Up- and Downvolume at the same time on a 1 Tick chart

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Up- and Downvolume at the same time on a 1 Tick chart

Postby SP » 11 Jun 2011

For some delta bid-ask studies i am plotting a 1 Tick chart. As you can see a the picture i get Upvolume and Downvolume at the same bar.

As i understand a 1 tick should only contain Up- or Downvolume. Is it only a problem with the graphical representations or does it affect the studies too?
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TJ
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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby TJ » 11 Jun 2011

SP wrote:For some delta bid-ask studies i am plotting a 1 Tick chart. As you can see a the picture i get Upvolume and Downvolume at the same bar.

As i understand a 1 tick should only contain Up- or Downvolume. Is it only a problem with the graphical representations or does it affect the studies too?


What keywords are you using to plot the indicator?

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby sptrader » 11 Jun 2011

I noticed that too, if I plot separate upticks and downticks(or up volume, down volume), on a 1 tick chart, they plot the same(equal values), on a 2 or more tick chart they plot different values...bug ? or .....

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby TJ » 11 Jun 2011

sptrader wrote:I noticed that too, if I plot separate upticks and downticks(or up volume, down volume), on a 1 tick chart, they plot the same(equal values), on a 2 or more tick chart they plot different values...bug ? or .....

hint:
look up the definition of the keywords.

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby SP » 11 Jun 2011

TJ wrote:
What keywords are you using to plot the indicator?


You dont need an indicator, just scroll with the Cross Pointer over the chart or watch the Data window on a 1 Tick chart.

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby TJ » 11 Jun 2011

SP wrote:
TJ wrote:
What keywords are you using to plot the indicator?


You dont need an indicator, just scroll with the Cross Pointer over the chart or watch the Data window on a 1 Tick chart.


I don't understand what you are trying to point out.
Can you be more specific on what I should observe? both from the data window, and from your chart above?

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby SP » 11 Jun 2011

TJ, if 1 tick represents one transaction, that trade can be an Uptick (Upvolume) or Downtick (Downvolume). But the marked point shows for that tick an Up Vol of 106 and an Dn Vol of 105.

The Quotemanager shows that 211 contracts were traded at that first tick at 1265,75. And because the tick before was at 1266,00 it is a downtick. If you want to caculate the delta, the delta should go down by a value of 211 and not rise by 1.



So my question is :
- Why MC splits the 211 Dn Vol into 106 UpVol and 105 Dn Vol? The same applies to all ticks before and after that point having a volume greater than 1 (14,20,3,2,7,2 on the
QM picture).
- Can we trust other calculations like traded at bid or ask with data2 as bid and data3 as ask?

I hope it is clear now or do i repeat previously reported problem?
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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby TJ » 11 Jun 2011

SP wrote:TJ, if 1 tick represents one transaction, that trade can be an Uptick (Upvolume) or Downtick (Downvolume). But the marked point shows for that tick an Up Vol of 106 and an Dn Vol of 105.

The Quotemanager shows that 211 contracts were traded at that first tick at 1265,75. And because the tick before was at 1266,00 it is a downtick. If you want to caculate the delta, the delta should go down by a value of 211 and not rise by 1.

The same applies to all ticks before and after that point having a volume greater than 1 (14,20,3,2,7,2 on the
QM picture).

So my question is :
- Why MC splits the 211 Dn Vol into 106 UpVol and 105 Dn Vol?
- Can we trust other calculations like traded at bid or ask with data2 as bid and data3 as ask?

I hope it is clear now or do i repeat previously reported problem?


SP:

Thanks for your explanation.

I will return to my first question,

what keywords are you using?

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby SP » 11 Jun 2011

For a test i only use

value1 = UpTicks - Downticks ;
value2 = value2 + value1;
plot1 ( value2 );

As described the value (UpTicks - Downticks) is always 1 for all bars, so the plot shows only a steady upward curve.

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby TJ » 11 Jun 2011

SP wrote:TJ, if 1 tick represents one transaction, ...


1 tick does not always represent ONE transaction.

Most of the datafeeds aggregate the ticks.

e.g. IB sends a snapshot of approx 300 millisecond intervals.

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby TJ » 11 Jun 2011

SP wrote:For a test i only use

value1 = UpTicks - Downticks ;
value2 = value2 + value1;
plot1 ( value2 );

As described the value (UpTicks - Downticks) is always 1 for all bars, so the plot shows only a steady upward curve.


What is your setting for "Build Volume On"?

is it set to Tick Count or Trade Volume.

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby SP » 11 Jun 2011

TJ wrote:Most of the datafeeds aggregate the ticks.

e.g. IB sends a snapshot of approx 300 millisecond intervals.


They aggregate ticks, but they send you one number and dont send you the upvolume / downvolume distribution for that one tick.

Instead of 60 ticks for that 14:50:22 second Zenfire sends, IB send you only these 2, but 1 volume number per tick.

TJ wrote:is it set to Tick Count or Trade Volume.

To Tradevolume.


If you calculate the MD based on various posted codes as

bid = close data2; ask = close data3;
if Close <= bid then
Deltac = Deltac - MyVol + VolTmp
else if Close >= ask then
Deltac = Deltac + MyVol - VolTmp ;

and you have the TickID saved realtime on the QM the delta seems to be calculated right on that 1 tick chart, with intrabarpersist removed also on historical data not only realtime. So i need to switch to this solution.
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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby TJ » 11 Jun 2011

SP wrote:...

If you calculate the MD based on various posted codes as

bid = close data2; ask = close data3;
if Close <= bid then
Deltac = Deltac - MyVol + VolTmp
else if Close >= ask then
Deltac = Deltac + MyVol - VolTmp ;

and you have the TickID saved realtime on the QM the delta seems to be calculated right on that 1 tick chart, with intrabarpersist removed also on historical data not only realtime. So i need to switch to this solution.


You are losing me here...

Are you charting the bid and ask? or consummated trades?

What are MyVol and VolTmp?
How do they relate to the chart you have at post #1?

Maybe there is a bug here... I better let Stan take a look at this on Monday.

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby Stan Bokov » 14 Jun 2011

I think I have a handle on how MC splits the tick volume (equally), but I will double check for sure, and why it does it that way.

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby Stan Bokov » 15 Jun 2011

Same as here - https://www.multicharts.com/pm/viewissue ... _no=MC-324

Explanation - The volume is divided equally into Up and Down only if you make a 1 Tick chart
(same as in TS).
For other resolutions made out of 1 Tick bars (for instance: 2 Tick, 10 Contract, 5
Point, 1 Change, 3 Seconds), if the price goes up OR remains unchanged it’s
recorded as Up volume. If the price goes down, it’s recorded as Down volume.
You can import only the following resolutions into QuoteManager: Tick, 1 Minute, 1 Day.
If you want to import a file that contains, for instance, 3 Tick bars or 5 Contract
bars, WITHOUT losing the UpVolume and DownVolume inside those bars, we suggest you use ASCII Mapping.
This is expected behavior, not a bug. If you would like to suggest some other
implementation, please add a Feature Request with your suggestion.

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby SP » 15 Jun 2011

Thanks Stan, even it is not the answer i hoped for :)

Is there a plan for future MC versions to make the whole DOM Orderbook data available in Easy Language in realtime?

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby Stan Bokov » 15 Jun 2011

Do you mean the MarketDepth data, i.e. ten levels down each way? We were thinking about it, but the local data base and memory usage would shoot out of proportion within minutes.

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby SP » 15 Jun 2011

Stan,

i dont have a huge CPU load plotting the 10 levels using the IB TwdDde.xls and ELExcel.dll.

The only problem is that it gets only updated on a new tick as all indicators and studies. So i thought i would be easier to have it built in as the data is used by the DOM anyway and you dont need to have Excell open.
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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby Stan Bokov » 15 Jun 2011

Do you mean real-time only, or also remembering and storing values in the local database?

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby SP » 20 Jun 2011

Stan,

at least for me, realtime access to level II data via Powerlanguage is enough.

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Re: Up- and Downvolume at the same time on a 1 Tick chart

Postby Stan Bokov » 20 Jun 2011

If you could make a feature request that would be great.


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