Volume not reflecting actual volume on live data

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Nick
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Volume not reflecting actual volume on live data

Postby Nick » 01 Jul 2013

Hi,

When I plot an intraday chart of an instrument with "build volume on trade volume" selected not all of the incoming ticks are increasing the volume on the display using

plot(volume);

in fact if you also plot(ticks) this is a larger (correct) number.

If you hit refresh it corrects itself but as the live bar continues building the volume does not reflect all the ticks again.

running time and sales alongside it looks like only random ticks (maybe 1 in 4) actually register volume on the chart?

Of course this is easy to get around but it doesn't seem right. I know all the old TS indicators check for bar type but isn't that just legacy stuff and unnecessary now? It still does not explain how volume sometimes updates sometimes not and that a refresh fixes it.

e.g. if BarType >= 2 and BarType < 5 then "use volume" else "use ticks"

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Henry MultiСharts
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Re: Volume not reflecting actual volume on live data

Postby Henry MultiСharts » 01 Jul 2013

Hello Nick,

Which data provider do you use?

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Re: Volume not reflecting actual volume on live data

Postby Nick » 01 Jul 2013

Hi Henry,

I noticed it on Interactive Brokers though have not tested on a non brokerage feed.

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Re: Volume not reflecting actual volume on live data

Postby Henry MultiСharts » 02 Jul 2013

Hello Nick,

Ticks and volume reserved words work slightly differently. Please refer to the corresponding articles.

Also make sure your indicator has the option "Skip identical ticks" unchecked in Format->Study->Format->Properties.

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Re: Volume not reflecting actual volume on live data

Postby Nick » 02 Jul 2013

Hi Henry,

Ahh, OK thanks. So on intra-day charts "ticks" contain the actual volume and volume contains volume on upticks! I don't know why I thought that "legacy" stuff had gone, a senior moment. I guess Omega thought it was a good idea back in the eighties.

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Re: Volume not reflecting actual volume on live data

Postby Nick » 02 Jul 2013

A quick side question that is kinda related. Are there reserved word to get volume conducted at the bid and volume conducted at the ask?

Presuambly this is done through a similar mechanism to upticks but with volume@ask returned instead? I seem to recall a beta before the current implementation that you could get upticks to return the upvolume (volume@bid) though I am probably mistaken.

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Re: Volume not reflecting actual volume on live data

Postby Henry MultiСharts » 02 Jul 2013

Check out UpTicks & DownTicks

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Re: Volume not reflecting actual volume on live data

Postby Nick » 03 Jul 2013

Thanks Henry. I wonder why using existing keywords was chosen rather than introducing new keywords (e.g. UpVolume,DownVolume)? If you want to study up/down ticks and up/down volume on the same data series you can't the way I understand it (which may be incorrect). Of course you could apply a second identical series to the chart (one for ticks one for volume) but that is not as 'clean' and consumes more resources.

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Re: Volume not reflecting actual volume on live data

Postby Henry MultiСharts » 11 Jul 2013

These reserved words adjust based on the settings you are using for your chart:
UpTicks/DownTicks:
Return the total number of Up/Down ticks for the current bar if Build Volume On is set to Tick Count. Return the total Up/Down volume for the current bar if Build Volume On is set to Trade Volume.

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Re: Volume not reflecting actual volume on live data

Postby Nick » 12 Jul 2013

These reserved words adjust based on the settings you are using for your chart:
UpTicks/DownTicks:
Return the total number of Up/Down ticks for the current bar if Build Volume On is set to Tick Count. Return the total Up/Down volume for the current bar if Build Volume On is set to Trade Volume.
Hi Henry I understand that. My point is that it would make more sense to have one set of reserve words for ticks and one set for volume. I can also understand why and how it was implemented like this but a cleaner approach would to not re purpose things.

To read up/down ticks and up/down volume in the same indicator you would need to have two versions of the same data series on the chart (one built on up volume one built on ticks), this is clearly not the most efficient way of doing things.


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