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The original posting was mine. The problem does not extend to futures
data, since a futures tick may be any (unknown) size and/or group of
transactions.
Stock transactions are reported differently from the futures. With
stocks, each tick is (nominally) a single trade with the listed "last
price", and for the number of shares represented by "Trade Volume."
Omega has a bug in that volume that is reported on ticks is only the
volume on "upticks". Downticks erroneously report a trade volume of
zero. In easy language, the workaround is to use "upticks" and
"downticks". However, the DDE link doesn't seem to allow any
flexibility. It only reports the volume correctly if the tick is up.
Thus, using the DDE link with Excel, as per the Server manual,
incorrectly reports Trade Volume with live data.
The only workaround I've come up with is to follow the "live" data and
when the time advances, go back and access the past minute as
"historical data." This uses a different reporting scheme when the data
compression is 1 minute; all the accumulated ticks during that minute
have been collected in two categories: upticks & downticks; they are
reported thusly.
Allan
_____________________________________________
Tom wrote:
>
> Bob and list,
> I have a few questions if I may ask regarding intraday Volume.
> Could you explain the relation of upticks and downticks to volume. Since both an
> uptick or downtick in price is representing a transaction of undetermined size
> (could be 1 or 1000 contracts), how can it (up/dn tick count) represent volume
> at all?
> I trade futures and not stocks, so I may not have this correct regarding Shares
> of stock trading, but would assume the same applies.
>
> Secondly, what occurrs when another tick price occurrs that is at the same price
> as the former tick? Is it counted as an uptick or a downtick or are =ticks
> counted and differentiated from the former?
>
> What is the Volume bug? Or did you just describe it?
>
> Thanks in advance for any insights.
> See U
> Tom
> planeacres@xxxxxxxxxxxxxxxx
> What can you take with you when you're dead? That is the Question.
>
> -----Original Message-----
> From: Robert Kodama <stocktrader@xxxxxxxxxxxxxxx>
> Date: Friday, February 27, 1998 10:21 PM
> Subject: DDE and volume bug
>
> >Allan:
> >
> >I dde into excel from supercharts 4. I am using signal cable, p200 mmx,
> >88 meg mem.
> >
> >I know the sum of uptick (443300) and downtick (562400) volume does not
> >add up to the total end of day volume for today.
> >
> >For today 2-27-98 I got 618 ticks(trades) for klac with a total volume
> >of 2,691,600 from signal cable and supercharts.
> >
> >According to this site: http://qs.secapl.com/cgi-bin/qs
> >It got a total volume of 2,692,200 and 1851 trades.
> >
> >Doing any kind of volume study with 618 trades of 1851 total trades is
> >pretty useless.
> >
> >I will be using bmi and ensign software monday and signal and
> >supercharts.
> >
> >I will try to see if I get the volume bug.
> >
> >Bob
> >
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