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Hello,
If you think that you can get true volume charts from IB you should think again.
You should keep in mind that IB is NOT tick-by-tick feed (where every tick is sent
separately).
IB sends cumulated ticks (minimum interval is ~0.2s ) and as such can not
be used to construct true volume bars (nor tick charts).
Please take a look at IB discussion board:
http://www.interactivebrokers.com/discus/messages/27884/5623.html
http://www.interactivebrokers.com/discus/messages/27884/5025.html
(you can search the discussion group for more info on that)
Quote from IB staff:
"It's simple: we don't send updates when there is no change. If the prices change but the size doesn't, you don't receive an update
on size. "
Plus: no tick backfill from IB - the finest granuality of backfill IB provides in 1-second.
What you can build with IB is only some approximation of it. The same applies
to any feed which is not true tick-by-tick feed.
To build true and accurrate volume bars you would need to use true tick-by-tick
feed such as eSignal.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Lesmond V" <ebsn247@xxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, June 25, 2005 3:37 PM
Subject: [amibroker] Re: So Long Amibroker, [No Volume Charts]
> Al,
>
> What Steve means is that volume charts are most popular among futures
> traders and not stock traders. Technically you can set you IBM stock
> to let's say 10,000 volume bars.
>
> The most economical way to test volume charts is to use SierraChart
> software with IB feed.
>
> I was also a bit confused when someone on this forum mentioned
> "equivolume" charts some time ago. I had "equivolume" eod(!) charts
> available in my old MetaStock for DOS 10 years ago (I don't remember
> what they were all about).
>
> Let's clarify for TJ what we mean by "volume charts" here:
>
> 2000 volume chart:
>
> each bar is completed when the number of contracts/shares reaches
> 2000. After that the next bar starts and 2000 count starts again.
>
> So "volume charts" are just like "tick charts" but based on volume
> (number of contracts/shares) instead of on ticks.
>
> Lesmond
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Al Venosa` <avcinci@xxxx> wrote:
>> Hi, Steve,
>>
>> I'm not familiar with volume charting. Why is it not amenable to
> stock
>> traders? For example, why couldn't you create bars representing,
> say, IBM's
>> OHLC of 10,000 shares or whatever? Just curious.
>>
>> Al Venosa
>>
>> On 6/25/05, scourt2000 <stevehite@xxxx> wrote:
>> >
>> >
>> > Joe,
>> >
>> > eSignal/TradeStation/Sierra Chart/Ensign all have volume charting
>> > capability. Tomasz said they he would try to get this in the next
>> > few beta releases coming up. Here's my repost from the amibroker-
>> > beta group describing it. What Amibroker also needs is way to
>> > backtest large amounts of tick/volume bars:
>> >
>> > [note to traders who have never heard of volume price bars: no,
> it's
>> > not equivolume charting]
>> >
>> > 1. Support for price bars that represent a fixed volume size. For
>> > those not familiar with this feature which is supported in
> eSignal,
>> > an ER 250v would represent the Russell 2K e-mini futures contract
>> > where each price bar represents the open/high/low/close of 250
>> > contracts.
>> >
>> > 2. Support for backtesting of large amounts of tick/volume bar
> data.
>> > This would require a plugin that could read a data source (like an
>> > eSignal tick formatted file) and compress tick/volume interval
> bars
>> > on the fly. With this, I could scan years worth of tick/volume
>> > interval bar data without memory overload problems.
>> >
>> > Volume charting is used mainly by futures traders, not stock
>> > traders. Unlike tick charts, volume charts can be reproducible
> bar-
>> > for-bar in backtests and they tend to be smoother. If you've ever
>> > traded futures off of volume bars, you'll probably never go back
>> > looking at minute charts for the trading chart you take actual
>> > entry/exit signals off of.
>> >
>> > Steve
>> >
>> >
>> >
>> >
>> > Please note that this group is for discussion between users only.
>> >
>> > To get support from AmiBroker please send an e-mail directly to
>> > SUPPORT {at} amibroker.com <http://amibroker.com>
>> >
>> > For other support material please check also:
>> > http://www.amibroker.com/support.html
>> >
>> >
>> > Yahoo! Groups Links
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
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