No registration required! (Why?)

# constant volume bars and rollover days

Anyone here use constant volume bars? If so, I'm wondering about the distorting effects rollovers have on cvb calculations. i suppose this isn't an issue if you're using a continuous contract symbol for your charting app, but not all data providers/brokers offer continuous contract symbols (IB, for example). So, if you have been charting the March contract, at what point has the volume sufficiently transferred to the June contract to switch one's cvb charts to June? Thanks...

Great! In that case, eSignal is among the few that does it right!

By the way, this from eSignal's online help pages:

"For any number of shares traded higher than the specified interval, the trade will be split among multiple Volume Bars."

So, indeed, eSignal is among the few who do it correctly. For the life of me, I can't understand why TradeStation doesn't do the same.

"For any number of shares traded higher than the specified interval, the trade will be split among multiple Volume Bars."

So, indeed, eSignal is among the few who do it correctly. For the life of me, I can't understand why TradeStation doesn't do the same.

I still don't understand the "other" method of calculating volume bars - i.e. the one that TradeStation uses. Are you saying that they don't "ledger" the balance but throw it away when moving on to the next bar?

No, TS ledgers the balance into the next bar. Which means you can have, on a 1000 volume bar chart, a 1000 bar, followed by a 1392 volume bar, if that's the way the order flow hit. What MultiCharts, eSignal, and Ensign do -- and, apparently, they are the only ones who do it -- is to cap the bar at the specified number of contracts, then ledger the remainder into the next bar.

Thanks poster. That seems like the least intuitive way to do it so I wonder how they came up with that idea. I prefer the way that eSignal et al do it.

You said that you use a 6561 Volume chart on the ES. How did you come up with that number? I am guessing that you wanted to proxy a 2 minute chart and so worked out the average number of contracts per minute (or 2 minutes in this case) during RTH. Is that right?

You said that you use a 6561 Volume chart on the ES. How did you come up with that number? I am guessing that you wanted to proxy a 2 minute chart and so worked out the average number of contracts per minute (or 2 minutes in this case) during RTH. Is that right?

Emini Day Trading /
Daily Notes /
Forecast /
Economic Events /
Trading Indicators /
Search /
Terms and Conditions /
Disclaimer /
Books /
Online Books /
Site Map /
Contact /
Privacy Policy /
Links /
About /
Day Trading Forum /
Investment Calculators /
Pivot Point Calculator /
Market Profile Generator /
Fibonacci Calculator /
Mailing List /
Advertise Here /
Articles /
Financial Terms /
Brokers /
Software /
Holidays /
Stock Split Calendar /
Features /
Mortgage Calculator /
User Pages /
Donate

Copyright © 2004-2016, MyPivots. All rights reserved.

Copyright © 2004-2016, MyPivots. All rights reserved.