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| APICLIENT-121 Tick vs bar volumes |
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lifon
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| Post subject: APICLIENT-121 Tick vs bar volumes |
Post rating: 0
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Posted: Tue 22 May, 2012, 16:19
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User rating: 1
Joined: Mon 27 Feb, 2012, 22:49
Posts: 119
Location: Czech Republic,
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I test now my Market Profile system only on live account. I use as volume source ticks, 10 seconds bars and hourly bars.
I have a lot of problems. Volumes from sources are not the same. I am not too demanding. 3 % difference is god for me.
Bad often I have 12 % difference and sometime 90 % (a lot of hour I can’t get any ticks and 10 sec. data - now it is data from 21.5.).
It is not god reputation for Dukascopy system.
Could you supply quality volume data?
Thanks very much.
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API Support
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| Post subject: Re: Market Profile |
Post rating: 0
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Posted: Wed 23 May, 2012, 11:52
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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lifon wrote: Volumes from sources are not the same. What do you use for the comparison? What is the source data and what is the target data? Could you please provide an example strategy whose data you use for comparison?
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lifon
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| Post subject: Re: Market Profile |
Post rating: 0
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Posted: Mon 28 May, 2012, 20:40
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User rating: 1
Joined: Mon 27 Feb, 2012, 22:49
Posts: 119
Location: Czech Republic,
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I usually analyse 24 hours. For base volume I use 1 hour bars ( history.getBar( ... , shift) for Ask and Bid bar) Then I use bar.getVolume(). I sum AskVolume and BidVolume. It is base volume.
For detailed volume I use first ticks ( history.getTicks( instrument, timeFrom, timeTo) and tick.getAskvolume and tick.getBidVolume and I sum volumes.
If difference between base and detailed volume is bigger than 5 %, I use for detailed volume 10 seconds bars ( history.getBars( ... , timeFrom, timeTo2) (timeTo2 = timeTo - period.getInterval()) for Ask and Bid bars. I use bar.getVolume(). I sum AskVolume and BidVolume.
If difference is too big, I use 1 minute bars. I calculate this identically as a 10 sec. data. 1 minute bars are always OK, but price change in 1 minute is often too big.
Source for detailed volume I change automatically.
If I analyse data for CHF/JPY, EUR/USD and GBP/USD form 18.5. to now have this volume data problems:
CHF/JPY: TmFrom 2012-05-18 06:00:00; TmTo 2012-05-21 06:00:00; Big volume difference!!!; FastBars 10 sec: Diff%: -17.95;
CHF/JPY: TmFrom 2012-05-18 06:00:00; TmTo 2012-05-21 06:00:00; Big volume difference!!!; Ticks: Diff%: -17.95;
CHF/JPY: TmFrom 2012-05-21 06:00:00; TmTo 2012-05-22 06:00:00; Big volume difference!!!; FastBars 10 sec: Diff%: -90.44;
CHF/JPY: TmFrom 2012-05-21 06:00:00; TmTo 2012-05-22 06:00:00; Big volume difference!!!; Ticks: Diff%: -90.44;
CHF/JPY: TmFrom 2012-05-22 06:00:00; TmTo 2012-05-23 06:00:00; Big volume difference!!!; FastBars 10 sec: Diff%: -5.72;
CHF/JPY: TmFrom 2012-05-22 06:00:00; TmTo 2012-05-23 06:00:00; Big volume difference!!!; Ticks: Diff%: -5.72;
EUR/USD: TmFrom 2012-05-18 06:00:00; TmTo 2012-05-21 06:00:00; Big volume difference!!!; FastBars 10 sec: Diff%: -7.93;
EUR/USD: TmFrom 2012-05-18 06:00:00; TmTo 2012-05-21 06:00:00; Big volume difference!!!; Ticks: Diff%: -7.93;
EUR/USD: TmFrom 2012-05-21 06:00:00; TmTo 2012-05-22 06:00:00; Big volume difference!!!; FastBars 10 sec: Diff%: -92.69;
EUR/USD: TmFrom 2012-05-21 06:00:00; TmTo 2012-05-22 06:00:00; Big volume difference!!!; Ticks: Diff%: -92.69;
EUR/USD: TmFrom 2012-05-18 06:00:00; TmTo 2012-05-21 06:00:00; Big volume difference!!!; FastBars 10 sec: Diff%: -7.93;
EUR/USD: TmFrom 2012-05-18 06:00:00; TmTo 2012-05-21 06:00:00; Big volume difference!!!; Ticks: Diff%: -7.93;
EUR/USD: TmFrom 2012-05-21 06:00:00; TmTo 2012-05-22 06:00:00; Big volume difference!!!; FastBars 10 sec: Diff%: -92.69;
EUR/USD: TmFrom 2012-05-21 06:00:00; TmTo 2012-05-22 06:00:00; Big volume difference!!!; Ticks: Diff%: -92.69;
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API Support
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| Post subject: Re: Market Profile |
Post rating: 0
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Posted: Tue 29 May, 2012, 08:47
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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lifon wrote: I usually analyse 24 hours. For base volume I use 1 hour bars ( history.getBar( ... , shift) for Ask and Bid bar) Then I use bar.getVolume(). I sum AskVolume and BidVolume. It is base volume.
For detailed volume I use first ticks ( history.getTicks( instrument, timeFrom, timeTo) and tick.getAskvolume and tick.getBidVolume and I sum volumes.
If difference between base and detailed volume is bigger than 5 %, I use for detailed volume 10 seconds bars ( history.getBars( ... , timeFrom, timeTo2) (timeTo2 = timeTo - period.getInterval()) for Ask and Bid bars. I use bar.getVolume(). I sum AskVolume and BidVolume. API Support wrote: Could you please provide an example strategy whose data you use for comparison?
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lifon
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| Post subject: Re: Market Profile |
Post rating: 0
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Posted: Wed 30 May, 2012, 20:41
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User rating: 1
Joined: Mon 27 Feb, 2012, 22:49
Posts: 119
Location: Czech Republic,
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I make simply strategy checking bar and ticks volumes.
| Attachments: |
VolumeCheck.java [5.97 KiB]
Downloaded 519 times
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