Registered: Aug 2002
04-29-11 02:15 AM
Quote from 1a2b3cppp:
Asking for constant volume with 1 min data is like asking for a 20 period 50MA.
The only way you could get volume bars like that would be if exactly the same number of shares were traded every minute.
You are correct that it is not a standard construction, but your analogy is not applicable. The higher the constant volume per bar, the closer the results of using tick data and minute data. For very high volume bars, the two approaches would yield very similar results with an occasional difference in the H or L of a bar.