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Last Trade Size (volume)


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Last Trade Size (volume)

  #1 (permalink)
 
Big Mike's Avatar
 Big Mike 
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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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  #3 (permalink)
 
Big Mike's Avatar
 Big Mike 
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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

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  #4 (permalink)
 
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 Jura   is a Vendor
 
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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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  #5 (permalink)
 
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 Laurus12 
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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

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  #6 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
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Broker: IBKR
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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

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Thanked by:
  #7 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
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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

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  #8 (permalink)
 
Laurus12's Avatar
 Laurus12 
Norway
 
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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)
DrQuantTrader
Houston, TX
 
Posts: 8 since Feb 2015
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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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Last Updated on July 10, 2015


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