I don't mind. But a few issues:
1) I use socket.reqRealTimeBars and it gives me 5s updates on
volume. ( I didn't know there was a 1 second volume update?)
2) There is allot of volume data, but I've missed 3 weeks from july 15
to August 7th. And there is one week in October I think where
volume was accidentally not recorded ( code merge error) .
Finally, there are some sporatic outages from my ISP.
3) The file format is obviously different from current JBT version.
I've record two different depth values and volume of coarse.
I could write up an awk script a parse out the extra depth value.
Here is a sample:
110310,161058,-23.43,1197.375,-23.0,1070 // depth are two 23's and
volume is at the end.
110310,161059,-22.6,1197.375,-23.0,1070
110310,161100,-22.23,1197.375,-22.0,1070
110310,161101,-22.23,1197.375,-22.0,145
110310,161102,-22.06,1197.375,-22.0,145
110310,161103,-22.62,1197.375,-22.0,145
110310,161104,-22.55,1197.375,-23.0,145
110310,161105,-22.49,1197.375,-22.0,145
110310,161106,-22.45,1197.375,-22.0,145
110310,161107,-22.48,1197.375,-22.0,357
110310,161108,-22.47,1197.375,-22.0,357
110310,161109,-22.53,1197.375,-23.0,357
110310,161110,-22.42,1197.375,-22.0,357
110310,161111,-22.55,1197.375,-22.0,181
110310,161112,-22.64,1197.375,-23.0,181
110310,161113,-22.61,1197.375,-23.0,181
110310,161114,-22.37,1197.375,-22.0,181
110310,161115,-22.48,1197.375,-22.0,181
110310,161116,-23.05,1197.375,-23.0,120
110310,161117,-22.63,1197.375,-23.0,120
On 11/5/2010 11:14 AM, nonlinear5 wrote:
Agreed on the importance of volume. I've been recording volume since
10 level book
started last year and you see that volume spikes are a good indicator of
price reversals.
Would you mind sharing your volume data with the group?
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