Tick-Volume

[imported_tickstoryParticipant September 15, 2014 at 8:02 am Post count: 1479]

#19099

Hi Gooly,

The use of ‘double’ for Volume is probably for historical reasons as MT4 once used a double to store this information. It’s not overly correct to be doing things in this manner – the assumption is that the value of the volume will never be large enough to cause a problem.

Volume is stored as a 32-bit integer so the code you have shown should export the volume correctly.

We will re-look at the item to change the volume to be the spread. Of course, you wont be able to utilise this feature unless you have Birt’s Tick Data Suite as we have no immediate plans to support real spreads in the Tickstory launcher.

Hope this helps.

[goolyParticipant September 15, 2014 at 3:01 pm Post count: 57]

#19100

Thanks a lot!!

But why don’t you have any plans to support real spreads?
As far as I know one can backtest MT4 with ‘real’ ticks without launching mt4 by Tickstory?
So what are your plans with Tickstory?

Gooly

[imported_tickstoryParticipant September 16, 2014 at 7:04 am Post count: 1479]

#19101

Hi Gooly,

Back-testing with real spreads isn’t natively supported in MT4 – their database does not contain both the bid and ask price but instead relies on a fixed value (eg. 2 pips) to add onto the bid price. This fixed spread value can be set in Tickstory during the export.

The “workaround” is to use the volume field in the MT4 database as a proxy for the spread, however only Birt’s TDS launcher allows you to do this at the moment. Updating the Tickstory launcher each time MT4 changes is a significant development effort and detracts from improving Tickstory’s tick database functions. We would welcome open-sourcing the launcher script, however we didn’t see enough interested when we posed the question some time back.

Regards.

[goolyParticipant September 16, 2014 at 8:56 am Post count: 57]

#19102

I can remember that you were asking for a ‘public project’.
But I don’t feel competent enough to be a valid contributor.
I even couldn’t imagine how this could be done. 🙁

Could it be that there is an another way to use real spread and volume?
I don’t know whether the idea might work.
If you save spread and volume as 2 integer in the ‘volume-field’ you can easily depart them in an EA:

void splitVol(long lng, int& spr, int& vol){

spr = (int)lng;

vol = (int)(lng >> 32);

return;

}

so the ‘real’ Ask would be:

double Vol,Spr;

splitVol(Volume[0], Spr, Vol);

double realAsk = Bid + (Ask-Bid) + Spr*Point;

Isn’t there a way to use this in the StrategyTester?

[imported_tickstoryParticipant September 17, 2014 at 7:22 am Post count: 1479]

#19103

Hi Gooly,

I imagine you could do something like this aside from potential issues of losing volume information. The other issue of course is that you require your EA has been specifically to use the embedded spread information. This obviously rules out back-testing with pre-compiled/paid-for products.

Regards.

[rpgParticipant February 13, 2015 at 4:05 pm Post count: 13]

#19104

Mar 27, 2014
@tickstory wrote:

Hi Berty,
The tick volume that is published is still as described above – that is, it uses the volume traded as oppose to the number of ticks. All data originates from Dukascopy.
We still have an open enhancement item to change the MT4 export so it exports the tick activity rather than volume.
Hope this helps.

Almost 11 months have passed since this post. Will we see tick-count in Tickstory any soon?

[imported_tickstoryParticipant September 7, 2015 at 11:25 am Post count: 1479]

#19105

Hi there,

As of v1.7, tick volume is now expressed as number of ticks in a bar. Please see this post for more details:

viewtopic.php?f=0&t=766

Regards.

[Author]

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