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Last Trade Size (volume)
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Last Trade Size (volume)

  #1 (permalink)
Site Administrator
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Last Trade Size (volume)

This should be easy, but I've just spent an hour trying to do it. I know the answer is obvious... but you know how sometimes you just can't see it.

I simply want to know what the Last trade volume was, as in the Last tick, what was the volume traded at that price. I need to know this intrabar.

Help?

@Jura, @SPMC, @Laurus12 to the rescue? Others?

Mike

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  #2 (permalink)
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  #3 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
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Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,219 received


Have tried this among 100 other things:

 
Code
                            

vars
:
_lastvol (0),
intrabarpersist _lastvolpersist (0);

_lastvolpersist volume;
_lastvol volume;

print(
text("Volume[0] = "Volume[0], ", _lastvol = "_lastvol", lastvol[1] = "_lastvol[1], ", _lastvolpersist[0] = "_lastvolpersist[0])); 
Sample output:

 
Code
Volume[0] =  123.00, _lastvol =  123.00, lastvol[1] =  137.00, _lastvolpersist[0] =  123.00
Volume[0] =  123.00, _lastvol =  123.00, lastvol[1] =  137.00, _lastvolpersist[0] =  123.00
Have tried all the math, nothing accurately reports the last trade size.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #4 (permalink)
 Vendor: tradingcode.net 
The Netherlands
 
Futures Experience: None
Platform: MultiCharts, TradingView
Favorite Futures: ...
 
Jura's Avatar
 
Posts: 774 since Apr 2010
Thanks: 2,347 given, 661 received

Hm, good question Mike.

After some puzzling this seems (with the emphasize on seems) to work:


Quoting 
1110131_121037 LastVol: 1 regularVol: 223 prevVol: 399
1110131_121039 LastVol: 8 regularVol: 231 prevVol: 399
1110131_121042 LastVol: 1 regularVol: 232 prevVol: 399
1110131_121044 LastVol: 6 regularVol: 238 prevVol: 399
1110131_121102 LastVol: 2 regularVol: 240 prevVol: 399
1110131_121110 LastVol: 1 regularVol: 241 prevVol: 399
1110131_121132 LastVol: 2 regularVol: 243 prevVol: 399
1110131_121134 LastVol: 1 regularVol: 244 prevVol: 399
1110131_121143 LastVol: 4 regularVol: 248 prevVol: 399
1110131_121151 LastVol: 4 regularVol: 252 prevVol: 399
1110131_121222 LastVol: 16 regularVol: 268 prevVol: 399
1110131_121238 LastVol: 2 regularVol: 270 prevVol: 399
1110131_121259 LastVol: 4 regularVol: 4 prevVol: 270
1110131_121300 LastVol: 3 regularVol: 7 prevVol: 270
1110131_121304 LastVol: 1 regularVol: 8 prevVol: 270
1110131_121310 LastVol: 3 regularVol: 11 prevVol: 270
1110131_121314 LastVol: 7 regularVol: 18 prevVol: 270
1110131_121320 LastVol: 9 regularVol: 27 prevVol: 270
1110131_121344 LastVol: 12 regularVol: 39 prevVol: 270
1110131_121352 LastVol: 5 regularVol: 44 prevVol: 270
1110131_121402 LastVol: 2 regularVol: 46 prevVol: 270
1110131_121428 LastVol: 8 regularVol: 54 prevVol: 270
1110131_121428 LastVol: 5 regularVol: 59 prevVol: 270
1110131_121434 LastVol: 2 regularVol: 61 prevVol: 270
1110131_121520 LastVol: 3 regularVol: 64 prevVol: 270
1110131_121520 LastVol: 1 regularVol: 65 prevVol: 270

 
Code
                            
vars
    
intrabarpersist lastVolume(0),
    
intrabarpersist volumeLastTrade(0);

once cleardebug;

lastVolume volume volumeLastTrade;

volumeLastTrade volume;
    
if 
lastVolume 0 then begin        // needed because my playback data has ticks with zero volume, somehow
    
    
Print(date:0:0"_"time_s:0:0Spaces(2), 
        
"LastVol: "NumToStr(lastVolume0),             // volume of last tick update
        
" regularVol: "NumToStr(Volume0),            // current volume of the bar, at this point
        
" prevVol: "NumToStr(Volume[1], 0));            // this will plot the volume from the *close* of the previous bar
end;

if 
BarStatus(1) = 2 then begin
    lastVolume 
0;
    
volumeLastTrade 0;
end

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The following user says Thank You to Jura for this post:
 
  #5 (permalink)
Elite Member
Norway
 
Futures Experience: Advanced
Platform: MultiCharts, CQG, NinjaTrader
Broker/Data: CQG, DTN IQFeed
Favorite Futures: EURO
 
Laurus12's Avatar
 
Posts: 376 since Nov 2010
Thanks: 557 given, 349 received

Mike. Sorry, but this is now over my head. I'll try to learn something while you guys go forward.

Just so I am sure, did you see my last reply from Curtis?

Laurus

“If you wish to see the truth, then hold no opinions for or against anything.” - Hsin Hsin Ming
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  #6 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,219 received

I received this from Dave @ MultiCharts. Haven't had a chance to test.

 
Code
                            
var:

    
tick_vol(0),
    
curr_vol(0),
    
intrabarpersist tick_num(0),
    
intrabarpersist prev_vol(0);

curr_vol ticks;
tick_vol curr_vol prev_vol;
tick_num += 1;

once cleardebug;
if 
lastbaronchart then
    
print("Bar = "currentbarspaces(2), "Tick = "tick_num,
spaces(2), "Last tick volume = "tick_vol);

prev_vol curr_vol;
if 
barstatus 2 then tick_num 0
I see both of you used "cleardebug", I am unfamiliar with that and will need to check it out.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
  #7 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,219 received


Big Mike View Post
I see both of you used "cleardebug", I am unfamiliar with that and will need to check it out.

Clears output log. Cool.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #8 (permalink)
Elite Member
Norway
 
Futures Experience: Advanced
Platform: MultiCharts, CQG, NinjaTrader
Broker/Data: CQG, DTN IQFeed
Favorite Futures: EURO
 
Laurus12's Avatar
 
Posts: 376 since Nov 2010
Thanks: 557 given, 349 received


Big Mike View Post
Clears output log. Cool.

Mike

Except from that I am now behind, this is very exciting. I'll step back and watch

Edit: And thank you for the clarification on the "Tells"

“If you wish to see the truth, then hold no opinions for or against anything.” - Hsin Hsin Ming
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  #9 (permalink)
Trading Apprentice
Houston, TX
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: Futures
 
Posts: 8 since Feb 2015
Thanks: 3 given, 0 received


Big Mike View Post
Clears output log. Cool.

Mike


Laurus12 View Post
Except from that I am now behind, this is very exciting. I'll step back and watch

Edit: And thank you for the clarification on the "Tells"


Hello Mike, Laurus:
Did the above code work for you? If so, would you be so kind as to post a sample output chart?
Many thanks!

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