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TVOL-NYSE inconsistency

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[2017-05-15 18:14:04] #1 [Go To First Post]
User161390 - Posts: 16
Please see the attached image and notice how in 5-8 and 5-15 the volume of the first period is different from the other days. The green line is the TVOL-NYSE data. The yellow line is based on the spreadsheet you recently helped me correct where I am looking at a moving average of each time period in the day. The data being inconsistent for the opening bar is throwing me off. It seems like either 5-8 and 5-15 are incorrect, or the other days are incorrect. http://www.sierrachart.com/image.php?Image=1494871913421.png

[2017-05-15 22:08:46] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is just a very slight one second timing issue. If the chart is using US Eastern times, then set the Session Start Time for the chart to 09:29:00. For more information, refer to: Chart Session Times Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-05-15 22:09:02

[2017-05-17 22:51:41] #3 [Go To First Post]
User161390 - Posts: 16
This did not fix it. Now I just see a stray red bar on some of the days http://www.sierrachart.com/image.php?Image=1495061448939.png

[2017-05-18 16:32:44] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We realize the calculation for that symbol resets at 9:30 US Eastern time. If you set the Session Start Time to just even one second earlier, sometimes it is still going to give incorrect data. There are some changes we can make which can solve this, but it will not be for at least one to two months. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-18 16:42:04] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We misinterpreted the issue in post #1. Therefore, the solution given in post #2 did not make any sense. The trading volume on 5-8 and 5-15, is less for reasons which we do not know at this time. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-18 17:03:21] #6 [Go To First Post]
User161390 - Posts: 16
Ok. It is fairly consistent that it will alternate between opening at 0 vs opening around 800K as you can see in the chart. There is normally at least 1 day per week that it opens at 0. Can you please update here when you are able to fix it? Thanks

[2017-05-18 17:04:37] #7 [Go To First Post]
User161390 - Posts: 16
Could this have to do with an unreliable source of pre-market volume? Could you provide a symbol that does not take pre-market into account?

[2017-05-18 17:10:23] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The open value for that symbol at 9:30 is zero or close to it. This is consistent. We see nothing like this at all: It is fairly consistent that it will alternate between opening at 0 vs opening around 800K Even the chart you posted in the first post, does not show this. You have to look at the open value of the first bar of the day. At this point we do not see anything there is to fix. We just want to make sure the calculation begins exactly at 9:30:00 and not a second before or after. This is a very minor detail. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-18 17:21:47] #9 [Go To First Post]
User161390 - Posts: 16
Yes you are correct about the open, I looked at it wrong there. What is clear on the chart though is that the 1st 15 minute bar is significantly larger on some days than on others. This is not the correct data. Are you saying that your internal calculation sometimes misses the 1st second? I guess this could be the cause of the discrepancy since there may be very large amounts of volume during the 1st second.

[2017-05-22 16:16:11] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes we do see this. And we notice it today 2017-05-22. Not sure why this is the case. We did notice an interruption with the pre-market data this morning but this will not have any effect. Are you saying that your internal calculation sometimes misses the 1st second? It should not, but this is something we are going to be checking on. If there is the potential for this, there will be code changes to prevent this. We should also be switching to the new Barchart OpenFeed in the next couple of months as well. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-05-22 16:17:26

[2017-05-30 17:10:32] #11 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We have done extensive work on this issue and we are going to release the changes tomorrow. We want to see how the volume calculations look in the coming week. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-06-08 02:51:56] #12 [Go To First Post]
Neo - Posts: 198
@User161390 Rather than use a spreadsheet study you might like to test out the Custom study I have attached- "ReltiveStudyBeta" which uses the logic of the relative volume study, expect it can be used on any subgraph reference. To get around the Monday skew, you could set the accumulation input to "dayofweek" so only equivalent time stamps for previous Mondays were used in the calculation. See image attached showing All days(yellow) vs same day of week( red) This study should offer better functionality and efficiency vs a spreadsheet study.


Skew.png / V - Attached On 2017-06-08 02:49:55 UTC - Size: 56.91 KB - 310 views RelativeStudyBeta.dll - Attached On 2017-06-08 02:50:04 UTC - Size: 86 KB - 257 views

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