Are there plans to modify how constant volume bars are created?

[kevinmclark]

I can across the following comments at another forum:

“…The problem with the volume chart is the way the charting companies build the bars. To date, Ensign Software and MultiCharts are the only companies that build these bars correctly. I was told that Esignal was working on a fix that would fix their problem building them.”

For example “Let's say you designate each bar being 500 contracts or shares each and the current bar is 450 units. The next tick in the pipeline is 100 units. Most charting software just tacks those 100 units onto that bar and start the next bar. This is wrong. They should put 50 units on that last bar and begin a new bar with the remaining 50 units. It isn't hard to do it right but most companies are lazy.”

Is this true?

[ACM]

kevinmclark
See the section on Volume Bars in this article on tick based charts in the eSignal KnowledgeBase
Alex

[kevinmclark]

Thanks. It looks like I was given bad info.

[notoad]

Volume differences

Can anyone explain why there are subtle differences between two charts, same symbol, same time frame, same volume bars (500v in this example)?

For example when I just load a chart with say 500v for each bar it displays slightly different than when the same chart is re-created using playback data for the exact same day, same symbol, same 500v per bar.

My indicators get totally different signals because of the subtle differences.

I hope that makes sense. If not I can post a screenshot showing the differences.

Any help would be appreciated,

Thanks

[ACM]

notoad
See the reply by Jay Frank to a similar question posted in this thread
Alex

[notoad]

Alex,

Thanks for your quick reply. In the scenario I described (load at end of day versus playback of days data), which one contains the correct volume bars or is it a mixture of the two?

Knowing this will at least help me to determine if I am on the right or wrong track when developing entry / exit indicators.

Thanks

[JayF]

As it stands currently, all data is time-stamped when it reaches each server. This can sometimes create a slightly different data record between servers. Because of this, the charts may be slightly different.

The good news is over the past year we've been working on overhauling our servers to "listen" to the exchange time stamp (if an exchange has one, and most do.) This will make all servers have the same, consistent record set, and this issue will be resolved. We are currently in an early alpha test of this new server technology, and expect it to be released in the middle of this year.

[notoad]

Jay,

Thank you for your response. I understand you are working on it and I appreciate you being up front about the issue.

I am trying to determine my options because my automated system is reacting differently to live data versus end of day data that I backtest with, and sometimes dramatically different.

When I see the previous bars re-painted differently after I do a chart reload, that is because that data is being pulled from historical data I believe you said and not the live data server. Does that mean that the historical data will not change again if I do another chart reload or is it not not finalized until end of day?

Hope that makes sense.

Thanks

[JayF]

Once we do switch all servers over to this new technology, all real-time and historical data will be identical and in-sync as they will all be using the same time-stamps across the board.

The only exception to this will be if an exchange sends a correction, insertion or deletion that alters the historical data. When that occurs, this will go back and adjust the historical data on our servers and will also adjust the data that is cached in memory on each user's PC*.

*This is according to the current design spec. Please note that this may change as this new technology is still being tested.

[The Toad]

Jay,

Thanks for the reply. Are the exchanges constantly sending corrections / deletions / insertions? Are they what you would consider minor adjustments (1 or 2 contracts) or major (several contracts at a different price)?

Seems that makes short term trading even more difficult if your not sure of the accuracy of the bars just painted.

Thanks

[JayF]

CID's (Corrections, Insertions, Deletions) don't happen very often (a small handful a week for CME), but they do occur. We don't currently support CID's, but we will once the new server tech. is released.