eSignal intraday volume question

Discussion in 'Trading Software' started by 50 cent, Jun 6, 2005.

  1. JayF / eSignal support -

    I watch ES/NQ/YM intraday, and I have noticed that when there is increased activity in the market, the software does not receive all the trades.

    For example - after 1 minute of increased market activity, the 1 minute bar of the ES M5 has for example 5000 contracts volume. But when I refresh the chart (ctrl+OK on the cursor window), this bar now has for example 7000 contracts volume.

    I guess this means that the data manager did not receive all the trades in real time - 2000 contracts worth of trades did not come through.
    Once the chart is refreshed - the data is re-read from the servers, rather than taken from what the data manager collected in real time. And then, the full volume is shown.

    I noticed that some volume is often missing, as I described, but price changes are never missing. I therefore assume that the data manager hurries to receive the price change, on the expense of trades at the same price.

    This of course makes a lot of sense, since timeliness of price change is more important than volume accuracy, at least to me.

    However, I was wondering if there is any trick to optimize the software on the client side (on my computer) to receive as much volume as possible. Other than "buying more memory and more cpu power".

  2. JayF_eSignal

    JayF_eSignal eSignal

    There is a known issue in the minute-based charts, wherein the charts don't update unless there is a price change. This is mostly seen on the volume study, but also affects volume related studies or EFS formulas. This is something that is on our list to address (EDL # 11240,) however an ETA is not currently available.
  3. ok, thanks for info, i am glad the issue is acknowledged.

    so for the time being, the best way to see reliable intraday volume data, is basically to refresh the chart (ctrl+ok on cursor window)?
  4. ps JayF, I have already posted this in the eSignal forum as well so feel free to ignore it there.

    Thanks for your help.
  5. JayF_eSignal

    JayF_eSignal eSignal

    Yes, that is one way to do it. Another way (for shorter intervals) is to use a second based interval. For example, instead of a 3 minute chart, you could use a 180s interval. Since 180s is based on ticks it will deliver streaming volume on a chart. Please also keep in mind that tick-based intervals use much more CPU than minute based intervals (especially with ES futures.)
  6. Apparently the tick charts are no different. They show the exact same volume that the minutes charts do, and when I refresh the minutes chart (ctrl+ok in cursor window), the volume increases significantly.

  7. JayF_eSignal

    JayF_eSignal eSignal

    I'm not seeing that on my charts (7.9.1 Beta, build 725). When I have a 60s chart and a 1min chart side-by-side, the 60s chart updates the volume in real-time, while the 1min chart holds the volume at a set amount until a price change comes in at which point the volume will match.
  8. Jay, I know this is more hardware-related, but since you brought up a pertinent topic:

    CPU - meaning the processor itself? If so, a larger capacity number-cruncher?

    Or, do you mean additional/newer generation memory?

    Or both processor and memory?

    (from the eSignal website):

    A[n eSignal] Power User is someone who uses 1 or more of the following:
    5 or more tick charts
    10 or more interval charts
    15 or more drawn objects on a chart (either through EFS or the line toolbar)
    CPU-intensive EFS or back testing studies (using multiple loops, global variables, etc.)
    Tracking of E-Minis in a chart or in a Market Depth window

    In addition to these? [eSignal] Power User Requirements
    Windows 2000, Windows XP
    2.6 GHz Pentium 4 or compatible
    2 or more 17" or larger monitors with 1024x768 resolution
    1 GB RAM
    40 MB available hard disk space
    DSL, cable modem, ISDN, T1 or T3 Internet connectivity
    Microsoft Internet Explorer 6.0 Power User Definition

  9. JayF_eSignal

    JayF_eSignal eSignal

    Tick based charts require more CPU power from the processor. If you had the minimum eSignal specs (P3, 800Mhz), and tried to pull up a number of tick charts, you would experience sluggish performance from eSignal.

    Newer RAM technologies is certainly nice to have as well, but we've seen more benefit gained in eSignal by moving to a faster processor vs. upgrading to DDR2.

    The Power User requirements will work wonderfully with tick charts in today's markets. Please keep in mind that we are seeing the output of data from the exchanges nearly double each year, and as such are suggesting traders consider a PC upgrade every 2-3 years.
  10. yes ok, but now once that 1 minute is over, refresh the chart (ctrl+ok) and then you will see that now the 1min bar has more volume than it had before. this usually happens when there is increased market activity. it is not untypical for a 1min ES bar to show up to 40% more volume after i refresh the chart. this is the problem that i was referring to. i conclude that some of the trades at the same price simply don't come through, not to the 1min chart and not to the 60sec chart.

    ps i do have "power user" hardware.
    #10     Jun 10, 2005