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PureBytes Links
Trading Reference Links
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How can we access Trade Volume intraday inside of TS?
Is there a custom function available?
Neal
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> From: Allan L. Kaminsky <allank@xxxxxxxxxxxxxxxx>
> To: Tom <planeacres@xxxxxxxxxxxxxxxx>
> Cc: stocktrader@xxxxxxxxxxxxxxx; omega <omega-list@xxxxxxxxxx>
> Subject: Re: DDE and volume bug
> Date: Saturday, February 28, 1998 8:27 AM
>
> 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
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