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One

Registered: Aug 2002
Posts: 281

04-28-11 07:47 PM

Quote from bundlemaker:

In order to construct TRUE (meaning accurate) CVB's you MUST have tick data. If you take the time to think it through, you'll easily understand why.

Agreed that tick data will allow construction of more accurate CVBs, but the difference varies inversely with granularity. My current 1 min data base from tickdata.com cost several thousand, so I'd rather not purchase the same data in tick form. I'll take a look at IQ - Thanks.

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uexkuell

Registered: May 2006
Posts: 292

04-28-11 08:11 PM

Quote from One:

... whether anyone knew of a charting program that will contruct constant volume bars from 1 Min. data. Thanks.

It might help to have a look a QuoteTracker to answer your question.

When using it with IB historical data it constructs const vol bars (CVB) from 15 sec chunks.

I'm using these charts for quite some time now and they are astonishingly useful though I would certainly prefer a lower granularity (5 sec would probably be quite nice).

I highly doubt that using 1 min data (though possible in principle) to construct CVBs would lead to nice / useful charts.

How long back in the history do you want to look? More than a year?

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1a2b3cppp

Registered: Sep 2008
Posts: 2494

04-29-11 12:03 AM

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.

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One

Registered: Aug 2002
Posts: 281

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.

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One

Registered: Aug 2002
Posts: 281

04-29-11 05:23 AM

Quote from uexkuell:

It might help to have a look a QuoteTracker to answer your question.

When using it with IB historical data it constructs const vol bars (CVB) from 15 sec chunks.

I'm using these charts for quite some time now and they are astonishingly useful though I would certainly prefer a lower granularity (5 sec would probably be quite nice).

I highly doubt that using 1 min data (though possible in principle) to construct CVBs would lead to nice / useful charts.

How long back in the history do you want to look? More than a year?

Thanks - I'll take a look at quotetracker. I would like to find a solution with several years worth of history, and though I may end up purchasing tick data and looking at smaller periods, I'd like to start by looking at my current clean data from tickdata if possible.

Do you know how much tick data is available through IB's back fill?

Thanks to all responders.

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uexkuell

Registered: May 2006
Posts: 292

04-29-11 07:21 AM

Quote from One:
Thanks - I'll take a look at quotetracker.

Cited this not because I think it's a good program - just to be able to see that CVBs can be constructed from other things as tick data.

Btw I think that NinjaTrader (besides other intricacies) is a joke with respect to them refusing to build CVBs from other things as tick data.
Can only suspect that either their programmers are lazy or the company gets paid from the expensive historical data providers.

Quote from One:
I would like to find a solution with several years worth of history,

Several years - that may become expensive.

Quote from One:
Do you know how much tick data is available through IB's back fill?

IB's historical data goes back 1 year at 1 sec intervals.
Must be said that holes in the data may be experienced depending on what symbol is requested.
Also it takes some time to gather the data because only every 10 secs 2000 data points can be requested (makes about 10 min for a day of second data).

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