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This may depend upon the charting software and how the chart is built in that software. If the charting software starts drawing a new bar when the sum of volume for the current bar is greater than the bar interval, then this change will affect volume bars too.
For instance, if the charting software receives 100 trades each with size=1 at the same price, then a 10 volume chart will draw 10 bars with the price being the OHLC for all 10 bars. With this change, if data is summarized and instead of 100 trades, it receives 5 trades each with size=20, then the platform may draw just 5 bars.
Then the platform would be at fault. A volume bar is equal to the volume you specify, no less, no more. Exceptions would be session end/start where your platform should allow you to start a new bar.
I hope and think that even if they bundle/aggregate the consecutive trades at the same price they will keep bid/ask trades separated, in this case the delta calculation will not be affected.
Strange response from a DataFeed vendor. You mean you did not read the protocol before you started using it to supply data to your clients? My first read of just the summary made it quite clear that raw data was gone, in favor of what is essentially snapshot data on a very fast time frame. And as a mere end consumer of the data, I was not even reading the announcement with any serious programming intent.
This post really scares me. A data vendor who is unaware of the format of the data that they supply? Fie!
At this point that the data will not more based on tick but on time, and this is the microsecond, I'm curious to see how many trades will be made on the same microsecond....