Up-Down-volume-features

Despite the ability to access tick data, it's unlikely that you'll be able to analyze this kind of data in real time using a trading strategy in WealthLab.

Here's how strategies operate in a streaming chart:
1. A bar is created from the tick stream. (A bar can be 1 tick, n-ticks, n-seconds, n-minutes, etc.)
2. The bar is added to the chart history.
3. The strategy runs on the entire chart history.

Consequently if a bar is "every tick", there's an immense amount of house-keeping and processing that has to occur for each one. Being very upfront with you, WealthLab is not built to run strategies in real time on a tick-by-tick level. If you require that, please look elsewhere and let us know what you find!

QUOTE:
in Tradestation, you are able to separate "up" and "down" volume, based on whether the trade hits the bid or the ask.

So are you saying TradeStation has a "historical" data provider of Bid and Ask prices that allows "up" and "down" volume to be backtested over time? If so, can you name this historical Bid and Ask data provider? (I can't think of one, but I don't know everything.)

As you know, WealthLab is a backtesting platform, not a real-time trading platform. So we need to have historical Bid and Ask data to make up/down backtesting of volume action possible.

TradeStation's up volume/down volume is not available via its API, only in its platform. Those indicators are created from its local tick database. I don't believe the question here is about running a strategy every tick, but rather accessing historical up/down volume and perhaps other things driven from tick data. WealthLab does support tick data so it would be theoretically possible for it to construct indicators like up/down volume on a historical basis but we haven't done it so far.

@Glitch Yes, I was thinking of using tick data, but not 1-tick bars. I've been researching it, and it looks like it may be possible through the API. I was thinking of accessing tick data, then building it into 5-minute bars through Wealthlab's programming capabilities. I could then recreate up/down volume calculations through my own programming, and be able to conduct order flow analysis. What do you think?

I would approach it by creating a custom Historical Data Provider, internally it could leverage the ticks data to compose the bars, like you suggest. It could create "Named Series" for Up/Down volume.

QUOTE:
approach it by creating a custom Historical Data Provider

Yes, if you had a historical data provider for "recent" Bid and Ask data (and corresponding volume all as a Named Series), then you could craft a custom indicator for up/down volume behavior. I like that approach too.
https://www.wealth-lab.com/Support/ExtensionApi/HistoricalDataProvider

After you get the Name Series defined for the "recent" Bid, Ask, and Volume historical provider, then you can craft the up/down volume indicator. https://www.wealth-lab.com/Support/ExtensionApi/IndicatorLibrary

You could use this up/down volume behavior to help set Bid and Ask prices for trading. It's an interesting idea. I wonder how many people would use it?

Thanks. I think I will be able to do it, given some time. Either way, it's good to know that it is possible to analyze volume as I have been doing in Tradestation. That was really the one hang-up I had, previous to this conversation. So, I think I will be able to join, and create a few things for you guys. Thanks.

QUOTE:
and create a few things for you guys.

It's good to have another programmer aboard! I think you'll find the WealthLab framework very powerful.

One of its best features is that WealthLab will interface with external program libraries for numerical analysis and statistics (e.g. Math.NET), signal processing (e.g. NWaves), and plotting (e.g. ScottPlot).