Market data

An indicator reads its data from VAn, the chart API.

Bars

List<BarClass> bars = VAn.BarVars;
int index = VAn.BarIndex;        // the bar being calculated
BarClass bar = bars[index];

Member of `BarClass`	Meaning
`Open`, `High`, `Low`, `Close`	prices
`OpenInT`, `HighInT`, `LowInT`, `CloseInT`	the same prices as integer ticks
`exchDt`	time of the bar, in the time of the exchange. Use it for calculations
`dt`	time of the bar in the local time of the user: for display only
`IsNewDay`	the first bar of a session
`SessionIndex`	number of the session the bar belongs to
`VolTotList[0]`	volume totals of the bar

The totals in VolTotList[0] (InfoVolClass):

Member	Meaning
`TotVol`, `AskVol`, `BidVol`	total volume, volume traded at the ask and at the bid
`TotNTVol`, `AskNTVol`, `BidNTVol`	number of trades
`MaxDeltaVol`, `MinDeltaVol`	highest and lowest delta reached during the bar
`VwapPrice`	volume weighted average price of the bar

Never read bars after VAn.BarIndex during the history: they are not there yet.

Prices as integer ticks

Volume data is indexed by the price as an integer number of ticks, called PinT. Convert with:

double price = VAn.FromPinT(pinT).Price;
int ticks = VAn.GetDoubleTicksDiff(lowPrice, highPrice);
double higher = VAn.DoubleAddSubTicks(price, 4);

Volume by price

The volume traded at each price of a bar is built only for the indicators which ask for it, in OnSet:

NeedVbp = true;

Then, for each bar:

foreach (int pinT in bar.PriceList)                     // the prices traded in the bar
    if (bar.VbpListAll.TryGetValue(pinT, out var levels))
    {
        int total = levels[0].TotVol;                   // [0]: every trade
        int ask = levels[0].AskVol, bid = levels[0].BidVol;
    }

Check bar.PriceList and bar.VbpListAll for null: some symbols and data feeds have no volume by price.

Trades

With OnTickCall set, OnTick receives every trade of the bar still open:

public override void OnTick(Feed.TickByTick tick, bool isRt, AggrInfo aggrInfo)
{
    if (tick.AggrSide == Feed.AggressorSideEnum.Ask) delta += tick.Vol;
    else if (tick.AggrSide == Feed.AggressorSideEnum.Bid) delta -= tick.Vol;
}

where Feed is an alias: using Feed = VolumetricaAPI.Connection.Structure;.

Member of `TickByTick`	Meaning
`price`, `PinT`	price of the trade
`Vol`	size
`AggrSide`	`Ask`, `Bid` or `Between`
`bid`, `ask`	best bid and ask at the time of the trade
`exDt`	time of the trade, exchange time

Ask for the trades in realtime only (CallHandler.RT) and take the history from the totals of the bars. The trades of the history are available only on the desktop, see Desktop only features.

The chart

Member of `VAn`	Meaning
`SymbolName`, `SymbolDescription`	the symbol
`ParamType`, `Param1`	type and size of the bars (`Minute` and `5` for a 5 minutes chart)
`IniTimeSession`, `EndTimeSession`	start and end of the session
`IsHighest(index, period)`, `IsLowest(index, period)`	whether a bar is the highest or lowest of the last bars
`GetSecondsToClose()`	seconds left before a time bar closes

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Concepts

Desktop and server

Examples

API reference

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Bars

Prices as integer ticks

Volume by price

Trades

The chart

​Bars

​Prices as integer ticks

​Volume by price

​Trades

​The chart

Bars

Prices as integer ticks

Volume by price

Trades

The chart