How to chart 1 min Up/Down volume spread on NYSE, NASDAQ
Author: shuanyao
Creation Date: 8/21/2015 2:58 PM
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shuanyao

#1
I want to chart 1 min Up/Down volume spread on NYSE or NASDAQ. There is market sentiment data NYSE advancing/declining volume and NASDAQ advancing/declining volume shown at bottom of ticker in Active Trader Pro and updated about every 30 sec. I would like to use Wealth Lab pro to chart the difference of up-down volume. I downloaded MS123 indexDefinitions library and installed in successfully. But it seems not the right way to show NYSE up/down volume spread. Since .MB_ADV_N .MB_ADV_Q cannot do 1 min chart(they can only do daily chart and I get error message " cannot convert daily bars to 1 minute bars" ). Please advice me there is a way to show 1 min Up/Down volume spread on NYSE or NASDAQ on WLP?
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Eugene

#2
Please try the following:

1. Create a 1-minute DataSet with .MB_ADV_N and .MB_ADV_Q
2. Update the DataSet manually
3. Double-click a symbol in the Data panel to open its 1-minute chart
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shuanyao

#3
Thanks, Eugene,
I followed your instruction but still getting the error message " cannot convert daily bars to 1 minute bars". Please see my attachment. It seems all the symbols under Market Sentiment datasets are only for daily scale. however .STI.N .STI.O can show 1min chart in Active Trader Pro but still only daily chart in WLP. Is there a way to get intra data .MB_ADV_N since it is available in Active Trader Pro internally.
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Eugene

#4
And if you turn Streaming off?
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shuanyao

#5
open new chart and select .MB_ADV_N and immediately get "cannot covert daily bars to 1 minute bars". I am not even able to turn on stream. If I click on Stream button, it immediately show error message.
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Eugene

#6
Have you disabled "Update data on demand"?
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shuanyao

#7
yes, in data manager under update data tab, unchecked update data on demand. then click the symbol, still get the same error message.
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Eugene

#8
What is the Bars.Count on that 1-minute DataSet? If it's 0 after updating then it's unfortunate.

Looks like you're right: daily market sentiment is a long-standing Fidelity data limitation. Some symbols like .TIC.* were reported as having intraday data, though. Sorry.

Two workarounds:

1. Running an IndexDefinition on 1-minute scale on the total universe of NYSE/NASDAQ stocks is possible in theory but impractical (too resource intensive I guess).
2. Subscribe to IQFeed data and use the IQFeed data provider. Take a free trial first. They claim to have Over 700 market stats/breadth indicators (TICK, TRIN, etc), most of which update every 1 second!
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