I'd like to request a feature for the IB data plugin for a future AMI Broker release.
The TWS data source returns a barCount field in all securities besides forex (I believe). barCount is basically tick count. The number of ticks it took to create the bar at whatever timeframe you are requesting.
Saving this barCount data to one of the AUX's, or at least giving us the choice to save the data rather than throw it out would be ideal.
Thank you for hearing my suggestion, and I hope you will strongly consider it. Data is our whole business. It's all valuable
Probably most are wondering how does that affect your trading. If you are trading 1-minute bars, the number of ticks that created 1-minute bar does not change the strategy much. Number of ticks is not indicative for anything as larger trades are split into smaller chunks anyway to hide big orders.
For anyone who thinks this data is irrelevant: That's like saying there's no use in having high, low or open data because the close is usually close enough not to matter. I don't think many of us are trading off line charts...
Ticks are another component to volume that are almost always overlooked and under studied because the data is not generally available.
I'll give you a real world example. On another platform that allows access to tick data per bar I wrote a very simple indicator that unmasks abnormal amounts of large (red candles) and small (green candles) players. You'll notice there is often a direction change after there are abnormal amounts of either, especially at the climax of a strong trend.
SPY 4 Hour:
SPY 10 Minute:
And this is just the tip of the iceberg in terms of tick data usage. Think creatively with all available data and you will find new edges.
Anyone here actually trading?
