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#469756 - 12/06/17 17:30 Re: About marketVol() function [Re: jcl]
AndrewAMD Online

Registered: 02/21/17
Posts: 121
Loc: Chicago
It sounds like if a user wanted to replicate a volume-per-bar (such as for a money flow index indicator), then this is what he will need to do:

* Set future brokercommand SET_VOLTYPE to absolute volume (either ticks or real)
* Therefore, future brokercommand GET_VOLTYPE will acknowledge this setting.
* User will then detect changes in absolute volume and use that as real volume or tick volume for a given bar.

Is this correct?

If so, I would definitely use the absolute ticks setting for any forex plugin and an absolute volume setting for stocks, options, and futures.

Question: Were you planning on adding these brokercommands to the IB, FXCM, and Oanda plug-ins?

I also understand that, depending on how the plugin collects history data, whether from newest to oldest or oldest to newest, that it might require absolute volume to be accumulated in reverse order. That is...
* Newest volume is zero
* Previous tick is higher
* The tick before that is even higher.

So you can leave that to the end user to straighten out. (Or I might publish a handy helper function or two in the headers.)

#469772 - 12/07/17 17:03 Re: About marketVol() function [Re: AndrewAMD]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26002
Loc: Frankfurt
I know no API where you can set the volume type. So SET_VOLTYPE is at the moment only theoretical, a placeholder for a possible future feature that will probably be implemented in Zorro, not in the API plugin. Normally, trade volume is relative to a starting point in live trading, and absolute in historical data. Tick volume is always absolute. History data is always stored from newest to oldest.

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