Multicharts Displaying Volume Wrongly

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kasenda victor
Posts: 11
Joined: 14 Dec 2007

Multicharts Displaying Volume Wrongly

Postby kasenda victor » 03 Mar 2008

Hi,

Attached screenshot shows a bar on @YM# using IQFeed. Before and after a refresh of the same screen, the 12:39 bar shows a different volume. Sometimes the difference was greater during faster moving market time.

When the 12:39bar is being built, I pressed Ctrl-R to refresh the chart. While refreshing, the 12:39bar may miss a few ticks, hence the real time built vol is less (vol=825)

After 12:39 bar is built and the next bar is building, I press Ctrl-R again and this time the 12:39 bar shows the correct volume. (vol=873)

This has happened on both IQFeed and OEC data feed. Sometimes I've seen price high/lows become wrong but after refresh it is corrected.

This is dangerous as daytraders who depend on accurate volume display to make trading decision may be reading wrong volume (or indicators may not calculate correctly).

I suspect this is due to how Multicharts refreshes the data - during refresh, it requests for ticks first then minute history. But during minute history load, real time ticks were somehow missed out. That's why the partially built bar got part of the vol/price info (may miss out vol, price high/low pts)


Please help to look into this.

Thanks,
Victor
Attachments
Multicharts displays volumes wrongly.doc
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kasenda victor
Posts: 11
Joined: 14 Dec 2007

Postby kasenda victor » 03 Mar 2008

Hi TS Support,

Could you help advice why the above bar displays a different a volume before and after refresh?

Please advice if Multicharts builds volume correctly, why this is happening.

This happens on both IQFeed and OEC data feeds for YMH8 data. Multicharts 3 beta.

This issue can be replicated by pressiung refresh while the latest bar is being built. The partially built bar would then have the incorrect volume moving forward.


Thanks,
Victor

kasenda victor
Posts: 11
Joined: 14 Dec 2007

Postby kasenda victor » 04 Mar 2008

Hi TS Support,

I've got the issue again today and attached is the screenshot.

Top window shows middle bar in blue box significantly lower than next bar.

Bottom window shows middle bar noticeably higher than the next bar.

Both top and bottom windows are displaying the same feed (IQFeed) and symbol (@YM#)

Trading decision may have been different depending on which window was looked at as the volume was significantly different. But which has the right data?

Could you help to investigate this?

Thanks,
Victor
Attachments
Multicharts displays volumes incorrectly2.doc
(141.5 KiB) Downloaded 44 times

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Andrew Kirillov
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Postby Andrew Kirillov » 05 Mar 2008

Victor,
Our testing doesn't demonstrate any serious discrepancies. The only difference that we can see is the "connection" bar. It is a bar where history is connected to real-time. It is a bar with timestamp when you open a chart. It is theoretically impossible (or too complicated) to get absolutely correct volume on this bar.
If you have the same problem we can't resolve it. You simply need to take it into account.

If you have many discrepancies on IQfeed please:
1. Replace the original DLL the attached one
2. Create a chart. Wait for a few minutes.
3. Create another chart, reload.
4. Highlight differences.
5. Send us the screenshots and logs (Start->Program->MultiCharts-Logs)

kasenda victor
Posts: 11
Joined: 14 Dec 2007

Postby kasenda victor » 05 Mar 2008

Thanks for the explanation Andrew. Yes I am having the issue you describe with the "connection" bar. Hopefully TS Support will one day be able to somehow resolve this issue to get a more accurate volume, as it can show significant differences in fast moving markets if the chart is refreshed/ticks are lost.

e.g. just my two cents on how this could be resolved:
once the "connection" bar is fully formed, compare price+vol with the minute data to see if the bar was really fully formed. Update the previous bar if the price/vol values are different. This basically involves "checking" the previous bar using minute data, which is more reliable than the ticks which may be lost during building of the connection bar.

This method also has the benefit if ticks were lost due to bad connection, the previous bar would still ultimately show accurate values, making Multicharts one of the most accurate/robust charting programs. Currently I feel the existing behaviour is not so robust, and the bars/data being plotted have no integrity/verification.

Once again appreciate your assistance in this matter.

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Andrew Kirillov
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Postby Andrew Kirillov » 10 Mar 2008

Victor,
Yes you suggestion should work. We simply need to change our current data feeding mechanism and it is very tricky. Than you for your observation.


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