Missing zero-volume bars in real time

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Neolystic
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Missing zero-volume bars in real time

Postby Neolystic » 08 May 2007

I have a strategy that runs 24/5 with IB as the datafeed, symbol ESM7, 1 minute compression. Quote Manager Data Source for IB options 'filter bars with zero volume' and 'filter bars with zero price' are UNchecked. Zero-volume bars are not displaying correctly on the chart when in real time. When the chart is reloaded, the zero-volume bars show up.

Here is the real time output from a print command that prints each time the strategy is calculated:

Time=16.00 Market Position = -1.00 barstatus= 2.00
Time=17.00 Market Position = -1.00 barstatus= 2.00
Time=18.00 Market Position = -1.00 barstatus= 2.00
Time=22.00 Market Position = -1.00 barstatus= 2.00

As you can see, the strategy did not run on bars with times from 19.00 to 21.00, because these zero-volume bars did not exist. This causes the strategy to miss trades in real time that are there during backtesting.

Please advise whether there is a setting somewhere that I've missed, or if this is a bug in MC. I'm running 2.0.777.777

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Kate
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Postby Kate » 10 May 2007

IB doesn't return zero-volume ticks for such symbols as ESM7 in real-time. When the price of the next tick doesn't differ from the previous one IB returns zero volume for this tick and thus zero-volume bars appear in history data. So "Filter bars with zero volume" and "Filter bars with zero price" options don't influence real-time data, when checked they will filter out history ticks with zero volume.

Neolystic
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Postby Neolystic » 10 May 2007

Hello Kate,
Thank you for your response. I'd like to suggest that the Multichart team consider 'building' these missing zero-volume bars that IB is not sending. This is important because without them, indicators are not calculated correctly. Using a 1-minute chart as an example, indicators are calculated on the last X bars and not on the laxt X minutes. So on a 30 minute stochastic, for example, if there is no volume for 10 of those minutes, and therefore no bars for these minutes, the stochastic will actually return a value for the last 40 minutes.

As an alternative, do you know if IQFeed or Esignal data fills in these zero-volume bars in real time?

Finally, I'd like to say 'kudos' to the Multicharts team. Although Multicharts has its issues (what software doesn't?), in my opinion it's still the greatest thing since sliced bread. :)

johnyx2
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Joined: 18 Apr 2008

Postby johnyx2 » 24 Dec 2008

Hello there,

I see this is an old post and that the issue described here happens by design in MC.

I would like to request that MC should plot an X minute bar with the last bar's closing price when there was no trades. The reasons where well explained by the author of the topic. I would like to add another situation like a trendline or other drawing tool, indicators, etc.

See, the only one constant and certain in trading is time. We need the time axis to be complete in time charts. If there was no trading during some period we need to know that and drawing tools and indicators should reflect that.

I tried to solve this with 'Show Empty Periods' in 'Format Window', but then weekends shows too, and there was no trading on weekends. But periods when trading is open and there wasn't any, should plot in the time axis.

Maybe you did not get a lot of complaints about this because most people trade liquid instruments which most likely will trade at least one time in any given time period. But when you start looking at illiquid instruments such as pork bellies, palladium or others, this becomes a big problem.

The most important issue for you as the developers, should be the inconsistency between real time and reloaded data.
As stated in the topic, once you restart MC and a new request for data fills these previously non-existent periods, you get a different chart.
Moving Averages, trendlines, etc previously drawn on real time show a different story and drawing tools must be redrawn. Decisions made in real time based on what you see without these empty periods drawn, may have been different if you plot these periods and the worst is that once you restart MC you can see that your decision may not have been the correct one.

I know you guys have a lot on your plate, but please consider this to be implemented soon.

If for some fundamental reason you deem that this is not necessary, please explain. Maybe I am using charts in the wrong way and I can learn how to use them properly if what I described is not an issue.

Thanks

dblend
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Re: Missing zero-volume bars in real time

Postby dblend » 14 Nov 2011

Hi,

I would just like to see if there has been any MC changes or follow ups since this post was made. I trade in a market which is made up of predominantly illiquid stocks. When I perform technical analysis which require historical data points such as a moving average, i need to be able to include zero volume (no trade bars) in order to compute the real moving average value. In addition suppose i would like to trade at next bar, i may have to wait for a long tome before my order is placed.

Currently the only workaround i see is to increase the resolution of a chart such that the likelihood of a zero volume bar is decreased. Any suggestion as to how i can get MC to regard zero volume bars would be greatly appreciated.

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pcrespo
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Re: Missing zero-volume bars in real time

Postby pcrespo » 05 Jan 2017

Does anyone know of a data provider (at least for futures) that sends price information for 0-volume bars?

I ask because I was hoping to trade in Portfolio Trader instead of from a chart, but I can't use IOG in PT, so I'm considering switching providers so my signals can send orders without waiting for the next tick.

(For this little question, I figured it was better to resurrect this old thread than to start a new one.)


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