Market data

Bars, volume by price and trades.

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