Ticks are being dropped from Advanced Bar Chart Volume

[buhrmaster]

I first noticed this on Sun. night running 7.7. I was running a 1-min bar chart (Advanced) in real time with the volume study underneath. I also was running the time & sales window so I could see the exact ticks as they occurred. The contract being tracked was ES #F. I noticed that the volume in the bar chart was not totalling the T&S volume even during this very slow period. However, if I brought up a fresh advanced chart the volume figures would be correct for the past data. In short, ticks were being dropped in real time and not being reflected on the bar chart volume. If I did a Ctrl + OK refresh I would get updated, presumably correct volume.

Now, running 7.6, I have a one-minute chart running all day. The volume being shown for ES #F at 12:18 is 4,496. I bring up a fresh chart and I see 4,779. Some of the other bars nearby that have much lower volume are also off but by a much smaller degree but always with the fresh chart having higher volume (I did find one bar that agreed!). Again, forcing a refresh changes the volume.

I have a 3ghz+ processor with 1gig of ram and rarely go over 10% CPU usage and experience no system slowdowns ever. The only other app running is IB Tradestation.

This is a serious problem. What is going on here?

[DuaneG]

Buhrmaster,

Thanks for the post. This is actually a known issue. We are working on addressing this but in the interim, you should read through the following thread as there has been some useful discussion to the workaround. Hope this helps.

[DuaneG]

Hi buhrmaster,

I wanted to provide some additional information to my earlier post. I referenced a thread that deals how EFS behaves in response to the bug that you detailed. In this case, the cause is the same but it affects not only EFS but the Advanced Chart as well. Whenever there isn't a change to either the last price, or a change to the bid / ask, the volume does not update in real time. As you noticed, when the chart is refreshed, it re-calculates the volume. When there is a change to the bid, ask or last price the volume updates normally. Within the realm of overnight trading, it's common to see several trades at the same price due to lowered liquidity; hence the bug raises its head.

[buhrmaster]

DuaneG-

Thanks for your response. I am testing now using 60S interval v. 1M and results are very different. I can see that once the price changes that volume will suddenly "catch up" on the 1M chart.

This caused problems for me as I am using some of the Bid/Ask Volume EFSs and the noted behavior can cause bid volume to be assigned to ask volume and vice versa. This is actually a very big problem with E-minis as they regularly experience several dozen trades in a row during active, trendy periods during the day and bid/ask volume is often mis-assigned.

I understand the original need for price change-driven EFSs as they reduce the CPU workload. But given modern CPUs I do not think that a tick-driven EFS causes any problems, at least from what I have seen so far. Additionally, since I look at price and volume together it would be really useful to have this fixed.

[hypertrader]

Hi Burmaster,
I fully agree with you.
For me it is difficult to understand, why there are constantly new features beeing added to ESignal although there are some well known basic bugs to be addressed like the non execution of an efs for certain ticks, the price/volume mismatch or the tick chart indicator drift.

All these problems seem to be linked somehow to the same cause.

They make it very difficult to develop trading systems, which require access to properly updated volume data.