Computing trade and tick volume at the same time

Questions about MultiCharts and user contributed studies.
janus
Posts: 835
Joined: 25 May 2009
Has thanked: 63 times
Been thanked: 104 times

Computing trade and tick volume at the same time

Postby janus » 29 Mar 2020

I have a minute chart with Build Volume On set to Trade Volume. Is it possible to compute the number of ticks as well as the trade volume for each bar?

One approach I tried was to plot the same instrument on the same chart as data2, and have Build Volume On Set to Tick Count. When I do that the volume is always 0 for data2. When I change data2 to 1 tick the volume per tick is obtainable. I can then write code to accumulate the tick count for data2 for each minute bar on data1. I would have thought there was an easier way but apparently not.

User avatar
Anna MultiCharts
Posts: 560
Joined: 14 Jul 2017
Has thanked: 42 times
Been thanked: 140 times

Re: Computing trade and tick volume at the same time

Postby Anna MultiCharts » 03 Apr 2020

Hello janus,

The solution to depends on the selected data provider.
Which one do you use?

janus
Posts: 835
Joined: 25 May 2009
Has thanked: 63 times
Been thanked: 104 times

Re: Computing trade and tick volume at the same time

Postby janus » 03 Apr 2020

IQFeed

User avatar
Anna MultiCharts
Posts: 560
Joined: 14 Jul 2017
Has thanked: 42 times
Been thanked: 140 times

Re: Computing trade and tick volume at the same time

Postby Anna MultiCharts » 01 May 2020

janus,

If you are using IQFeed, the volume will be 0 when trying to build a minute chart with volume based on Tick Count.
To calculate volumes correctly, you should change the settings of the data source. Open QuoteManager -> DataSource -> IQFeed. Check the “Build minute and daily bars based on tick data” option.
Then close Multicharts and all of its applications including QuoteManager and Portfolio (make sure all of MultiCharts processes are ended in Task Manager). Launch MC again and reload your chart: CTRL+R. This way the minute data will be based on ticks, and the volumes should be calculated correctly.

It is also worth mentioning that IQFeed have certain limitations for tick data: they provide 8 days of tick data during market hours and 180 days of ticks outside US market hours. So when you reload your charts, make sure you do that when the markets are closed.

janus
Posts: 835
Joined: 25 May 2009
Has thanked: 63 times
Been thanked: 104 times

Re: Computing trade and tick volume at the same time

Postby janus » 01 May 2020

If you are using IQFeed, the volume will be 0 when trying to build a minute chart with volume based on Tick Count.
To calculate volumes correctly, you should change the settings of the data source. Open QuoteManager -> DataSource -> IQFeed. Check the “Build minute and daily bars based on tick data” option.
Thank you Anna. I did think of that but I wasn't sure it would provide true volume at the same time as true tick count. To do both I had to resort to the approach I highlighted above. Are you saying I'm not really getting the true tick count at the moment using my approach by plotting data2 as a tick chart? If that's the case and I switch to build minute and daily bars on tick data, I can understand I can have the true tick count plotted per minute if I set the chart to "Build Volume on Tick Count", correct? What happens when I plot on another data series with the chart set to "Build Volume on Trade Volume"? Will I still get true volume as I do now or something else? If it does still provide true volume why isn't the option to build minute and daily bars on tick data enabled by default? Is it a workload or speed issue?


Return to “MultiCharts”