I tried to print the volume for a 10 min time frame which I added to a strategy. The strategy was added to a 1 min chart. I found that the volume for the 10 min time frame was the same as the volume of the last min from the chart data. Here is the code and what I printed.
protected override void Initialize()
{
CalculateOnBarClose = true;
Add(PeriodType.Minute,10);
}
protected override void OnBarUpdate()
{
if (BarsInProgress == 1)
{
Print(Time[0].ToString()+ " 10 Min " + Volumes[1] + " O " + Opens[1] + " C " + Closes[1]);
}
if (BarsInProgress == 0)
{
Print(Time[0].ToString()+ " Chart " + Volumes[0] + " O " + Opens[0] + " C " + Closes[0] );
}
}
Output::::
Notice that the Open and close are correct but the volume for the 10 min bar is the same as the last 1 min bar.
2/1/2008 12:01:00 PM Chart Vol: 3258 O 1384.5 C 1385
2/1/2008 12:02:00 PM Chart Vol: 4516 O 1385 C 1384.5
2/1/2008 12:03:00 PM Chart Vol: 2853 O 1384.75 C 1384.75
2/1/2008 12:04:00 PM Chart Vol: 1701 O 1384.5 C 1384.5
2/1/2008 12:05:00 PM Chart Vol: 1083 O 1384.5 C 1385.25
2/1/2008 12:06:00 PM Chart Vol: 1888 O 1385.25 C 1385.75
2/1/2008 12:07:00 PM Chart Vol: 1405 O 1385.75 C 1385.5
2/1/2008 12:08:00 PM Chart Vol: 3228 O 1385.25 C 1385.75
2/1/2008 12:09:00 PM Chart Vol: 922 O 1386 C 1386
2/1/2008 12:10:00 PM Chart Vol: 2798 O 1386 C 1387.75
2/1/2008 12:10:00 PM 10 Min Vol: 2798 O 1384.5 C 1387.75
2/1/2008 12:11:00 PM Chart Vol: 1309 O 1387.5 C 1387
2/1/2008 12:12:00 PM Chart Vol: 4539 O 1387 C 1388
2/1/2008 12:13:00 PM Chart Vol: 3327 O 1388 C 1388.25
2/1/2008 12:14:00 PM Chart Vol: 2336 O 1388.5 C 1389
2/1/2008 12:15:00 PM Chart Vol: 1460 O 1389 C 1388.5
2/1/2008 12:16:00 PM Chart Vol: 1094 O 1388.5 C 1388
2/1/2008 12:17:00 PM Chart Vol: 1232 O 1388 C 1388.75
2/1/2008 12:18:00 PM Chart Vol: 638 O 1388.75 C 1388.75
2/1/2008 12:19:00 PM Chart Vol: 798 O 1388.75 C 1388.75
2/1/2008 12:20:00 PM Chart Vol: 1091 O 1389 C 1389.25
2/1/2008 12:20:00 PM 10 Min Vol: 1091 O 1387.5 C 1389.25
2/1/2008 12:21:00 PM Chart Vol: 5180 O 1389.25 C 1390.25
2/1/2008 12:22:00 PM Chart Vol: 2688 O 1390.25 C 1389.75
2/1/2008 12:23:00 PM Chart Vol: 1836 O 1390 C 1388.75
2/1/2008 12:24:00 PM Chart Vol: 4668 O 1389 C 1391
2/1/2008 12:25:00 PM Chart Vol: 5154 O 1391 C 1390.5
2/1/2008 12:26:00 PM Chart Vol: 1311 O 1390.5 C 1391.25
2/1/2008 12:27:00 PM Chart Vol: 1413 O 1391 C 1390.75
2/1/2008 12:28:00 PM Chart Vol: 2362 O 1390.75 C 1389.75
2/1/2008 12:29:00 PM Chart Vol: 2238 O 1389.75 C 1391.25
2/1/2008 12:30:00 PM Chart Vol: 1379 O 1391 C 1390.75
2/1/2008 12:30:00 PM 10 Min Vol: 1379 O 1389.25 C 1390.75
2/1/2008 12:31:00 PM Chart Vol: 1756 O 1390.75 C 1391.5
2/1/2008 12:32:00 PM Chart Vol: 7035 O 1391.5 C 1392.75
2/1/2008 12:33:00 PM Chart Vol: 5622 O 1392.75 C 1392.75
2/1/2008 12:34:00 PM Chart Vol: 2610 O 1392.75 C 1392.75
2/1/2008 12:35:00 PM Chart Vol: 2249 O 1392.5 C 1392.5
2/1/2008 12:36:00 PM Chart Vol: 6132 O 1392.5 C 1391.75
2/1/2008 12:37:00 PM Chart Vol: 3408 O 1391.75 C 1392.75
2/1/2008 12:38:00 PM Chart Vol: 5338 O 1393 C 1393.75
2/1/2008 12:39:00 PM Chart Vol: 11603 O 1393.75 C 1394.25
2/1/2008 12:40:00 PM Chart Vol: 5714 O 1394 C 1393.75
2/1/2008 12:40:00 PM 10 Min Vol: 5714 O 1390.75 C 1393.75
Comment