Get historical ticks and volumes

[ku8az]

Hi all, I'm pretty new here and I have following problem. I'm trying to do volume profile chart such as here. But I couldn't get tick data for a historical data analysis. Lets see I work with ES 12-11 1M or E6 12-11 1M data and I am not capable of getting every tick volume data but just total volume for each bar. I tried add a new 1 Tick bar but it is not never executed on historical data. When I run indicator mentioned in url, it calculates some volume analysis so I think a data contains these ticks information or it must it calculate another way.
Thanks for your reply.

[NinjaTrader_Bertrand]

ku8az, welcome to our forums here - adding a finer tick series would be a valuable idea and as any series added it would be called on the bar close in a backtesting environment. When did you attempt to do your processing then on the bar close of the primary series?

[ku8az]

Hi Bertrand, thank you for your welcome and answer. If I get it well, I need to set CalculateOnBarClose on true for processing added tick bar? Now I'm trying to do this:

protected override void Initialize()
{
    Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Last);
    CalculateOnBarClose = false;
}

protected override void OnBarUpdate()
{
    if (BarsInProgress == 0)
    {
        Print("Time=" + Time[0]);
    }
    else if (BarsInProgress == 1) // it never happens!
    {
        Print("Time[1]=" + Time[0] + ", Volume=" + Volume[0]);
    }
}

My primary source is 6E 12-11 historical dataflow. In historical data manager I see for this data source just 1M data, but if I run above mentioned indicator for them, it just works.

[NinjaTrader_Bertrand]

ku8az, what broker or dataprovider do you use? Setting CalculateOnBarClose in backtesting would not have any effect, it's true by default as the intrabar formation of the series is not known in backtesting. The CalculateOnBarClose = true bar info of the 1 tick series is basically simulating your intrabar data for the minute granularity.

[ku8az]

Sorry, I forgot to mention it. I'm using IB broker. I think I understand how COBC works for realtime data. This code works well for realtime data, BarsInProgress is switching and tick volume prints but I need to get every tick data from historical flow.

[NinjaTrader_Bertrand]

For the IB connection you would not get a historical tick data backfill which would be needed here for your project, a sound alternative for the data delivery would be connecting first to Kinetick www.kinetick.com - it would deliver a tick data backfill to drive your tick based charts.

[ku8az]

OK, that sounds reasonable, but I'm still wondering then, how is it possible the TPOChart is working on the same historical data and it calculates some volume.

[NinjaTrader_Bertrand]

Sorry I would not know, what it's doing then to emulate this behind the scenes...

[ku8az]

Just to know, I have already solved this. It was typical PEBKAC