Good Morning,
Yesterday, I noticed that Streaming Charts with the IQFeed source overstates volume. As the tick data comes in, the volume accumulates on the "ghost bar", grossly overstated. When the chart adds a new bar, the "ghost bar" volume becomes the value for the new Bars.Count-1 in the data series.
(I can add images tomorrow... has to be captured in real time).
Observations and Conditions:
1) May be intermittent - Perhaps it's a data feed problem with ticks coming from DTN
2) Refreshing the charts (reloading the data not required) corrects the historical bars
3) Issue applies to all Intraday Streaming Scales
3a) Workspace has several streaming charts. Multiple scales on same symbol
4) Noticed with AMZN, NVDA and NFLX on 11/3 and 11/4
5) My streaming charts have an attached C# strategy to present indicators (no Execute method code)
Perhaps it's a matter of requesting the historical volume (at chart scale) for the most recent period when a bar is added. Sure the ghost would be overstated, but the Bars.Volume series would be fine.
For now it's just a minor nuisance for me (I don't automate trades). But, folks using volume triggers in real-time strategies could be adversely affected.
WL7 has really come along. I've retired WL6 altogether. Thanks for the great effort!
~ Rick
Yesterday, I noticed that Streaming Charts with the IQFeed source overstates volume. As the tick data comes in, the volume accumulates on the "ghost bar", grossly overstated. When the chart adds a new bar, the "ghost bar" volume becomes the value for the new Bars.Count-1 in the data series.
(I can add images tomorrow... has to be captured in real time).
Observations and Conditions:
1) May be intermittent - Perhaps it's a data feed problem with ticks coming from DTN
2) Refreshing the charts (reloading the data not required) corrects the historical bars
3) Issue applies to all Intraday Streaming Scales
3a) Workspace has several streaming charts. Multiple scales on same symbol
4) Noticed with AMZN, NVDA and NFLX on 11/3 and 11/4
5) My streaming charts have an attached C# strategy to present indicators (no Execute method code)
Perhaps it's a matter of requesting the historical volume (at chart scale) for the most recent period when a bar is added. Sure the ghost would be overstated, but the Bars.Volume series would be fine.
For now it's just a minor nuisance for me (I don't automate trades). But, folks using volume triggers in real-time strategies could be adversely affected.
WL7 has really come along. I've retired WL6 altogether. Thanks for the great effort!
~ Rick
Rename
Okay thanks, we'll look into it today.
Before Chart Refresh
After Chart Refresh
After Chart Refresh
Popped open the IQFeed Watchlist and website. The watchlist describes volume with two columns Inremental-Volume and Volume (session total).
On the IQFeed site, I see that the data feed has two tick-related volume values: "Most Recent Trade Size" and "Last Size".
Last-Size is described as Last Qualified Trade Size
Most-Recent-Trade-Size is described to include non-qualified trades.
Finally, the data item Total Volume described as "Today's cumulative volume in number of shares"
Sorry that I can't be more help than that. Retired IT-director, and a good one, but my development skills pale compared to pros like you!
RJ
On the IQFeed site, I see that the data feed has two tick-related volume values: "Most Recent Trade Size" and "Last Size".
Last-Size is described as Last Qualified Trade Size
Most-Recent-Trade-Size is described to include non-qualified trades.
Finally, the data item Total Volume described as "Today's cumulative volume in number of shares"
Sorry that I can't be more help than that. Retired IT-director, and a good one, but my development skills pale compared to pros like you!
RJ
No worries Rich, we've got a handle on it and will get a fix out next week.
The issue is that we're including the trade size from the messages with Trade Type "Other" instead of only the Qualified trades.
The issue is that we're including the trade size from the messages with Trade Type "Other" instead of only the Qualified trades.
Very nice looking charts, btw!
Thanks Glitch... That's actually the ClearMethod version of PeakTroughCalculator I've been working on. Next step is to write it being derived from the WL7 PTC class. Following that, I want to try creating an indicator.
The ultimate goal is to have enough workable data to support price action methods like Wyckoff or even the "Elliot math". To that end, along with PeakTroughs (list) I think there will be another list object with bar-by-bar data describing the state of the market (trending, ranging, channeling, expansion).
Price action is really difficult to automate... Brains and eyes are hard to beat, so time will tell...
The ultimate goal is to have enough workable data to support price action methods like Wyckoff or even the "Elliot math". To that end, along with PeakTroughs (list) I think there will be another list object with bar-by-bar data describing the state of the market (trending, ranging, channeling, expansion).
Price action is really difficult to automate... Brains and eyes are hard to beat, so time will tell...
Looks interesting Rich. I have a similar strategy that also incorporates patterns. Instead of the pattern matching approach of WL7 (which is amazing for scanning) and identifying potential new patterns.
I use a PTC method that looks at combination of swings to recognize patterns. I have a pattern database of about 20k confirmed patterns (mainly H&S, Cup and double and triple bottom/tops). I'm in the process of converting everything over to WL7 where I can then optimize the logic so it captures all those patterns and find the ideal trading logic to capitalizing on those trading patterns.
I use a PTC method that looks at combination of swings to recognize patterns. I have a pattern database of about 20k confirmed patterns (mainly H&S, Cup and double and triple bottom/tops). I'm in the process of converting everything over to WL7 where I can then optimize the logic so it captures all those patterns and find the ideal trading logic to capitalizing on those trading patterns.
Build 9 is ready to download with the fix for Streaming volume!
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