How to harness tick data to generate tick volume

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  • 08/08/2020 at 8:19 AM #141142 quote
    Kodiak
    Participant
    New

    I’m using the PRT platform via IG Markets. Bizarrely, IG supplies volume for indices and stocks but NOT for currencies and commodities. So if you’re trying create a volume based indicator or trading system, you’re out of luck.

    Would there be any way to use the tick data stream to code a tick volume graph? I would prefer not to spend weeks learning to code on PRT only to discover it can’t be done.

    Thanks

    08/09/2020 at 10:04 AM #141200 quote
    Nicolas
    Keymaster
    Master

    It could be done with variables arrays, only available in PRT v11. Look at this example on how to store and save data on each tick received:

    Example #5: tag exact time and price of an event (2 MA cross over) in real time, during the same bar

    array variables availability in ProRealTime – examples and discussions

    08/10/2020 at 1:47 PM #141318 quote
    Kodiak
    Participant
    New

    Thanks for your reply, Nicolas.

    IG markets is still running v10.3. Haven’t been able to find out if and when they are moving to v11.

    Given that we are just counting ticks and don’t need to do any fancy stuff like accessing a particular value in array, would it be possible to do this just with variables? I’m only beginner to intermediate as a programmer, so this is just guesswork on my part.

    Might the following work?

    1. With each new tick, create a variable with the value as a timestamp.
    2. Create a  single bar in a tick volume chart (e.g. 1 minute) by counting all the variables that have timestamp 12:00 PM to 12:01 PM

    Cheers

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How to harness tick data to generate tick volume


ProBuilder: Indicators & Custom Tools

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Kodiak @kodiak Participant
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This topic contains 2 replies,
has 2 voices, and was last updated by Kodiak
5 years, 6 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 08/08/2020
Status: Active
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