Vol Charts Incorrect

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mojotrader
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Vol Charts Incorrect

Postby mojotrader » 25 Feb 2008

Using latest beta, a 41,685,750 vol chart of QQQQ displays incorrect volume as shown in the attached pic. As you reduce the # of contracts per bar, the chart seems to improve.

I can't confirm if this was a problem in the latest production release 2.x as I was not using this kind of chart on QQQQ.

~mojo
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Andrew Kirillov
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Postby Andrew Kirillov » 26 Feb 2008

What does make you think it is incorrect? I think the volume bar size is too large so it couldn't be archived during a single session, but we reset volume count each new trading session. This is why the bars are different and size is less than requested. We haven’t change it in MC 3.0

mojotrader
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Postby mojotrader » 26 Feb 2008

What does make you think it is incorrect? I think the volume bar size is too large so it couldn't be archived during a single session, but we reset volume count each new trading session. This is why the bars are different and size is less than requested. We haven’t change it in MC 3.0


Resetting volume count each trading session explains the problem but I disagree with the implementation and your assumption that my volume is too large.

My objective is to create vol charts representing longer periods of time for entering and holding trades 2-5 days using the same signals I use on much shorter vol based charts. I do not trade daily or any time-based charts. They are useless in my opinion. Markets do not trade in time, only volume, but that is a discussion for another time.

In order to obtain anywhere from 2-20 bars per day on QQQQ based on volume I must use large volume bar settings.

Given that MC resets vol count at the beginning of each session please accept this post as my official request for a new feature that either allows me to define continuous sessions with no time boundries or an option to disable counter reset at beginning of session. Theoretically markets are continuous and sessions are self imposed start/stop points in time for trading. Sessions times should never distort range, volume, or non-time based charts. They are meaningless in this context.

Thanks,
~mojo

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Andrew Kirillov
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Postby Andrew Kirillov » 26 Feb 2008

This question has been discussed many times. You should understand that if we would construct volume bars according to proposed algorithm, the start point changed appearance of the chart. It means that you will have two completely different charts if you use 10 days back and 20 days back.
So why do you think your volume chart make sense? You decided when to start its countdown. It is not market decision, but solely your one.
I think both concepts are not perfect, but we selected the current implementation since different traders with different starting points will have the same indicator values.

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TJ
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Postby TJ » 26 Feb 2008

maybe make both methods available? user can choose in the chart set up.

I know Bill has been asking for the new method for awhile. A choice on method would definitely satisfy both camps.





p.s. same goes for the time stamp. Some people use beginning of bar as time stamp, TS uses end of bar as time stamp. If MC can make both available... it would make MC the most powerful, flexible, and configurable trading program there is. It would make migration seamless for people who want to switch their trading programs to MultiCharts.
Last edited by TJ on 26 Feb 2008, edited 2 times in total.

mojotrader
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Postby mojotrader » 26 Feb 2008

This question has been discussed many times. You should understand that if we would construct volume bars according to proposed algorithm, the start point changed appearance of the chart. It means that you will have two completely different charts if you use 10 days back and 20 days back.
So why do you think your volume chart make sense? You decided when to start its countdown. It is not market decision, but solely your one.
I think both concepts are not perfect, but we selected the current implementation since different traders with different starting points will have the same indicator values.


Andrew,

I understand the issue and I'm sure your programmers/architects have had serious discussions about it. There is no right solution since every trader is different. From my perspective, sessions are nothing more than trading windows imposed by exchanges. Markets still exist but no trading occurs outside a session.

Providing an option to disable counter reset or begin a new rage bar at session start would be the ideal solution for everyone, but I understand the difficulty if MC's underlying architecture isn't desigend for it.

Thanks for your insite and comments on this issue. I hope this can be added to a future version if it's not too difficult.

~mojo

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Andrew Kirillov
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Postby Andrew Kirillov » 27 Feb 2008

I agree. We are going to make this option later this year as I mentioned on ET.


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