Constant Volume Bars w/ 1 min data?

[One]

I know of several charting programs that construct constant volume bars from tick data (including NinjaTrader which I use), but was wondering whether anyone knew of a charting program that will contruct constant volume bars from 1 Min. data. Thanks.

 

[Zr1Trader]

How is that possible? Volume bars are based on volume, not time.

 

[One]

The volume bars would be constructed similarly to how they are with tick bars, using the High, Low and Close from each minute bar, instead of the tick price. As an example, starting at say 10 am, and constructing 100,000 share bars:


10:00 H: 25.00 L :24.90 C: 24.95 Vol 55,000
10:01 H: 25.10 L: 24.95 C: 25.05 Vol 25,000
10:02 H: 25.20 L: 25.00 C: 25.15 Vol 30,000

The first volume bar would be:

H: 25.20 L: 24.90 C: 25.15

and 10,000 shares from 10:02 would be swept into the next volume bar.

 

[nazzdack]

Quote from One:
----charting programs....
----construct constant volume bars....
----1 Min. data.

1) You may be searching for a "holy grail" that you'll never, ever find.
2) 1-minute bars can be overwhelming compared to other longer timeframes.

 

[One]

Agreed. 1 min is the granularity of the data base I purchased, used to construct longer time frame charts. Unfortunately NinjaTrader (and Esig I think) seems to need tick data to construct constant volume bar charts, and I haven't found a good place for inexpensive tick data on the E-Mini S&P.

 

[bundlemaker]

In order to construct TRUE (meaning accurate) CVB's you MUST have tick data. If you take the time to think it through, you'll easily understand why.

IQ Feed now provides up to 120 days of tick data for download. Beyond this, I know of no data provider which offers more tick data (at least not for what you might consider a reasonable price).

 

[One]

Quote from bundlemaker:

In order to construct TRUE (meaning accurate) CVB's you MUST have tick data. If you take the time to think it through, you'll easily understand why.

Agreed that tick data will allow construction of more accurate CVBs, but the difference varies inversely with granularity. My current 1 min data base from tickdata.com cost several thousand, so I'd rather not purchase the same data in tick form. I'll take a look at IQ - Thanks.

 

[uexkuell]

Quote from One:

... whether anyone knew of a charting program that will contruct constant volume bars from 1 Min. data. Thanks.

It might help to have a look a QuoteTracker to answer your question.

When using it with IB historical data it constructs const vol bars (CVB) from 15 sec chunks.

I'm using these charts for quite some time now and they are astonishingly useful though I would certainly prefer a lower granularity (5 sec would probably be quite nice).

I highly doubt that using 1 min data (though possible in principle) to construct CVBs would lead to nice / useful charts.


How long back in the history do you want to look? More than a year?

 

[1a2b3cppp]

Asking for constant volume with 1 min data is like asking for a 20 period 50MA.

The only way you could get volume bars like that would be if exactly the same number of shares were traded every minute.

 

[One]

Quote from 1a2b3cppp:

Asking for constant volume with 1 min data is like asking for a 20 period 50MA.

The only way you could get volume bars like that would be if exactly the same number of shares were traded every minute.

You are correct that it is not a standard construction, but your analogy is not applicable. The higher the constant volume per bar, the closer the results of using tick data and minute data. For very high volume bars, the two approaches would yield very similar results with an occasional difference in the H or L of a bar.