Number Of Trades, Volume or Range Bar Charts Do Not Match Setting or Are Not Accurate or Are Inconsistent
- General Information And Related Settings
- Effect of Missing Number of Trades or Volume Data
- Variation Between Number Of Trades Bar Charts
- Special Note about Range Charts
- Repeating Bars with Number Of Trades or Volume Bars
- Recommended Services
- How Price Display Format Affects Range Bar Charts
- Why the Open Value of a Bar Can Be Within the Range of the Prior Bar for Range Charts
General Information And Related Settings
Sierra Chart supports data from multiple Data and Trading services. The historical Intraday data and data quality from these services differs among them. The data from a service affects the accuracy of Number Of Trades, Volume or Range bar charts.
There are also some software settings that are necessary to ensure accurate Number Of Trades, Volume, and Range bars in a chart. This help topic is long, although it explains all of this.
The first step to ensure accurate Number Of Trades, Volume, or Range bars, is to select Chart >> Chart Settings >> Advanced Settings, and enable the Split Data Records option. It is also a good idea to enable New Bar at Session Start (first tab). Press OK.
The default Intraday Data Storage Time Unit that Sierra Chart uses when collecting data in real-time and downloading historical Intraday data, is 1 second. This includes all trading for a 1 second period and is combined into a single data record in the chart data file. To change this, select Global Settings >> Data/Trade Service Settings on the menu. For Number Of Trades, Volume, Range, Reversal, Renko, Delta Volume bar charts, you will need to set the Intraday Data Storage Time Unit to 1 Tick for the greatest accuracy.
Press OK to close the Data/Trade Service Settings window.
After changing this setting in Data/Trade Service Settings, it then becomes necessary to re-download the data in the chart data file for the chart to have tick by tick data records. Assuming the Data or Trading service you are using provides historical Tick data. The simplest way to re-download the data is to go to the Intraday chart and select Edit >> Delete All Data And Download. This only needs to be done once for each symbol.
For additional information about re-downloading the data in a chart data file, refer to the Re-Download Data section.
Effect of Missing Number of Trades or Volume Data
Bars in a chart based upon a Number of Trades or Volume setting which are built from data records that do not contain the Number of Trades (used by Number Of Trades bars) or Volume (used by Volume bar charts) per record will be based upon the Days - Minutes - Seconds per bar setting, even if you have a Number of Trades or Volume Per Bar setting greater than 0.
This is because it is not possible to build Number Of Trades or Volume bars from data where the number of trades or volume per record is not known. If there is a single data record for each individual trade, then the Number of Trades will be 1 and will be known.
To see what data there is in the chart data file, select Edit >> Edit/Download Data - Intraday Chart. Some Data and Trading services do not provide the Number of Trades per historical data record. Volume data may not be available with historical data records either for various reasons. Also, in the case of Interactive Brokers, they may provide records with no Number of Trades or Volume data apparently at times when there is no trading.
The recommended solution to this is to refer to the instructions in the Eliminating the Reliance on Days-Minutes-Seconds section below.
The above described issue will not happen if the Number of Trades or Volume per historical record is known.
Eliminating the Reliance on Days-Minutes-Seconds
To eliminate above described issue completely and only advance to a new bar when the number of Trades or Volume per bar per bar has been met, even with data records of zero number of Trades or Volume, then set the Days-Minutes-Seconds setting to 2-0-0 by following the steps below. In many cases this is the best thing to do in case you do have unexpected data records without Number of Trades or Volume data.
- Select Chart >> Chart Settings on the menu.
- Set the Intraday Bar Period >> Bar Period Type to Days-Mins-Secs and specify a value of 2-0-0 (which means 2 days).
- Set the Bar Period Type back to Volume Per Bar or Number of Trades per Bar and specify the corresponding value in the edit box below.
- Press OK.
Variation Between Number Of Trades Bar Charts
Number of Trades bars are based upon the historical and real-time trades received from the data or trading service you are using. If the data or trading service does not deliver every trade or the trade data varies compared to another service or another connection to the same service, then when you compare a Number of Trades bar chart with identical settings to another Number of Trades bar chart sourced from a different service or a different connection to the same service, they probably will not exactly look the same.
This is an inherent issue with Number of Trades bars in general. If you are trying to get two Number of Trades bar charts to match with a friend and the service you are both using does not consistently deliver trades across different connections, then it is an impossible task to get them to match. It becomes even more difficult if you are using different Data or Trading services.
Special Note about Range Charts
For 100% accurate Range Charts, it is necessary for the Intraday Data Storage Time Unit to be set to 1 Tick, as explained in the General Information and Related Settings section on this page. This is in addition to also having 1 Tick or 1 Second historical data records as well. If the Intraday Data Storage Time Unit is not set to 1 Tick, then an issue you will notice during real time chart updating and during a replay is that the current bar in the chart will exceed the specified range until the current data record from the file is complete and there is a new data record being read. At that time the range will be cut down to the specified range and a new bar will begin.
Repeating Bars with Number of Trades or Volume Bars
When the underlying data records in a data file are not a single tick and you are using Number of Trades or Volume Charts, then one issue you may notice is that the bars in the chart may seem to repeat and be the same at various locations. This is due to the record splitting that occurs to make each bar a certain Number of Trades or Volume.
You may also notice repeating bars with Volume based bars even with tick by tick data if you have a low Volume setting per bar or there is a very large volume for an individual trade. This is because if a single trade data record has a volume that exceeds the Volume setting for your bars, you will see it be split and repeat.
In addition to doing what is recommended in the General Information and Related Settings section on this page, one solution is to select Chart >> Chart Settings and disable the Split Data Records option.
For the most accurate Number of Trades, Volume and Range charts, you will need to use one of the Sierra Chart Data services.
It is important to understand that Number of Trades, Volume and Range bars are very sensitive to the underlying data you are using. And the problem you may experience with them is not due to a problem with Sierra Chart, rather the underlying data from the Data or Trading service you are using.
Another issue is that exchanges may bundle many trades into one. Therefore, Number of Trades bars are not necessarily representative of the actual volume of trading activity. Generally this is true. Although, it is not 100% precise.
How Price Display Format Affects Range Bar Charts
Accurate construction of range bars depends upon the Price Display Format in the Chart settings window for the chart. The price display format needs to be set so that all decimal places of the underlying data in the chart are displayed. Here are three screenshots of the same chart, EURJPY with a range bar setting of 0.1, but three different price display formats:
- With a price display format of 0.01.
- With a price display format of 0.001.
- With a price display format of 0.0001.
The Range Check study at the bottom of these charts shows the actual range of the bars (High - Low). As you can see, the range is not very accurate when using a Price Display Format of 0.01, much more accurate when using the price display format of 0.001, and precise when using the price display format of 0.0001. The reason for this has to do with the precision of the underlying data. The symbol EURJPY for this data feed works in three decimal places (0.001). When using a price display format less precise than this (such as 0.01), that extra precision will not be available to be used for the range bar calculations. However, the prices for the symbol EURJPY for this data feed are implicitly the bid/ask average, which means there could be prices in the chart half way between a minimum price increment. Because of this extra half-increment, an extra decimal place for a total of four decimal places (0.0001) is needed for real precise range bar calculations. Any more decimal places are unnecessary.
Why the Open Value of a Bar Can Be Within the Range of the Prior Bar for Range Charts
There are 3 reasons why the opening value of a range bar may be within the range of the prior bar. Normally with range bar charts this will not be the case because the specified range has to be exceeded before beginning a new bar. Therefore the open value will be outside the range of the prior range bar.
- In Chart >> Chart Settings you have the Intraday Bar Period >> Bar Period Type set to Range per Bar - New Bar on Range Met enabled. You will need to use Range per Bar - Standard instead. With Range per Bar - New Bar on Range Met, a new range bar will start as soon as the specified bar range has been met even if trading continues within the range.
- A new trading session has begun and you have New Bar at Session Start enabled in Chart >> Chart Settings. This will cause the current range bar to be stopped and the new one will begin. This is something to be aware of.
- You do not have tick by tick data in your data file. To get tick by tick data, follow the instructions in the General Information and Related Settings section on this page. However, rather than setting the Intraday Data Storage Time Unit at 1 Tick as explained, consider using 1 Second because using 1 Tick will increase the time to load chart data, increase the data file size and overall increase CPU usage. Therefore, you have to consider whether a small slight inaccuracy which generally is of little significance, is worth the overhead of working with 1 Tick data. It may not be worth the overhead.
*Last modified Friday, 27th June, 2014.