tick volume

admin
06 Dec 2012, 14:39

Hello,

Tick volumes have been included and will be available very soon.

haniyasin
04 Jan 2013, 18:48

RE:

any update about tick volume?

admin
07 Jan 2013, 11:48

Yes, tick volume is now available through the MarketSeries Interface. If the version you are using does not already have it, it should be available by next Monday.

double tickVolume = MarketSeries.TickVolume[index];

joeatbayes
22 Dec 2014, 03:13

How to Convert MarketSeries.TickVolume() to Transaction Volume?

IN my code  /algos/cbots/show/591 I am using a line  MarketSeries.TickVolume.Last(1)  But this doesn't seem quite right. I don't want tick volume from   MarketSeries.TickVolume.Last(1).    I want actual units transacted.  Since any tick could represent a value from a fractional lot to several lots it seems that there is a huge difference in the actual value of money transacted for any tick move.    I think it makes more sense to record total units traded during the bar.      The theory is that  200 million $ traded during a bar that dropped 10 pips is more meaningful as momentum input than  $2000 traded with the same drop during the same duration.      I would greatly appreciate help doing this conversion.

Spotware
31 Dec 2014, 11:08

RE: How to Convert MarketSeries.TickVolume() to Transaction Volume?

joeatbayes said:

IN my code  /algos/cbots/show/591 I am using a line  MarketSeries.TickVolume.Last(1)  But this doesn't seem quite right. I don't want tick volume from   MarketSeries.TickVolume.Last(1).    I want actual units transacted.  Since any tick could represent a value from a fractional lot to several lots it seems that there is a huge difference in the actual value of money transacted for any tick move.    I think it makes more sense to record total units traded during the bar.      The theory is that  200 million $ traded during a bar that dropped 10 pips is more meaningful as momentum input than  $2000 traded with the same drop during the same duration.      I would greatly appreciate help doing this conversion.

Dear Trader,

This is not currently possible, you can access tick volume only.