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I need to manage historical ticks data (datetime, price, bid/ask, volume exchanged) with PowerLanguage .NET to create a real VWAP line and its deviations. The programming guide explains carefully the StartCalc and CalcBar function that returns just aggregated data on the bar ranges, so that the calculation of VWAP (and other ticks-based indicators) cannot be properly operated. Possibly, only the current bar could be updated at each tick and the single tick data maybe could be derived somehow. Does anybody know how to get access to historical tick data at the indicator lunch? Thank you.
Federico.
Can you help answer these questions from other members on NexusFi?
Thank you so much for your support; I gave a glance at the documentation but it seems really sparse. More particularly it is not explained every available field. At least to me, it seems it is not explained how to
- go back to the tick series with respect to the current one (historical or real time)
- retrieve the tick datetime or if possible ask for the tick series in a datetime range
- retrieve the exchanged volumes for each tick
My first need is to realize Cumulative Volume and Cumulative Volume Delta (also called Buy/Sell or ASk/Bid Pressure) indicators where the cumulation is done over the last N seconds (settable freely by the user) from the closing of the current bar (the timeframe of which is < N). So I need to sum the volumes of the exchanges of each tick in the past N seconds at the bar closing for the CV and the difference between the buy volumes and the sell volumes of the ticks in the last N seconds at the bar closing. Then I would like to do something similar for a mobile VWAP. Any suggestion? Maybe could be useful for somebody else? Thanks.
