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Volume Divergence Historical / Intraday Chart


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Volume Divergence Historical / Intraday Chart

  #1 (permalink)
jadalu
Mainz-Kastel Germany
 
Posts: 5 since Sep 2020
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Hello guys,

does anyone no the calculation method for the volume of the day when using an intraday or a historical chart?

Im not getting the reason why there a is different volume for the same day.

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  #2 (permalink)
 Sawtooth 
Prescott AZ USA
 
Experience: Advanced
Platform: SierraChart
Broker: Stage5, FCM:Dorman, Data:Denali, Routing:Teton
Trading: YM ES NQ
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An Historical Daily chart uses different data than an intraday 1-0-0 chart.
https://www.sierrachart.com/index.php?page=doc/helpdetails12.html

Open and close times can be different also, so volume will not necessarily be the same.

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  #3 (permalink)
jadalu
Mainz-Kastel Germany
 
Posts: 5 since Sep 2020
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which time window does the historical chart refer to?

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  #4 (permalink)
 Sawtooth 
Prescott AZ USA
 
Experience: Advanced
Platform: SierraChart
Broker: Stage5, FCM:Dorman, Data:Denali, Routing:Teton
Trading: YM ES NQ
Posts: 474 since Nov 2009
Thanks Given: 219
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Read the documentation at the link I posted, specifically sections 12.5 and 12.6.

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  #5 (permalink)
jadalu
Mainz-Kastel Germany
 
Posts: 5 since Sep 2020
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thanks for the advice. I understood the difference.

What i still dont get is, why there is this huge different in the shape of this composite VP when using Ninja Trader with CQG and Sierra Chart with Denali and CQG Routing.




According to Sierra Chart Tickdata is available back to 2011. So both is set to this start date.

Best Regards

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  #6 (permalink)
 Sawtooth 
Prescott AZ USA
 
Experience: Advanced
Platform: SierraChart
Broker: Stage5, FCM:Dorman, Data:Denali, Routing:Teton
Trading: YM ES NQ
Posts: 474 since Nov 2009
Thanks Given: 219
Thanks Received: 603


Quoting 
why there is this huge different in the shape of this composite VP

It could be any of these:
- Each chart is including a different number of bars of data
- There is a difference in the settings or functions of each VP study
- There is a difference in data feeds

The two charts you posted are too dissimilar to determine what the issue is from them.
When making comparisons between charts, all settings, views, and functionality need to me the same.

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  #7 (permalink)
jadalu
Mainz-Kastel Germany
 
Posts: 5 since Sep 2020
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Thanks for your reply. I ve tried to setup all identically now.

Both Charts has data loaded starting from 2011-06-01.
Volumeprofile is set up to 1 Tick Volume and to total volume.
Volume profile drawing setup date for all bars in Charts. disregard "Duration start date" its changed to 2011-06-01.


Sierra Chart uses Denali data feed with CQG routing, while Ninjatrader is all set up through CQG.

So the problem should depend on the datafeed? What do you think?

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  #8 (permalink)
 Sawtooth 
Prescott AZ USA
 
Experience: Advanced
Platform: SierraChart
Broker: Stage5, FCM:Dorman, Data:Denali, Routing:Teton
Trading: YM ES NQ
Posts: 474 since Nov 2009
Thanks Given: 219
Thanks Received: 603


Quoting 
So the problem should depend on the datafeed? What do you think?

If all settings and functions could be made equal, then it would be a difference of data feeds.
But you are comparing two different data feeds on two different platforms using two different VP studies.
Too many variables to come to any solid conclusion.

I do know that the Denali feed is excellent, and CQG data has issues with historical data (and also connection issues), at least as it interfaces with Sierra Chart.
https://www.sierrachart.com/SupportBoard.php?ThreadID=46231
https://www.sierrachart.com/index.php?page=doc/CQGTrading.php
How CQG interfaces with Ninja Trader is unknown to me, so this is just one of many variables that makes a direct comparison difficult.

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Last Updated on May 24, 2021


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