Why do they say that the constant volume bars offered by some data providers do not work well? So ... not all providers offer the same data? Does anyone know?
There's some squish in there. Do you count volume on outrights if it is implied out of spreads? Do you count OTC transactions? Stuff.
As far as not working, people who say that might be referring to data feeds where time and sales data is aggregated into snapshots vs trade by trade data building the volume bar. You can put Constant Volume Bars on different platforms with different data feeds and they will all be a little different. Its the same with minute bars and range bars.
https://www.elitetrader.com/et/threads/why-do-people-use-volume-range-and-tic-charts.80582/page-3 Here is debated
Volume bars have pros and cons, like anything in trading you get a little and give a little. They help get me into a breakout sooner, they help with set ups on low vol days. Cons: high volume days print many bars, many more decisions to make in a shorter amount of time. You have to be fast, bars close at different time intervals.
That's because Volume bars are populated by the volume of executed trades, and are not based on time. They open and close at whatever parameter the user sets.