Adventures In .NET Posted April 8 Report Share Posted April 8 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. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted April 8 Report Share Posted April 8 I checked here- I have tick data for the symbol. 4.47 with Extended hours, 4.66 if RTH only. NOTE that for extended hours to actually be included, the chart has to be set to show them, not just the indicator. Also VWAP can be very sensitive to the data that is being used so try clearing the data and backfill. If you use an aggregated datafeed, the difference can be significant. Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 8 Author Report Share Posted April 8 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. Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 9 Author Report Share Posted April 9 Here's my LASE $3.78 right now compared to TV $3.57. Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted April 9 Report Share Posted April 9 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: Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 9 Author Report Share Posted April 9 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. Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted April 9 Report Share Posted April 9 In Charts/General/Miscellaneous - see if you have "Include Odd Lots" checked or unchecked. Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 9 Author Report Share Posted April 9 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. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted April 9 Report Share Posted April 9 Uncheck ODD LOTS and compare Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 9 Author Report Share Posted April 9 I thought maybe restarting MT would help, but it looks worse. Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 10 Author Report Share Posted April 10 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. Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted April 10 Report Share Posted April 10 The question becomes.... What is the CORRECT volume? Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 10 Author Report Share Posted April 10 (edited) 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? Edited April 10 by Adventures In .NET Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted April 10 Report Share Posted April 10 1) volume at the top, is from the current Level I quote and is not in any way tied to the chart data. if you clear the chart data entirely, total volume will still be there. 2) from what I see the OHLC backfill seems to have correct volume. With tick data, if you have it set to show Odd Lots, it is showing same volume as with OHLC backfill. If you turn off odd lots, it is lower - obviously. 3) what is the significance of 480 min candle? with extended hours on, it may cause the candle to start at different time than on other platforms resulting in different indicator and volume values. It is very difficult to make any comparisons when you post snippets with parts of charts cut off. It seems that dxFeed OHLC data includes odd lot ticks. With others, some do, some do not. We do not have control over that in most cases Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 10 Author Report Share Posted April 10 (edited) 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. Edited April 10 by Adventures In .NET Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 11 Author Report Share Posted April 11 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. Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 12 Author Report Share Posted April 12 (edited) 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. Edited April 12 by Adventures In .NET Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 12 Author Report Share Posted April 12 HUSA Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 15 Author Report Share Posted April 15 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. Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 15 Author Report Share Posted April 15 PLL today. 4.7M volume, but volume bars only as high as 40k. Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 16 Author Report Share Posted April 16 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? Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted April 16 Report Share Posted April 16 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? Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 16 Author Report Share Posted April 16 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. Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted April 16 Report Share Posted April 16 Jerry suggested unchecking the Odd Lots setting. What happens when you do? Quote Link to comment Share on other sites More sharing options...
Adventures In .NET Posted April 16 Author Report Share Posted April 16 15 minutes ago, Mike Medved said: Jerry suggested unchecking the Odd Lots setting. What happens when you do? Very little change. Is this video from above, I go through all the various settings and refill options. Quote Link to comment Share on other sites More sharing options...
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