18.88]  Vol 50
AAON 20121015 1559 OHLC[18.89 18.89 18.89 18.89]  Vol 100
AAON 20121015 1559 OHLC[18.90 18.90 18.90 18.90]  Vol 50
AAON 20121015 1559 OHLC[18.90 18.90 18.90 18.90]  Vol 50
AAON 20121015 1559 OHLC[18.87 18.87 18.87 18.87]  Vol 50

These volume numbers look more reasonable. But I was hoping MultiCharts could aggregate them to the bar level, say 1-minute or 60-minute bars. Did I misunderstand your suggestion?

Thanks,
Mike

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Re: iqfeed intraday bar volume  [SOLVED]

Postby TJ » 17 Oct 2012

I don't mean using resolution "1 Tick".

I meant to replace the keyword VOLUME with TICKS in your code:

Code: Select all

Print(GetSymbolName, " ", (Date+19000000):0:0, " ", Time:0:0,
      " OHLC[", Open:0:2, " ", High:0:2, " ", Low:0:2, " ", Close:0:2, "] ",
      " Vol ", TICKS:0:0);



ps. look up the definition for TICKS. It is a legacy thing. :-(
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Re: iqfeed intraday bar volume

Postby mjm » 17 Oct 2012

TJ wrote:ps. look up the definition for TICKS. It is a legacy thing. :-(


Wow, I never would have found that. It works! And to save others the confusion, here is the very helpful documentation for the 'Ticks' function:

Code: Select all

Returns the total volume for the current bar if Build Volume On is set to Trade Volume.
... With Build Volume On is set to Trade Volume:
   - the volume of the current tick will be returned for 1-tick charts
   - the total volume of the current bar will be returned for multi-tick, volume, and time-based charts

Thanks so much for pointing this out!

-Mike
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Re: iqfeed intraday bar volume

Postby TJ » 17 Oct 2012

You are welcome.

Good trading to you.
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Re: iqfeed intraday bar volume

Postby moses » 16 Dec 2012

??!!
I've been frustrated all day trying to figure out what was wrong with my code!

Obviously easylanguage and powerlanguage are not the same!
Is there any reason at all that 'ticks' means 'volume', and 'volume' means 'up volume' in Multicharts?

I almost cannot believe this - MC, you need to create a smooth user experience for these very basics, so we'll invest our time getting frustrated with trading, not how to use 'volume'!!!

Okay, rant over..


TJ, thank you again!

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Re: iqfeed intraday bar volume

Postby TJ » 16 Dec 2012

moses wrote:??!!
I've been frustrated all day trying to figure out what was wrong with my code!

Obviously easylanguage and powerlanguage are not the same!
Is there any reason at all that 'ticks' means 'volume', and 'volume' means 'up volume' in Multicharts?

I almost cannot believe this - MC, you need to create a smooth user experience for these very basics, so we'll invest our time getting frustrated with trading, not how to use 'volume'!!!

Okay, rant over..

TJ, thank you again!

For your information, this is not a MultiCharts "invention".
The TICKS and VOLUME keywords in PowerLanguage are the same as in EasyLanguage,
which have not changed in TS for over 25 years.

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Re: iqfeed intraday bar volume

Postby moses » 16 Dec 2012

??!!

now i feel even stupider than i normally do..

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Re: iqfeed intraday bar volume

Postby TJ » 16 Dec 2012

moses wrote:??!!
now i feel even stupider than i normally do..

You are not alone.


This is a legacy thing.

It started way back, when the exchanges only report trades, but not intraday volume information. So people count the number of trades reported (ie ticks), and use that as intraday "volume".
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