15 minute volume
Author: aphelps7
Creation Date: 9/13/2008 7:59 AM
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aphelps7

#1

9/13/2008 7:59 AM

I am trying to get the intraday volume for the 4:00pm bar for symbol FTIB. I set the scale to 15 minutes and then used this code:

double volumelast15min = Bars.Volume[Bars.Count - 1];

This returns 808338.

According to ATP, this is the volume for the 3:45 bar. The 4:00pm bar shows 234620.

Can anyone show me what I am doing incorrect?
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Eugene

#2

9/13/2008 11:06 AM

There is a difference in intraday time stamps between AT Pro and WL Pro. The bar is timestamped at the start of it in ATP and WLP marks the same bar with the time at the end of bar.
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aphelps7

#3

9/13/2008 11:13 AM

Eugene,

Then does that mean 234620 that the 4:00pm bar in ATP is for the 4:00pm - 4:15pm volume?
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Cone

#4

9/15/2008 1:10 PM

Right. But if you're not sure how ATP works, you should call Fidelity support.
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