import/export "UpVol" for 1 tick bar

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kh_model
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import/export "UpVol" for 1 tick bar

Postby kh_model » 26 Apr 2009

UPDATE: after further observation, I'm not sure if my request below is possible or even desireable anymore, but I will let the experts at TSSupport and others think about it if they wish...

suggestion for QuoteManager:

For 1 tick bars, please allow the user to import and export to fields such as "UpVol" and "DownVol" instead of just limiting to "Volume".

explanation:

1 tick bars contain meaningful information about "Up Vol" and "DownVol" when collected in realtime. Unfortunately, the results cannot be exported and imported even though QuoteManager can collect the data in realtime.

When tick data is used to build range bars or larger tick bars, the "UpVol" and "DnVol" information that they contain can provide clearer information about the market than simply using "Vol".

Thankfully, the ability to import and export "UpVol" and "DownVol" is already present in QuoteManager for 1 minute bars. Unfortunately, with minute bars it is difficult to deal with the time distortions that often occur due to the overnite session, and that is one reason that many analysts use range bars or tick bars at larger intervals.

By using tick bars as the basis for building range bars, for example, one would get the best volume information as well as the least distortion during the overnight session. The ability to import and export that information at the "1 tick" resolution would be usefull for archiving, backtesting, and database management in general.

Quotemanager is already a superior product, but adding this feature would make it even better. Since the functionality has already been implemented for 1 minute bars, adding the same functionality to 1 tick bars should be very easy to do.

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