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Post From: Interesting recording for Number of Trades Per Bar NQ vs ES

[2021-04-06 13:52:09]
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User164231 - Posts: 278
Hi John,

Managed to download ES historical "Numbers of trades per bar" using Denali Datafeed.

I notice 2 oddities;

1. With IB, the Globex session has little volume but more candles. With Denali, the volume per bar is similar be it Globex or Pit session. I am wondering if Denali is reconstructing historical tick chart using VOLUME instead of # of TRADE?

2. With IB I set ES to 1000 tick. For Denali 10000 tick still produces too many bars (see attached).

Please advise.

Thanks
imageIB vs Denali Tick Chart.jpg / V - Attached On 2021-04-06 13:49:04 UTC - Size: 249.79 KB - 246 views