Adventures In .NET
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Posts posted by Adventures In .NET
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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.
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HUSA
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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.
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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.
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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.
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25 minutes ago, Mike Medved said:
The question becomes.... What is the CORRECT volume?
And why does the volume go away when I clear and refill? Is it a dxFeed issue?
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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.
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I thought maybe restarting MT would help, but it looks worse.
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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.
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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.
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Here's my LASE $3.78 right now compared to TV $3.57.
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I'm using dxFeed. I did clear the data and then backfilled. You can see the premarket on the left side of my MT chart. Is there something else I can try? Here's my chart right now.
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Today I noticed a significant discrepancy with VWAP compared to other platforms. If I set VWAP to be only for regular hours, it's even farther off from the others.
In this screenshot, TradingView is upper-left, MT is upper-right, Fidelity is lower-left, and Schwab is lower-right. All the others have VWAP at 4.48/4.49, but MT has it at 4.32. I tried clearing all data and refilling with tick data, but that didn't help.
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Yeah, I just wish IBKR Lite would have an option to pay a monthly fee for API access. .005/share for Pro is something I want to avoid if I don't have to. I'll give TradeStation a try for a few days next week. If that doesn't work, then I'll try Schwab when it's ready. I have a TD account that's already been transferred to Schwab. It's just not funded at the moment.
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That delay at open smoked me today.
As a scalper, that's too much of a delay. Any broker recommendations that don't have a delay in fills showing up and have fast fills?
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I'll try that tomorrow if it happens again. I was also thinking of toggling between accounts to see if that forced a position refresh, but I didn't think of that at the time.
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Today, my fills from Fidelity seemed sometimes to take many seconds to fill and on a few trades, I got terrible fills. For those that use Fidelity, how have your fills been? I've only been using Fidelity through MT for a few days and want to check if this is the norm or an exception.
On two occasions today, I also entered into a position via MT, but MT didn't know it. To get out, I either had to restart MT, or jump to Fidelity's website trade, or I could have also used ATP to exit the position. Luckily, the price didn't flush either time that happened. Is there a log or something that I can provide when this happens? I'll start recording my trading for the day so I'll know exactly when this happens again.
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Not really. I still want single increments, otherwise, I'm losing some detail. In this screenshot, I increased the increment size, but because way down at 6.24 there's a 38k order, the blue bars are small. With a .01 increment, the red bars are small because of the large orders above the viewable area.
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Is there a way to limit the price levels that MT uses to calculate the DOM bar size? I switched to dxFeed L2 and now that there are so many price levels shown on the DOM, when there's a large order that's well off the screen, the colored bar sizes that are on the screen are small and more difficult to visually see relative sizes.
I adjusted the max lines setting for L2, but that did not affect the DOM.
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Just putting .05 worked, but with TS, the stop seemed to not move with the price very quickly. It had much better movement with Fidelity.
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These were both long positions non-options.
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I have the following hotkey
But when I execute it on my TradeStation sim account, I get the following error.
When I execute it on my live Fidelity account, I get this error.
Do you know what the problem is?
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31 minutes ago, Jerry Medved said:
for comparison purposes, would be much easier if you compared L II to L II with different sources.
Agreed, but in my example, dxFeed L1 is more accurate than TS L2. dxFeed L2 is probably faster, so even though it will cost me a bit more, it's probably worth it in the long run.
I've also not seen it that off the past few days, so it may have been an issue just at the time.
I'm recording both L1 and L2 windows (TS & dxFeed) so I can review the video later.
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Looks like I'm going to have to switch to dxFeed for L2. Here's what I'm seeing today. DOM is TS, L2 is dxFeed. I can't deal with this much being off from TS. I don't have BATS and ARCA books on TS, but that doesn't explain the differences here.
As a scalper, that's too much of a delay. Any broker recommendations that don't have a delay in fills showing up and have fast fills?
VWAP discrepancy
in Support
Posted
PLL today. 4.7M volume, but volume bars only as high as 40k.