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Date/Time: Thu, 18 Apr 2024 19:08:52 +0000

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Post From: Differences in VbP

[2014-01-08 13:05:06]
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PTG - Posts: 57
If you are on the other side of this Support Board, answering questions, you may have a tremendous appreciation at how calm and cool we actually are here.

LOL. I'm not on your side of this SB but I can imagine what is going on very well. It is extremely difficult to communicate about issues. You are dealing with individuals with various competence levels in unique circumstances.

One thing we observed in your chart images is that the IQ feed volume profiles have a smoother appearance on the right side. We wondered what this meant. If you have a look at the below images, you can see that 1 Minute data has a smoother appearance on the volume profiles compared to the 1 tick data.

Yes, I see that. They are from ES though, not 6E. I wonder why they aren't identical. I'd suggest to check the VbP settings (no pun intended ;) )

I have set the Intraday Data Storage Time Unit to 1 minute, and performed a Delete All Data And Download. The resulting profile is the following: http://www.sierrachart.com/image.php?l=1389181375573.png This is SC feed data.

I then have set the Intraday Data Storage Time Unit back to 1 tick, and performed a Delete All Data And Download once more. The resulting profile is the following: http://www.sierrachart.com/image.php?l=1389181863993.png This is SC feed data.

There is no difference. I'd expect this since the VbP would only differ if the time unit considered were smaller than 1 minute, which is not the case. As I see it, it makes no difference if you add up VbP over a period of days based on intraday data records containing tick data vs. minute data, as long as the period is a multiple of minutes. Note that the file size for 6EH4.scid was 44.676 Kb for tick data vs. 728 Kb for minute data so the delete and download data did actually take place. Please correct me if I'm seeing it wrong.

We are referring to the Volume by Price settings. They are different in your charts.

Most definitely not: they are the same. 100%.

I'm afraid all this is much simpler. The difference is in the .scid file from IQFeed on the computer I made the original screenshot from. After performing the above, I suspected the IQFeed based .scid file. I found another .scid file for IQFeed's @EU#C on another computer, fortunately. I hadn't thought of that since it wasn't supposed to be there. The screenshot for the profile based on that IQFeed .scid file is this: http://www.sierrachart.com/image.php?l=1389183997321.png Compare this with any of the two above (both are based on SC data), and the differences are rather small, something that I'd expect.

I have no idea why the .scid file on the other computer is off. It shouldn't be, but it is what it is. This appears to be the cause for the difference.

All in all I have my answer. I'm confident about the SC data. That said, I don't understand why I see identical profiles for tick- and minute data on 6E where you see different profiles on ES.