BUG: Missing Bars

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Chris
Posts: 150
Joined: 17 Nov 2005

BUG: Missing Bars

Postby Chris » 21 Mar 2006

How can I have no Bar on the 343 Volume Chart, when I have 11 Bars on the 49 Volume Chart?

Thank you,

Chris
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Chris
Posts: 150
Joined: 17 Nov 2005

Postby Chris » 21 Mar 2006

As you can see from the screenshot, there are times when there is no consistency in the ratio between those two Volume increments.

Guest

Postby Guest » 21 Mar 2006

Chris wrote:As you can see from the screenshot, there are times when there is no consistency in the ratio between those two Volume increments.


Chris
You are plotting them on the same chart. PLot on seperate charts and I don't believe you will see the problem. The reason this is ocurring is because their routine to place volume bars on the same chart attempts to line up time stamps. The time stamps are accurate only to 1 second. When a large trade comes in which produces multiple bars exceeding the larger time frame. It first handles one time frame then the other. Thats why you see the bar shifted on the longer time frame. They need to change their routine. On a volume bar chart the x axis is volume not time. So bars need to be lined up by volume. Same with tick charts. The X axis is really ticks not time. Its just us humans who need to see time overlayed on each of these type charts. that doesn't mean it should be calculated that way.

Best Regards
J~

Chris
Posts: 150
Joined: 17 Nov 2005

Postby Chris » 22 Mar 2006

J~,

that's exactly what I think - the problem comes with the time stamp. The overall ratio between the two chart increments is correct, but the timestamps create a problem which is only noticeable when you try to syncronize two charts.

Chris

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Alexey Kramer
Posts: 81
Joined: 19 Jul 2005

Postby Alexey Kramer » 24 Mar 2006

Chris,
J~ 's answer is a perfect explanation of the issue. Special thanks to J~.
I believe we need to add a tick order within 1 second. So it will be emulation of milliseconds and allow us to order bars properly. It requires significant changes in our charting engine so it may take some time to develop.

Guest

Postby Guest » 30 Mar 2006

Chris,
J~ 's answer is a perfect explanation of the issue. Special thanks to J~.
I believe we need to add a tick order within 1 second. So it will be emulation of milliseconds and allow us to order bars properly. It requires significant changes in our charting engine so it may take some time to develop.


This is where I disagree with you. While it is a patch I don't believe it is the best solution for the following reasons.

1) It will not work for any imported data such as TS which does not have these time stamps. This means I cannot import my history data to do backtesting.

2) If Large trades come in, it will not work. All the volume bars will have the same time stamp because they are all part of one large trade. This will be exhastrabated on smaller time frames.

I think the only proper solution is to have an invisible volume x axis and count volume as you produce the bars. Then let the time scale fall where it may.

J~

Chris
Posts: 150
Joined: 17 Nov 2005

Postby Chris » 31 Mar 2006

I have thought about your suggestions and what J~ is saying and in my opinion he is right on both counts.

Creating a subsecond timestamp will add more problems and if a big order comes in you will have the same situation again.

Volume Bars are only concerned by Volume and not with time. So the idea to order the Bars only by Volume and not by time makes a lot more sense to me.

Chris

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Alexey Kramer
Posts: 81
Joined: 19 Jul 2005

Postby Alexey Kramer » 03 Apr 2006

J~ and Chris,

Thanks for the comments. Could you explain how count based X-axis should work?

Guest

Postby Guest » 04 Apr 2006

J~ and Chris,

Thanks for the comments. Could you explain how count based X-axis should work?


The X axis is simply running volume. Just like the x-axis for time is running time. This of course will be a big number for volume. But you don't even have to count a running total all you need is barnumber for the smallest compression. Theoretically I should be able to project 20 bars backwards or forward into future and know exactly how much volume has passed in that interval. 20 * (volumebar compression). If I have two volume compressions on a chart the bars are built simultaneously and the first bar to complete is displayed first etc. No volume is thrown away. No bars are short volume. If one compression is an even multiple of the other the bar spacing MUST be consistent otherwise it will not be but thats ok, if thats what is desired ( uneven multiple ). Time can be grabbed from bar closes at whatever desired Bar interval( number of bars between time lines) you want to display for the time. This of course will be dynamic and not equally spaced time wise. Inserting two different symbols is an illegal condition. There is no fixed volume relationship between different symbols.

J~

Chris
Posts: 150
Joined: 17 Nov 2005

Postby Chris » 08 Apr 2006

if you create synthetic bars they will look exactly the same like an overlay of different chart increments should - you will have an exact muliple of bars.

I like J~'s suggestions and they are the step in the right direction.
The implementation of correct Volume Bars needs to exclude the possibility to overlay different symbols.

Maybe it's a good approach to create a new bar type from scratch, so you have two different ones:
a. Volume Bars - the way the are now (what I would call incorrect)
b. Contract Bars - the way described by J~

So no one of your customers will be dissapointed.

Enjoy your weekend,

Chris

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Alexey Kramer
Posts: 81
Joined: 19 Jul 2005

Postby Alexey Kramer » 10 Apr 2006

Thanks J~ and Chris!
I appreciate your suggestions. We will consider it carefully.
Chris why do you think our Volume bars are incorrect?

Chris
Posts: 150
Joined: 17 Nov 2005

Postby Chris » 10 Apr 2006

incorrect only when you overlay them. In all other cases they are just perfect and I like them the way they are.

Thank you,

Chris

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Alexey Kramer
Posts: 81
Joined: 19 Jul 2005

Postby Alexey Kramer » 10 Apr 2006

Thanks for explaination.

Chris
Posts: 150
Joined: 17 Nov 2005

Postby Chris » 03 Aug 2006

the newest official beta still seems to have this problem. Are there any news about this topic? J~ was told that it would be fixed maybe in a month, but that's almost two month ago.

Thank you,

Chris

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Alexey Kramer
Posts: 81
Joined: 19 Jul 2005

Postby Alexey Kramer » 05 Aug 2006

Chris,
We have switched to other tasks so the problem is not solved yet. We will annnounce as soon as it is solved.


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