TOS Volume is inaccurate?

Vision

Member
2019 Donor
Am I missing something or are there major problems with how TOS reports volume? For example, if you pull up (probably) any volume indicator such as VolumeFlowIndicator, on say the ES, and look at a daily and weekly chart (both set on the same time interval) you get much different outcomes (currently the weekly is above zero and the daily is below zero).
 
Solution
I doubt its the raw volume data. Its all the same data stream regardless of the aggregation. Changing the aggregation just delineates it differently. The different outcomes you're experiencing are most likely due to the way the scripts are written. The volume traded at the bid and at the ask isn't accessible data. Many volume scripts attempt to overcome this limitation by essentially faking it in one way or another.

A common technique is to associate all of the volume on green bars as buying, and all of the volume on red bars as selling. So, if a weekly bar is green overall, then all of the volume from the entire week gets counted as buying, including the red days within that week. Whereas, on the daily chart, those red days become...

Joshua

Well-known member
VIP
I doubt its the raw volume data. Its all the same data stream regardless of the aggregation. Changing the aggregation just delineates it differently. The different outcomes you're experiencing are most likely due to the way the scripts are written. The volume traded at the bid and at the ask isn't accessible data. Many volume scripts attempt to overcome this limitation by essentially faking it in one way or another.

A common technique is to associate all of the volume on green bars as buying, and all of the volume on red bars as selling. So, if a weekly bar is green overall, then all of the volume from the entire week gets counted as buying, including the red days within that week. Whereas, on the daily chart, those red days become visible, and they do get counted as selling.

That's just one example, of course, but most are somewhat similar in this regard.
 
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