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How to use IB Volume? #476839
04/11/19 16:42
04/11/19 16:42
Joined: Feb 2017
Posts: 683
Chicago
AndrewAMD Online OP
User
AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 683
Chicago
jcl,

For the IB plugin, the manual says this is the volume policy:

Quote:
marketVol: Trade volume per minute in historical data; accumulated volume since market open in live data. Only for exchange-traded assets, not for currencies.

Okay, so I can download M1 volume.

Now suppose that:
* I only had the IB plugin.
* I need the M30 volume. (That is, I need all of the volume for one thirty-minute bar.)
* I need this info both in backtests and live.
* I need to use priceRecord() to update volume data live.

Therefore, I must do this:
* Download the M1 data from IB using the IB plugin with script "A".
* Convert the M1 volume to accumulated volume for consistency purposes with script "A".
* Script "B" is a separate trading script. (It must be separate, because the historical data will be modified.)
* The script has BarPeriod = 30 (or BarPeriod * Timeframe == 30).
* Calculate bar volume with my own indicator. (It just determines the difference in accumulated volume between this bar and the last bar, accounting for exceptions/resets.)
* Finally, priceRecord() will continue to add accumulated volume to the historical data.

Is my understanding correct?

Re: How to use IB Volume? [Re: AndrewAMD] #476840
04/11/19 17:09
04/11/19 17:09
Joined: Jul 2000
Posts: 26,940
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 26,940
Frankfurt
Yes, that looks correct to me. I don't know why the volume is different in live data, but probably the API delivers it so.

Re: How to use IB Volume? [Re: jcl] #476843
04/11/19 17:18
04/11/19 17:18
Joined: Feb 2017
Posts: 683
Chicago
AndrewAMD Online OP
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AndrewAMD  Online OP
User

Joined: Feb 2017
Posts: 683
Chicago
Thanks for the clarification.

Currently, my Sierra Chart plugin automatically emulates accumulated volume for historical downloads, so that historical and live match. I am considering offering additional options.


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