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»Forums Index »IQFeed Developer »IQFeed Developer Support »Volume Profile
Author Topic: Volume Profile (2 messages, Page 1 of 1)

-Interested User-
Posts: 10
Joined: Nov 10, 2015

Posted: Apr 28, 2020 10:02 AM          Msg. 1 of 2
is there a way to load the volumes per price level for a certain period of time.

Thanks for help

-DTN Evangelist-
Posts: 141
Joined: Jul 3, 2019

Posted: Apr 28, 2020 11:46 AM          Msg. 2 of 2
It's not an explicit data point, but you could calculate this from the data available. If you have a tick history, like:

Timestamp,Last,Last Size,Total Volume,Bid,Ask,TickID,Basis For Last,Trade Market ID,Trade Conditions,Trade Aggressor,Day
2020-04-28 12:44:42.994659,281.0699,20,15466795,281.0400,281.0700,41554,O,19,87,0,28,
2020-04-28 12:44:42.612113,281.0699,1,15466775,281.0400,281.0700,18416,O,24,87,0,28,
2020-04-28 12:44:42.244402,281.0500,13,15466774,281.0400,281.0700,48319,O,5,87,0,28,
2020-04-28 12:44:42.244360,281.0500,5,15466761,281.0400,281.0700,48318,O,5,87,0,28,
2020-04-28 12:44:42.093158,281.0400,5,15466756,281.0400,281.0700,7694,O,25,87,0,28,
2020-04-28 12:44:42.061564,281.0700,23,15466751,281.0400,281.0700,41553,O,19,87,0,28,
2020-04-28 12:44:42.035009,281.0401,3,15466728,281.0400,281.0700,18415,O,24,87,0,28,

You can group the ticks by time and by price level and execute a formula on it.

Gary Stephen
DTN IQFeed Implementation Support Specialist


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