T2 structs for regular tick data with volume

jcl,

Currently, T1 structs can be used for tick data, but they do not have a volume slot, so a tick cannot have its own volume.

Now, a T2 struct does have a volume slot, but "*.t2" files are reserved for market depth.

I propose an additional use for T2 structs. Namely, use extension "*.t2v" for historical tick data with volume, consisting of an array of T2 structs.

Moreover, each tick() call will have a new marketVol() value every time. If necessary, provide a set() flag that enables this functionality.

Thanks,
Andrew

Why don't just add additional slots to .t1? I think it's illogical and ineffective to create a whole additional extension for .t1 + volume and call it .t2v. T1 was meant as the finest resolution for backtesting; it just needs some update.

Because it has no backwards compatibility. You would break all T1 files.

T2 support for backtests is planned.

Has this been updated, is it possible to add volume to t1 tick data or are you able to backtest with t2 data?

That would allow one to create indicators based on the volume at each price like vwap and/or volume profile.