Adventures In .NET

It's good to hear you replicated it and have a fix. I wonder which package you have that hid the problem.

So you were able to replicate the issue?

What are your thoughts on the quality of the API? Are fills looking like they will be confirmed quickly in the chart/DOM? I'm having pretty good luck with TradeStation, but at open and a few times in the day, the order marker bounces around for a few seconds before finally showing the position price.

Thanks. Here's a video I just captured that shows it about as bad as it could be.

Have you had time to look into this? Today I installed MT on another machine and still had the issue. I've only added dxFeed and no other providers. Here is before I cleared the data for WISA. I started watching it at about 8:30, so that's when the live data collection started. Here's right after clearing and backfilling with tick data. Unchecking show odd lots only makes it look worse.

After using MT for about a month, I've compiled a small list of features I'd like to see. Link Order Parameters (Qty, TIF, Sp. Ins.) between windows of the same color group. It's easy to change the quantity in one window and then accidentally select another window with a different order size, and then execute a macro that sends a buy/sell order. Different highlights/formatting for "at bid/ask", "below bid", and "above ask" in Raw Data window. Being able to use Custom Color Set for this rather than the custom XML file. DOM price highlight should filter out sizes smaller than the block size specified in the raw data window. I set my block size filter to 100 to ignore all those 1-share, and 10-share size orders. Those small orders cause the last price highlight in the DOM window to excessively flutter. I like to have quick reactions based on orders that can move the price while watching the highlight. Filtering out the small sales would make this easier. Raw Data block trade size based on average volume per row (block = % of average size). I have the block size set to 3000. When I'm watching a mid to high-priced symbol, this is fine, but if I switch to a low-price symbol, almost everything gets highlighted. I was thinking that maybe it could work by specifying a percentage of the average last volume size. A setting of 100% would highlight those at average size or above. A setting of 200% would highlight those that are 2X the average size. It could even have multiple % settings with different colors for each. Another option would be for the Block Trade size to be saved per symbol. Have DOM auto-scroll speed options. This is a low priority, but it would be nice to have an option for faster more responsive auto-scrolling. Compute approximate transaction profit using a simple option based on the average share price that can be shown in the Transactions window. Thanks.

I'm trying to configure some risk management parameters that block me from taking a position higher than I want to. The max quantity on the accounts page seems to limit the automatic quantity calculation, but any quantity tabs, quantity boxes, or macros don't obey this max limit. It would be great if we could set a max position size in share quantity or position $.

Any other ideas on this, or some diagnostics I can run to determine where the issue is?

And after I watch it for a while again, the volume since watching looks right.

Here are two videos I made today. The first is toggling odd lots and forcing backfill using dxFeed tick data. Odd lots makes no difference, but you can see all the volume disappear after clearing and not come back after forcing backfill. The second is forcing backfill using TradeStation. The volume looks better, but the candles are not good.

Very little change. Is this video from above, I go through all the various settings and refill options.

I had shut down for a while, but opening it back up, you can see here where I had the symbol either being watched or in a portfolio. Here's after clear and backfill.

Any idea what I should do to fix this? Here's WISA just now, you can see how the volume is correct once I'm viewing the symbol at 13:07, but the backfills are way off. Is there any way to determine if this is a dxFeed issue?

PLL today. 4.7M volume, but volume bars only as high as 40k.

Are there any further diagnostics I can do to help with fixing this? I've had to turn off VWAP and volume on my MT charts for now.

HUSA

I just brought up INDO for the first time today and you can see that it has 1.9M volume for the day, but the chart hardly has any volume. If I force a backfill using either OHLC or Tick data, most of that volume goes away.

It seems to just be a backfill issue. Once I'm either watching a symbol or have it in a portfolio, it gets a similar volume to TV. Sometimes it has more volume - like it's trying to add past volume to the current bar?? Here's today's video.

I chose 480 min to get close to all the volume for the day in one candle to compare to the volume at the top. I notice that candles are center-aligned on the time they represent rather than left-aligned. Is that by design? Other platforms are typically left-aligned. Here's a video of everything I just tried on ADIL to get the backfill to work. The video starts when I've been watching ADIL for a while and there are several volume candles above 100k, then I clear the data and try various options to try and get it back to how it was at the start of the video. I even switched it to TradeStation to see if that would help. All of the candles are below 100k volume after the initial clearing.

And why does the volume go away when I clear and refill? Is it a dxFeed issue?

What I've noticed today is that the backfill volume is way off. Here's IFBD just now. These are 5-minute charts. On the left is TV. Candle volume from open is 215k, 11k, 269k, 108k, 669k, 510k, 1.2M, 2.458M, 1.767M, 1.296M, 1.21M On the right is MT. Candle volume from open is 46k, 2k, 39k, 11k, 76k, 57k, 96k, 112k, 211k, 1.594M, 1.509M, 1.41M. I first put it on the chart just before the volume candle at 1.594M. The volume at the top of MT is correct. TV currently has 13.9M, and MT has Here you can see the candle discrepancy. I set the chart to 480min. If I clear and backfill with tick data, the candle volume drops, but the volume at the top stays correct.

I thought maybe restarting MT would help, but it looks worse.

It's checked. I'm also seeing some times when MT/dxFeed has more volume than TV. Here's a before clear data and after clear data with tick backfill.

I understand. That's why I looked to compare across multiple platforms in my first chart. It's important that I base my vwap decisions based upon a vwap that is close to what others are seeing on their platform. Checking the volume, I see one 30-second bar has 145k volume in TV, and the same bar in MT using dxFeed is 96k. If I switch to TradeStation for the fill data, I get 118k. Are others seeing that much volume discrepancy? Am I getting bad data from dxFeed? I just cleared all the data from LASE and filled it with tick data and the bar that was showing 96k, now shows 27k. The candles are also not looking like they were before clearing the data.