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I want to create a bar. It has no tick time but operations. seeing the timesale I see the volumes of every single transaction. I want the transaction bar. how you do it?
If you're using Ninja (or most other platforms also), then I think you can get what you want with either tick bars or volume bars. These are built-in bar types. You don't have to do anything to create them, just select them:
- Tick bars: each bar is a certain number of trades, regardless of size. For example, a 2000 tick bar has exactly 2000 trades in it. Time is not part of it, so in slow periods there will be fewer bars than in more active periods.
- Volume bars: each bar is a certain number of contracts, regardless of how many trades. For example, a 6000 volume bar has exactly 6000 contracts in it. Time is also not a part of volume bars, so there are more bars in active periods.
On average, in ES the average trade is just under 3 contracts, so the above to settings (2000 ticks or 6000 volume) will give charts that are fairly similar for ES. Other contracts will have different average trade sizes and so the equivalent charts will be different.
Unlike time charts, it's a good idea to not use the same tick or volume size for every futures contract, but to try different sizes to show the level of detail you prefer. For different futures, the bar sizes you prefer will be different based on their different levels of activity.
I hope this is what you were looking for. Almost all decent platforms provide for both tick bars (number of trades) and volume bars (size of trades).
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
hello bob. the bars I look for are not tick or volume but the logic is of paceoftape. peace does not measure the speed of the volume but the speed of the tape. ticks measure the passive part. I want to measure the active part that can on the ts regardless of the size. excuse my English from Google :-(
Ah, now I understand. I don't believe I have ever seen such bars.
I am trying to visualize how this bar would appear. I assume a quicker-paced bar would complete in a shorter time (?).... That would mean that a slow market would produce fewer bars, during the slow periods, than a market that is moving faster, I believe. You do get this effect with both tick (number of trades) or volume bars, because you get more bars during a fast time period than during a slow one. I assume the bars you want would be different, but I'm having some trouble seeing how they would look in my mind.
Perhaps someone else has a better idea of what they would be like, or perhaps someone knows of a solution that already exists.
Good luck. I hope someone has some ideas for this.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
