Posted: Dec 04, 2008 @ 03:49 PM             Msg. 1 of 10

I am wondering about how your volume is constructed. are you using the bidvol or the askvol or the lastvol when constructing your one minute data for example or are you combining them in some fashion?

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"For every complex problem, there is a solution that is simple, neat, and wrong." H.L. Mencken

Posted: Dec 04, 2008 @ 03:56 PM             Msg. 2 of 10

bar volume is a sum of tick(trade) volumes for a given bar.

bid/ask numbers are not used in charts - they are built from trades only.

Posted: Dec 05, 2008 @ 12:25 PM             Msg. 3 of 10

I am grabing all of the streaming quotes and adding the IPrice->LastVol to get this bar volume and it doesn't seem right, are the Trade volumes correct in the streaming quotes?

It also seems that I am not getting all of the streaming quotes, but I am not sure on this is there somthing I could look for to see if I am getting everything?

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"For every complex problem, there is a solution that is simple, neat, and wrong." H.L. Mencken

Posted: Dec 05, 2008 @ 03:27 PM             Msg. 4 of 10

you need to subscribe for ticks to see all trade volumes. quotes last vol is just indicative.

Posted: Dec 05, 2008 @ 05:39 PM             Msg. 5 of 10

please confirm what you are saying. I am going to need to subscribe to the tick data when looking at the 5 min chart to build accurate volume. is this correct?

If this is the case, then why even subscribe to streaming quotes? I should just always get tic data to be accurate?

what is the difference between these?

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"For every complex problem, there is a solution that is simple, neat, and wrong." H.L. Mencken

Posted: Feb 06, 2009 @ 08:00 PM             Msg. 6 of 10

The question to OEC team:

What is volume for each tick from ticks data stream of YM futures what I get by event handler like client_OnTicksReceived(OEC.API.Subscription subcription, OEC.API.Ticks tick)

Thank you.

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Boris

Posted: Feb 09, 2009 @ 08:35 AM             Msg. 7 of 10

OEC.API.Ticks.Volumes are sizes of the ticks - i.e. quantities of the exchange trades.

Posted: Feb 09, 2009 @ 06:16 PM             Msg. 8 of 10

Thanks.

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Boris

Posted: Mar 26, 2009 @ 01:48 PM             Msg. 9 of 10

After talking with Open E Cry we determined that subscribing to the tick stream (SubscribeTicks) was not the best way to go. It consumed too many resources just to get correct volume. Instead we were told to let SubscribeBars provide and build the volume data. That has worked much better.

Posted: Jul 19, 2010 @ 08:19 AM             Msg. 10 of 10

Hello!

Volume values returned by SubscribeBars seems to be still wrong for FDAX contract!

Simply check Volume of a daily-bar-chart against TotalVol in the Quotes-Tab. TotalVol is correct compared to Eurex but the value in the chart is approx. 60-70% of TotalVol.
I also summarized all minute bars of a day and got a wrong Volume-sum too.

Please help me,
regards,
-m

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Markus Gutensohn