Incorrect tick data using getValue()!!!

[dungn6au47]

Hi Everyone

I have had trouble getting correct tick data, which synchronized with the Close of the interval.

For example we use a 1 minute interval chart of say AMZN and get Close of each interval by

var C = close();

Suppose we're also interested in 5 latest tick prices. Getting them by

var C_1Tick_a5 = getValue("close",0,-5,"AMZN,1T");

And we expect that C_1Tick_a5[0] is equal to C, but I found that is not the case with the following efs:

/****************************************/
var Sym, Interval, SymInterval, Sym1T;

function preMain() {
setStudyTitle("Data_test");
setCursorLabelName("C",0);
setCursorLabelName("C_1Tick",1);
setCursorLabelName("C_1Tick_a5[0]",2);
setCursorLabelName("C_1Tick_a5[1]",3);
setCursorLabelName("C_1Tick_a5[2]",4);
setCursorLabelName("C_1Tick_a5[3]",5);
setCursorLabelName("C_1Tick_a5[4]",6);
setCursorLabelName("10",10);
setDefaultBarFgColor(Color.teal,0);
setDefaultBarFgColor(Color.blue,1);
setDefaultBarFgColor(Color.green,2);
}
function main() {
var nBarState = getBarState();
if(nBarState == BARSTATE_ALLBARS) {
Sym = getSymbol();
Interval = getInterval();
SymInterval = Sym + "," + Interval;
Sym1T = Sym + "," + "1T";
}

var Real = 0; //Assuming historical data

// Check for real time calculation
if(isLastBarOnChart()) {
Real = 1;
var C = close();
var C_1Tick = getValue("close",Sym1T);
var C_1Tick_a5 = getValue("close",0,-5,Sym1T);
if(C_1Tick_a5 == null) {return new Array(Real,15);} // Null check
}
else {
return;
}
return new Array (C,C_1Tick,C_1Tick_a5[0],C_1Tick_a5[1],C_1Tick_a5[2],C_1Tick_a5[3],C_1Tick_a5[4]);

}
/***********************************************/

I ran tick replay of AMZN data of 08/15/03 using the above efs and found that C_1Tick_a5[0],C_1Tick_a5[1],C_1Tick_a5[2],C_1Tick_a5[3],C_1Tick_a5[4] were not the 5 latest tick prices for any moment of time, particularly at the close of each interval. For example, at 07:21 of 08/15/03 the data (from download file)are:

T,030815,072107,40.16,100,NMS
T,030815,072109,40.17,100,NMS
T,030815,072113,40.16,500,NMS
T,030815,072114,40.18,200,PSE
T,030815,072121,40.18,600,PSE
T,030815,072125,40.18,2000,NMS
T,030815,072128,40.14,500,CSE
T,030815,072129,40.14,100,CSE
T,030815,072142,40.17,100,PSE
T,030815,072143,40.18,200,PSE
T,030815,072143,40.18,100,PSE
T,030815,072143,40.18,100,PSE
T,030815,072144,40.19,300,PSE
T,030815,072145,40.19,100,NMS
T,030815,072145,40.19,100,CSE
T,030815,072148,40.19,700,PSE
T,030815,072148,40.19,100,PSE
T,030815,072148,40.19,100,PSE
T,030815,072149,40.19,100,CSE
T,030815,072150,40.19,1000,NMS

and the data of the first tick of the 07:22 interval are:
T,030815,072205,40.2,400,NMS

While, the efs gave:

C = 40.19 [correct Close]

but incorrect tick data

C_1Tick_a5[0] = 40.18 [incorrect, it's the 9th latest, not the latest tick !]
C_1Tick_a5[1] = 40.18 [incorrect, it's the 10th latest]
C_1Tick_a5[2] = 40.18 [incorrect, it's the 11th latest]
C_1Tick_a5[3] = 40.17 [incorrect, it's the 12th latest]
C_1Tick_a5[4] = 40.14 [incorrect, it's the 13th latest]

Please help. Thanks.

Regards
Dzung Nguyen

[eSignal_JasonK]

Hello Dzung,

I've identified a problem with the getValue() function vs. close() and will forward the information to our development team.

It appears that getValue("close", 0, 1, "AMZN,T") returns the second to last tick where close() returns the last tick. The close() function does match time and sales data on a trade-by-trade basis. Below is a modified version of your formula that will display the correct tick data. Basically, I made your array for storing the tick data a global array and used the .pop() .unshift() functions to update the array.

TickData_dungn6au47.efs

[dungn6au47]

Hi Jason

Thanks.
To get the corresponding times for the lastest 5 tick prices, previously I used

var Time1T_a5 = getValue("rawtime",0,-5,Sym1T);

Now, should I continue to use this or it would give me incorrect times as well. If so, please show me how to get the correct corresponding times.

And to get trade volumes of the 5 ticks previously I used

var Volume1T_a5 = getValue("volume",0,-5,Sym1T);

Now, I think I cannot use

var V = volume() ;

since it's the accummulative volume of the bar, except for the tick which is the 1st tick of the bar. How can I go around this problem ?

Regards

Dzung Nguyen

[eSignal_JasonK]

Hello Dzung,

For time and volume, follow the same process as I used for the tick data. Make the arrays global and use the .pop()/.unshift() routine.

For time, you could use the following method to build a string and then stuff the value into your time array.

var vDate = new Date();

var h = vDate.getHours();
if (h < 10) h = "0" + h;

var m = vDate.getMinutes();
if (m < 10) m = "0" + m;

var s = vDate.getSeconds();
if (s < 10) s = "0" + s;

var vTime =  h + ":" + m + ":" + s; 

For volume, just use volume() like I used close() in the previous formula.

By the way, the problem with getValue() was confirmed by the development team and will be fixed for the next public release.

[eSignal_JasonK]

Hi Dzung,

I forgot to mention that volume() will give you the total volume for the interval. If you want the volume of the last trade do the following, which will match time and sales size.

var vol1 = 0;
var vol2 = 0;

function main() {
    if (getCurrentBarIndex() == 0) {
        if (getBarState() == BARSTATE_NEWBAR) vol2 = 0;
        vol2 = vol1;
        vol1 = volume();
        var vTradeVol = vol1 - vol2;
        return vTradeVol;
    } else {
        return;
    }
} 

[eSignal_JasonK]

Hi Dzung,

I just remembered, we have a new function in the newest version that will give you the size of the last trade. If you are on 7.4, use this for volume.

var vTradeVol = getMostRecentTradeSize(); 

[dungn6au47]

Many thanks Jason
Cheers
Dzung

[dungn6au47]

Hi Jason

I change my efs to what you suggested. And it works well in real time. With tick replay, it also works for price data, but not for volume and time data. Recent tick volume is always -1, and recent tick time is current local time. Are there ways to go around these problems ?

Regards
Dzung