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Re: Volume Indicators for MT4

1052 by ROI
quote zznbrm, he made this indicator. Nice way to see, if you can trust your brokers tick-data.
It always surprises me how many ticks are missed by EAs and live indicators, especially during heavy activity.

The attached indicator simply counts the live volume per bar. It "should" match the MT4 volume for each bar. But it seldom does. Why? Because (as I'm sure you know), EAs/Indicator take time (sometimes just a few milliseconds, somethings more) to process each tick. Any ticks arriving during an iteration of the start() function will be discarded. Even a very simple indicator like the attached (I can't think of a simpler indicator) will miss ticks. Although, there may be other explanations for the missing ticks as well (ie, processor speed). But that is a whole different issue.

I did a little testing of this on a M1 chart for two brokers: IBFX and MBTrading. On IBFX, the missing ticks were usually < 20%. On MBTrading, it was noticably more. I would guess the difference is due to the quote feeds and latency for different brokers.

And these numbers are during New York afternoon using a very "fast" indicator. You could imagine how many ticks would be missed during heavy trading using an EA that takes 200+ milliseconds per iteration.
LiveVolume.mq4 Downloaded 215 times 2.43 KiB

Re: Volume Indicators for MT4

1053 by ROI
Moving Average Ticks & MACD Tick Volumes

This is a Tick-Weighted Moving Average, similar to a Volume Weighted Moving Average (VWMA) and a MACD calculated on tick volume not on price.

PS: Lighter, most recent versions available here.

Ticks MA.mq4 Downloaded 325 times 5.72 KiB
Ticks_MACD.mq4 Downloaded 338 times 3.37 KiB
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