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To all who are interested in volume:
As an equity trader, I would like to have correct intraday and EOD values
for up volume and down volume for stocks. Correct values are not currently
available in TS2k for either intraday or EOD data. TS4 produces
semi-correct intraday values but no EOD values. This discussion is also
applicable to futures in that tick count (tick volume) is handled in the
same unhelpful fashion as stock volume by TS4 and TS2k.
I am hoping to encourage Omega to change the way Up/Dn Volume is handled and
stored on the hard drive and hope to solicit support from list members that
agree. My own calls and emails to Omega on this issue have been ignored for
years.
There are two aspects to the problem: (1)the way TS2k allocates intraday
trade volume from so called "unchanged" price ticks and (2)the fact that
"unchanged" volume is stored separately on the hard drive for intraday and
EOD data by TS2k.
I emphasized the word unchanged because, objectively, there is no such thing
as an unchanged price tick. All ticks are either up or down. Unchanged
prices that follow upticks in price are upticks and unchanged prices that
follow downticks in price are downticks. Hence, there is really no such
thing as unchanged volume.
[There are, of course, different ways to allocate unchanged ticks but my
point is that unchanged ticks are meaningless if stored separately and thus
must be allocated to up/dn vol in some logical manner. Another method might
be to compare each tick with bid/ask and allocate accordingly.]
The first issue is the method by which the volume from unchanged price ticks
is allocated to up/dn volume.
TS4 uses this formula: Volume from price upticks and all unchanged price
ticks since the last price uptick is Up Volume. Volume from price downticks
and all unchanged price ticks since the last price downtick is Down Volume.
This allocation method is reasonably accurate but I would prefer to be able
to set my own criteria for the allocation between up/down volume using, for
example, proximity to bid/ask which would eliminate much of the inaccuracy
of the TS4 method.
TS2k (build 512) uses the following erroneous formula: Volume from ALL
unchanged price ticks is Up Volume, period. No volume from unchanged price
ticks is ever allocated to Down Volume even if the unchanged ticks follow
downticks in price. This strange method grossly overstates Up Volume and
understates Down Volume. Fortunately, Pierre O. says Omega will fix this
error in SP2 by incorporating the TS4 allocation method into TS2k. This
will be a vast improvement but a user modifiable allocation method would be
better.
The second issue is Omega's decision in TS2k to store separate values for Up
Vol, Dn Vol and Unch Vol on the hard drive for intraday (1 min or 5 min)
data and EOD data. You can see this data in GlobalSever's Edit Symbol
window on the Edit Data tab.
I submit that calculating and storing separate values for Up/Dn/Unch volume
is a mistake since all three values are rendered utterly meaningless. You
cannot assume anything meaningful if, for example, Up Vol is larger than Dn
Vol because you do not know how much Unch Vol should be allocated to Up Vol
and Dn Vol. Since Unch Vol is usually larger than Up or Dn Vol and always
large enough to materially change the balance, all 3 values are useless.
Thus Unch Vol should be eliminated and allocated to Up Vol or Dn Vol
according to the TS4 method or preferrably by a user modifiable method. But
this allocation has to be done at the tick level, you can't do it after the
fact.
It might be possible to write an indicator or an add-on DLL which would
perform a correct allocation and produce accurate up/dn volume values for
use by tick charts, minute charts and daily charts. Unfortunately I have no
idea how to do that. I have asked for help from EL consultants but have had
no luck so far.
The best solution would be for Omega to modify the program to produce
accurate up/dn volume values. Perhaps if enough interested people emailed
such a request, it will produce results. The Omega addresses are:
officeofthepresident@xxxxxxxxxxxxxxxxx and
tswishlist@xxxxxxxxxxxxxxxxx
Sorry this was so long.
Thanks
Bill Wood
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