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Forums>StrategyQuant>Pre-Sales Questions>How is volume computed in Tick Downloader?

  • #238105 | Reply
    rdone
    Participant
    4 Posts

    When downloading data using Tick Downloader, in raw tick data there are ask volumes and bid volumes, and in aggregated tick data (e.g., 1 hour) there is just volume. For the same time period, the tick ask and bid volumes do not sum to the aggregated volumes. The ask and bid sums are generally the same magnitude as the aggregated volume, but they aren’t even very close. How is volume computed in Tick Downloader? Thanks.

    #238140 Reply
    tomas262
    Administrator
    1826 Posts

    For the better volume calculation please use new QuantDataManager where each tick has last volume traded instead of bid/ask sizes. Minute data and higher timeframes are correctly calculated regarding trading volume.

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