"Use Historical Minute Bars" and volume calculation

[ben_bain]

Hi, I am new user of MotiveWave. In Volume Imprint setting page, there is the option to turn on "Use Historical Minute Bars", I found that it affects the volume calculation (delta, bid/ask) drastically. I checked on both ES futures and TSLA, any general rule of using this option? do you turn it on or not? Thanks.
The setting page:


ES when it is turned off:



ES at the same time period when it is turned on:

For the bar at 11:15 on the screenshots, when it is turned off, the volume delta is 2030, when it is on, the volume delta is 7298.

 

[Donovan2580]

When it is turned on it calculations are more of an estimate / guess. Kind of like how Think or Swim calculates Volume Profiles. From my understanding, It just takes the volume from a small bar (like a 1 minute) and distributes it evenly across the ticks.

When that box is unchecked it will load the actual, tick data (If available).

Using the tick data is accurate, but much slower to load. "Use historical data" loads a lot faster, but is not as accurate.

So really it depends on the user and what their needs are.

Hope that helps

 

[ben_bain]

Thanks @Donovan2580 for the reply, can the data feed cause the drastic difference between this option on and off? for ES I am using CQG demo account, for TSLA, I am connecting to my ThinkOrSwim account (no level 2).

 

[Donovan2580]

Thanks @Donovan2580 for the reply, can the data feed cause the drastic difference between this option on and off? for ES I am using CQG demo account, for TSLA, I am connecting to my ThinkOrSwim account (no level 2).

Yeah a huge difference. All Motivewave can do is display the data it has. So actually that CGQ Demo should be pretty good for ES and NQ & have the ability to display tick data.

I don't think you are going to be able to get any tick data from Think or Swim, so everything you get from that data feed will be just a estimate. You can uncheck "Use Historical Minute Bars" and it won't really matter because it does not have real tick data coming in from TOS.

 

[ben_bain]

Thanks, I am going to sign up dxFeed account, is it a good choice for both ES futures and individual stocks like TSLA/NVDA?

 

[Donovan2580]

Thanks, I am going to sign up dxFeed account, is it a good choice for both ES futures and individual stocks like TSLA/NVDA?

It should be perfect for ES, honestly not sure about the data you will get for stocks. If they offer full book / market depth for stocks it will be just fine.

 

[ben_bain]

Thanks. @Donovan2580
dxFeed provides Nasdaq TotalView Market Depth (U.S. equities traded at Nasdaq. Real-time Market Depth data + Historical charting. This subscription includes Top of Book data.), should be good for individual stocks.