Look at CumulativeVolume-01.jpg
The indicator is cumulative (upticks - downticks).
The yellow one is calling the upticks and downticks (see the code).
The skyblue one is using intrabarpersist and calling upticks and downticks (see the code).
Both plots should be on top of each other. There should only be one line because both plots are essentially measuring the same thing.
One of them is lying
Now note the totals in the Price Scale:
Yellow = 63,504
Skyblue = 39,013
Now look at CumulativeVolume-02.jpg
Note the totals in the Price Scale again.
Yellow = 63,504
Skyblue = 16,964
Intrabarpersist cannot be trusted.
Please! Someone who knows what they are talking about prove me wrong. Don't guess. Show me.
Or I shall go completely insane.
Code: Select all
// This test compares (UPticks - Downticks) VS (IntrabarPersist Cumulative Volume)
// Best tested on Tick charts with "Build Volume On" set to "Trade Volume"
// Theoretically, Tick based bars include all the volume for the bar, whereas
// Volume based bars cut off any left over volume once the bar reaches it's total.
// ie: for a 5000 contract bar, if the bar is at 4975 contracts and a trade comes in
// at 100 contracts, only 25 contracts are used and the other 75 are ignored.
Inputs: MinLotSize(1), MaxLotSize(9999) ;
Var: Cumulativeticks(0) ;
Var: CumulativeSum(0);
Var: intrabarpersist PreviousTicks(0);
Var: intrabarpersist TSize(0);
Var: intrabarpersist UpSum(0);
Var: intrabarpersist DnSum(0);
if BarStatus(1) = 2 then Value1 = 1; //this prevents code from starting in mid-bar
if LastBarOnChart_s and Value1 = 1 then begin
TSize = Ticks - PreviousTicks;
If TSize >= MinLotSize and TSize <= MaxLotSize then Begin
if Close = CurrentBid then DnSum = DnSum + TSize;
if Close = CurrentAsk then UpSum = UpSum + TSize;
End;
PreviousTicks = Ticks;
if BarStatus(1) = 2 then begin
CumulativeSum = CumulativeSum + UpSum - DnSum ; //calculate RT Volume from trades at bid and ask
Plot1(CumulativeSum,"CumulativeSum") ;
Cumulativeticks = Cumulativeticks + Upticks - DownTicks ; //calculates tabulated volume
Plot2(Cumulativeticks, "Cumulativeticks") ;
PreviousTicks = 0;
UpSum = 0;
DnSum = 0;
end;
End;
)
)
. The issue is with CurrentBid CurrentAsk not intrabarpersist. They are read asynchronously. Therefore it is quite possible for them to change whilst you are processing the incoming ticks volume before you get to read them. 
