S&P500 5-min bar Volume discrepancies (EFS Runtime vs Historical)

[pupkin2]

Hi,
I use EFS function volume() to obtain
Volume for each bar on a 5-minute
Advanced Chart of "ES M4". One more way
that I obtain the same volume data is if
I load the chart at the end of the day.
The problem I see is that Volume values
received by the EFS volume() function
are always lower by 5 to 1000 contracts.

Here is a piece of EFS code I use:

function main() {

    if (getBarState() == BARSTATE_NEWBAR && 
        getCurrentBarIndex() == 0) 
    {
         // this is how I obtain volume:
         var myVolume = volume(-1);

         // ... then I use myVolume ...
    }
} // end main()

This means that my backtesting of
trading systems will give different
results than realtime trading. This is a
serious problem.

I would like the volume(-1) call above
to give me exact same volume as what I
get by re-loading the chart.

I would really appreciate if somebody explained
how I can correct or work around this problem.

Thank you,
-pupkin2

[eSignal_JasonK]

Hello pumkin2,

Unfortunately, there isn't anything we can do at the moment to correct this problem programmatically through EFS. The problem you're seeing has to do with the synchronization of data collected by your formula in real time vs. pulling data from the history servers on reload. We are working on improving data synchronization. There's some more info in this thread.