Constant Volume Bars w/ 1 min data?

[One]

Quote from uexkuell:

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?

Thanks - I'll take a look at quotetracker. I would like to find a solution with several years worth of history, and though I may end up purchasing tick data and looking at smaller periods, I'd like to start by looking at my current clean data from tickdata if possible.

Do you know how much tick data is available through IB's back fill?

Thanks to all responders.

 

[uexkuell]

Quote from One:
Thanks - I'll take a look at quotetracker.

Cited this not because I think it's a good program - just to be able to see that CVBs can be constructed from other things as tick data.

Btw I think that NinjaTrader (besides other intricacies) is a joke with respect to them refusing to build CVBs from other things as tick data.
Can only suspect that either their programmers are lazy or the company gets paid from the expensive historical data providers.

Quote from One:
I would like to find a solution with several years worth of history,

Several years - that may become expensive.

Quote from One:
Do you know how much tick data is available through IB's back fill?

IB's historical data goes back 1 year at 1 sec intervals.
Must be said that holes in the data may be experienced depending on what symbol is requested.
Also it takes some time to gather the data because only every 10 secs 2000 data points can be requested (makes about 10 min for a day of second data).

 

[moarla]

what a bullshit.

volume bars are constructed on traded volume. It has nothing to do with ticks or minute.

stop this nonsense

 

[asiaprop]

your post does not make much sense. First of all constant volume bars are constant volume bars, not more not less. As you (almost correctly) described, bars are built by looking at prices that traded between constant volume intervals. However, your below example does not have to hold. How do you know that the high after 10:02 of 25.20 was part of the first 100k shares and did not trade in the remaining 10k shares? You sound like you make life for yourself much more complicated than it is...

Quote from 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.

 

[asiaprop]

You dont seem to actually understand what constant volume bars are, why not google it? Of course you cannot use 1minute bars to build constant volume bars for the precise reason mentioned in my previous post....it sometimes helps to understand the basic concepts before trying to work some magic...just my 2 cents.

Quote from 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.

 

[asiaprop]

gee, sorry to pick on you but why in this world would you spend "thousands of dollars" if you do not even know what you want to use them for? Let me tell you, and you may or may not find out later, your 1minute date is worthless to build constant volume bars. Believe me... you will get worthless results because strategies built on such flawed idea must fail.

Quote from One:

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.

 

[asiaprop]

lol, so what else are ticks than trades (unless you define ticks as market depth updates, which I have never heard before).

Of course you can build absolutely 100% clearn volume bars with tick data.

Quote from moarla:

what a bullshit.

volume bars are constructed on traded volume. It has nothing to do with ticks or minute.

stop this nonsense

 

[moarla]

right. but what counts is the volume traded.

the data must come in some way, so the data comes as tick data.
you could use also seconds as data; what counts on constant volume bars is VOLUME.

i use IBs aggregated tick data to construct constant volume bars, and it works perfectly.

(with Ensign Software)

 

[One]

Quote from asiaprop:

How do you know that the high after 10:02 of 25.20 was part of the first 100k shares and did not trade in the remaining 10k shares?

This statement is correct, and is why the divergence betwen bars constructed on tick and minute data would be larger for smaller volumes used in each bar. The larger the volume used in each bar, the less of a concern, e.g. say each minute is on average 1/60th of the CBV - and it is only a concern when the last minute is right at the high or low of the bar.

Regarding your other points, you are entitled to your opinions.

 

[Ensign]

Ensign software has what is called range bars also referred to as breakout bars and it sounds the most like what you are talking about. These bars will build based on market movement to fill a range specified. For example a 10 range bar will complete when the market has moved in either direction, so there could be 100 ticks but the need to cover a range of 10 before the next bar can be built. These are great to be able to see a trend starting and you can know the price range at which a bar will close.