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see3d has contributed to 2 posts out of 21185 total posts (0.01%) in 4,617 days (0.00 posts per day).

20 Most recent posts:
IQFeed Datafeed Wish List » Add tick volume to futures time bars Sep 5, 2011 10:27 PM (Total replies: 1)

I should point out that having the total tick volume is very useful as above, but even more useful is to have two more cuts on the volume:
- Contract volume at ask (bid is just the difference between ask and total handled locally)
- Tick volume at ask

With all 4 types of volume measurements, Total and Ask for Contracts and Ticks, a complete set of indicators can be built around professional vs amateurs, and buying pressure vs selling pressure, while keeping the real time speed up and the local database small.

Thanks for your consideration of the above.

IQFeed Datafeed Wish List » Add tick volume to futures time bars Sep 4, 2011 08:17 PM (Total replies: 1)

I use IQFeed with a 3rd party charting program. I would love to have a continuous contract for @ES# that substituted the tick volume instead of the contract volume. Perhaps a different symbol like @ES#T, or perhaps there is another way.

With a tick based chart, I can get average trade size per bar, but with a time based chart I can't get this. Having both types of volume available would allow me to get average trade size per bar and moving averages that are tick based while staying in the time domain for the database.

The value of staying in the time domain for a symbol like @ES is my local database is orders of magnitude smaller for somethings like 5 seconds vs 1 tick. Back testing over a few months is not practical for me with a 1 tick database.


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