Mike Medved

I tried this: 1. I ran TSLA, in a portfolio, collected data for like 5 min. Then went to raw data window, highlighted those 5 minutes, pressed ctrl-C, pasted it into Notepad. 2. Went to chart of TSLA. Cleared data. Backfilled it with Tick data. Went to raw data window, highlighted the same 5 minutes, copied, pasted it into another Notepad 3. Compared the two raw data lists. For me, they were mostly the same (with a one tick discrepancy here and there)... What would happen if you did the same? Also - dxFeed seems to NOT ignore odd lots when building candles for its OHLC backfills. So - do check the "include odd lots" setting in MT.

It's just some confusion with a combo of subs that caused the dxFeed streamer in MT decide to get the Q-suffixed backfill for the stock (meaning Nasdaq only) instead of the full one.

There is also a reserved shortcut gateway key (I think it is ctrl-K but can be changed) so you can do a shortcut that will take a ctrl-K followed by a letter. Like Ctrl-K A.

I talked to dxFeed and I think we solved the problem. I will check it again tomorrow during market and release in beta.

FIFOQueue (well, StateFIFOQueue) is your friend.

I tried running with several of my logins with dxFeed and there is no discrepancy between backfill and collected volumes. I emailed them asking them for a login that matches your subscriptions...

I will dedicate some time to this on Mon... If it's the case that the L1 feed of DXFeed produces candles with different volumes than the DXFeed backfill, will report it to them... As a reference, what kind of subscription bundle do you have with DXFeed?

Jerry suggested unchecking the Odd Lots setting. What happens when you do?

Ok so - are the volumes after 13:07 (that is, the volumes gathered from L1 data by MT) correct but backfill volumes aren't? If you clear data at that point and re-backfill will the volumes after 13:07 become a lot smaller?

The question becomes.... What is the CORRECT volume?

In Charts/General/Miscellaneous - see if you have "Include Odd Lots" checked or unchecked.

I would suggest looking at the Volume indicator on both charts (since VWAP is very sensitive to that). For example, TradingView: the volume is different from MT's volume, so the VWAP is not the same:

While optimizing the recalculation of new candles on dynamic updates of charts for OTHER chart types, I screwed up the recalc of the VbP candles. That was a while ago too You're the first one to notice it. Which means that not many people use them. Too bad - they are nifty. Fixed it. Jerry will put it up.

I will run this tomorrow to check.

Ok - what should the menu options be? 2 weeks, 1 month, 2 months, 3 months, 6 months, year, all?