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Add volume to data with no volume in realtime

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[2024-06-22 00:27:28] #1 [Go To First Post]
joshtrader - Posts: 484
I have an index which has no volume data. For every tick (every tick is one second) I would like to change the volume from 0 to 1. I would like to do this so that I can use the VbP study to dynamically draw profiles. I can use a TPO set to a short time frame but I can't draw the profiles this way without splitting and merging, etc. What is the easiest way to add volume from 0 to 1 for every transaction in realtime? Also I'm assuming there is no way VbP can be set to assume a 1 when it sees a 0 for volume, but I'll ask that anyway.

[2024-06-24 22:19:46] #2 [Go To First Post]
Sierra_Chart Engineering - Posts: 16292
Is this data you are providing yourself to Sierra Chart? No, the Volume by Price study is not going to assume a volume of 1 for a trade. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-06-24 22:20:07

[2024-06-24 23:10:59] #3 [Go To First Post]
joshtrader - Posts: 484
Is this data you are providing yourself to Sierra Chart? This is realtime data from IQFeed.

[2024-06-25 19:14:46] #4 [Go To First Post]
Sierra_Chart Engineering - Posts: 16292
We can automatically do this within Sierra Chart for IQ Feed but we need to know the suffix of the symbol. What is it? Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2024-06-26 16:48:09] #5 [Go To First Post]
joshtrader - Posts: 484
We can automatically do this within Sierra Chart for IQ Feed but we need to know the suffix of the symbol. What is it? Most important are SPX.XO (CBOE), NDX.X (NASDAQ), INDU.X (DJ), would be nice for VIX.XO, DAX.X, SOX.XO, and possibly other indexes. Actually, I think you might already be doing this. Note the attached chart of DAX.X. The volume histogram at the bottom shows that when I requested the symbol at that time (3:04:15), the prior data is downloaded with no volume, but the data coming in actually has a volume of 1 per tick. The view on INDU.X is a bit more strange. Downloaded data still has no volume, but the realtime volume count appears to be actual traded volume in the aggregate DJIA 30 stocks. But again, if I delete and re-download that data, there is no volume there. My hypothesis that SC is adding the volume data is because of the following. I opened IQFeed's own sample chart which shows volume, and I see no realtime or historical volume data for the symbols above. I also hooked IQFeed up to Quantower, and I see no volume there either. So, is it possible SC is already computing/adding volume? The lack of volume in downloaded data for the indexes in SC, and the lack of volume in realtime data in other applications using the same source, seems to give weight to that hypothesis. I also attached IQFeed's own time and sales for NDX.X to show that there is no volume info on each tick. Date Time Of Last Edit: 2024-06-26 19:38:47


DAX.X.png / V - Attached On 2024-06-26 16:47:58 UTC - Size: 51.8 KB - 27 views INDU.X.png / V - Attached On 2024-06-26 16:48:04 UTC - Size: 100.04 KB - 25 views NDX_timesales.png / V - Attached On 2024-06-26 19:38:41 UTC - Size: 172.86 KB - 28 views

[2024-06-27 19:53:59] #6 [Go To First Post]
Sierra_Chart Engineering - Posts: 16292
So, is it possible SC is already computing/adding volume? Yes Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2024-06-28 03:44:28] #7 [Go To First Post]
joshtrader - Posts: 484
Ok well I think that addresses the issue. I wrote a script which can change the volume on previous downloaded data, and then would just need to be always running to capture the additional volume SC provides. When I originally wrote the first post above I was not actively connected so I didn't realize it was adding volume data in realtime, thanks for clarifying everything.

[2024-06-28 12:44:37] #8 [Go To First Post]
Sierra_Chart Engineering - Posts: 16292
Update to the latest release for the support for setting the volume to 1 for every price update for IQ Feed indexes. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-06-28 12:44:55

[2024-06-28 13:10:02] #9 [Go To First Post]
joshtrader - Posts: 484
Well, I'm not sure what the update does since this was already happening, but thank you all the same!

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