BlueCollarDayTrading Posted December 21, 2017 Report Share Posted December 21, 2017 When you do a backfill with MT it screws up the volume for the current bar on most stocks. I thought it may be an NYSE symbol problem so I only watched NASDAQ stocks today. That was not the issue. I did the following, I opened up NInjatrader 7 with TD Ameritrade feed and backfilled the same symbol that I just backfilled with MT. Volume was fine on NinjaTrader 7. I also had Trade Architecture open with the same symbol and I watched the T&S on all 3 platforms. Let me tell you, MT has got something going wrong in the Raw Data. NinjaTrader 7 has almost identical T&S as Trade Architecture while Medved Trader looks as if it tries to consolidate volume too much, and at times it appears to show the total volume of the previous candle or something. I am still trying to figure those out. I will also use IB datafeed with trader workstation tomorrow to see if it is not handling volume correctly with IB. Ninjatrader 7 is handling volume correctly so this can't be an issue with the datastream, in my opinion. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted December 21, 2017 Report Share Posted December 21, 2017 it is the data stream. Its just that MT uses it differently. the problem happens when you backfill and the backfill volume for the day does not match the real-time data from the same site. Because of the way MT stores the data, it causes a problem. in the future we will be changing how the volume data is stored, making this issue though still there, at least not mess up the volume chart. Quote Link to comment Share on other sites More sharing options...
BlueCollarDayTrading Posted December 21, 2017 Author Report Share Posted December 21, 2017 Great, any time frame on this one. This is very important since I use Price and Volume to trade this issue is a killer. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted December 21, 2017 Report Share Posted December 21, 2017 we will be releasing production version today. The volume stuff is a big change and will be dealt with after the prod release. So figure within next couple months. Quote Link to comment Share on other sites More sharing options...
BlueCollarDayTrading Posted December 21, 2017 Author Report Share Posted December 21, 2017 Sounds great. Quote Link to comment Share on other sites More sharing options...
MTG Posted December 29, 2017 Report Share Posted December 29, 2017 Quick volume question for Jerry/Mike. How do you code "not scale by max" in relation to the volume plot? Thanks. Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted December 30, 2017 Report Share Posted December 30, 2017 That's a good question MTG - it is actually a pretty complicated formula, I tinkered with it until I found something that works reasonably well. it is Max(emamax, Min(average * 6, max * 1.02) where emamax = the max value of visible volume EMA, if you have it with the volume average = the average value of visible volume bar, and max = the maximum value of visible volume bar Quote Link to comment Share on other sites More sharing options...
MTG Posted December 30, 2017 Report Share Posted December 30, 2017 Thanks Mike. I've never seen this sort of treatment of volume on any other platforms, but it allows a much better visualization of accumulation in microcap stocks which can have enormous one day spikes in volume. Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted December 30, 2017 Report Share Posted December 30, 2017 That was the goal We innovate. Quote Link to comment Share on other sites More sharing options...
MTG Posted January 2, 2018 Report Share Posted January 2, 2018 (edited) On 12/30/2017 at 4:47 PM, Mike Medved said: Max(emamax, Min(average * 6, max * 1.02) ) Mike, does the first mention of 'max' return the maximum of the 2 parameters in parentheses? It's different to the second mention of 'max', yes? Edited January 2, 2018 by MTG Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted January 2, 2018 Report Share Posted January 2, 2018 Yes. "Max" is a function. "max" is a var. Sorry I am a bit too technical sometimes (in c# capitalization matters) Quote Link to comment Share on other sites More sharing options...
MTG Posted January 2, 2018 Report Share Posted January 2, 2018 (edited) Thanks again. I've been trying to reproduce it. The following plots something quite interesting, but different to MT version. b = Param("b",100,1,1000,1); // number of bars to perform calcs on EMAVol = EMA(Volume,b); // EMA of volume based on 'b' bars of data emamax = HHV(EMAVol ,b); // highest value of EMA volume in last 'b' bars average = Sum(Volume,b)/b; //average volume in last 'b' bars mx = HHV(Volume,b); // highest value of volume over the last 'b' bars. Using variable 'mx' instead of 'max'. croppedVol= max(emamax,Min(average *6, mx * 1.02) ) ; Plot( croppedVol, "",colorGreen, styleHistogram); Edited January 2, 2018 by MTG Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted January 3, 2018 Report Share Posted January 3, 2018 Note that MT operates on the visible range, not on any particular number of bars. Quote Link to comment Share on other sites More sharing options...
BlueCollarDayTrading Posted February 22, 2018 Author Report Share Posted February 22, 2018 Any progress on fixing the HUGE Volume bug, it has been two months Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted February 22, 2018 Report Share Posted February 22, 2018 that "bug" is not ours. The data is bad. Second, it has been this way for years, not 2 months. Resolution to that issue on our end is part of a large project that will not be done in just a few weeks. Quote Link to comment Share on other sites More sharing options...
BlueCollarDayTrading Posted February 22, 2018 Author Report Share Posted February 22, 2018 (edited) ok, I see the same problem with two different data feeds, TD Ameritrade and IB. If I subscribe to IQFeed will the problem not be there. If so I will look into using another datafeed. Edited February 22, 2018 by BlueCollarDayTrading Quote Link to comment Share on other sites More sharing options...
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