Difference in tick volume

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atsui
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Difference in tick volume

Postby atsui » 22 Sep 2011

Hi, I have compared the tick volume stored in quotemanager and that stored in the cache of the chart. It seems that the tick volume in the quotemanager is sometimes double of the tick volume in the cache. Is there an explanation for that?

This is the data exported from quotemanager:

21/9/2011,16:14:29,18730.000000,8
21/9/2011,16:14:30,18735.000000,5
21/9/2011,16:14:30,18733.000000,1
21/9/2011,16:14:31,18733.000000,1
21/9/2011,16:14:31,18732.000000,1
21/9/2011,16:14:32,18730.000000,6
21/9/2011,16:14:32,18729.000000,2
21/9/2011,16:14:33,18731.000000,147

I use the following code to print the price and tick volume from a tick chart

print(file("c:\tick_and_volume.txt"),"Date : ",date, ". Time ",time_s, ". Close = ", c of data1, ". Volume is ", v of data1);

This is the data printed from the chart using the above code:

Date : 1110921.00. Time 161429.00. Close = 18730.00. Volume is 4.00
Date : 1110921.00. Time 161430.00. Close = 18735.00. Volume is 3.00
Date : 1110921.00. Time 161430.00. Close = 18733.00. Volume is 1.00
Date : 1110921.00. Time 161431.00. Close = 18733.00. Volume is 1.00
Date : 1110921.00. Time 161431.00. Close = 18732.00. Volume is 1.00
Date : 1110921.00. Time 161432.00. Close = 18730.00. Volume is 3.00
Date : 1110921.00. Time 161432.00. Close = 18729.00. Volume is 1.00
Date : 1110921.00. Time 161433.00. Close = 18731.00. Volume is 74.00

Just wondering if I am missing something?

SP
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Re: Difference in tick volume

Postby SP » 23 Sep 2011

On Tick charts volume is defined as volume+openint or ticks.
Attachments
Volume.jpg
Volume.jpg (82.89 KiB) Viewed 189 times
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Re: Difference in tick volume

Postby Henry MultiСharts » 23 Sep 2011

Hello Atsui.
Please attach the workspace you are using for further investigation.

atsui
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Re: Difference in tick volume

Postby atsui » 23 Sep 2011

Hi,

Thanks for info. Now I realize the definition of volume for tick data is different. I changed to ticks and the volume figures match now.
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