CVB External Data (CVBXData)

The three XData studies (BarXData, CVBXData, and TFXData) allow you to take sub-minute (millisecond) external data and plot three different types of charts within CQG. These charts can be viewed as historical (static) or in a snapshot/live mode (dynamic) depending on the data source.

You can apply large trade detection to volume using the Aggressive parameter.

Markets with good trade activity that will give the granularity needed for millisecond analytical decision-making are best for this study.

All of these studies are used with an external data source that is sub-minute and either an historic ASCII data set or a continuously appended ASCII data set.

The data file should be represented in this column order: Date, Time, Bid, BidVolume, Ask, AskVolume, Trade, TradeVolume. The Trade and TradeVolume column are used to create constant volume bar charts.

Also:

• The ASCII file must be tab-delimited (.txt file) or space-delimited (.prn file). File type .csv (comma-delimited) cannot be used.

• The first line of file should contain the contract description in this: Symbol: MySymbol, Description: MyDescription.

• Each value represents the current state of last best bid, last best ask, and last trade for particular date and time.

• Date format is MM.DD.YY; time format is hh:mm:ss.iii where i is milliseconds.

• Prices are two digits and are displayed as is.

• Data must be ascending.

To use this study:

1. Add the study to a chart.

2. Right-click the chart, and select Modify Study Parameters.

3. Click the Browse button to find the data file you want to import.

4. Set other parameters.

5. Click OK.

The data from your file will be charted.

CVBXData Parameters

Parameter	Description
Display	Opens sub-window to set parameters • Color = Line color. • MarkIt = Opens Specify Conditions window. • Weight = Line thickness. • Digits = Number of digits after the decimal point in the study’s outputs. • UpdateRate = rate at which the system checks for changes to data file. • Display = Line style: bar or candle. • ShareScale = Determines whether sharing of the vertical scales between studies is accepted. Auto = System determine whether sharing is feasible. On = Scale is shared regardless of the functions and studies displayed. Off = Scale is not shared. ShareScale must be On if study is overlaid on a study with multiple outputs.
FilePath	Location of data file. Click Browse to search for it.
VolumeLevel	Volume covered by each bar. When this value is reached, the system begins calculating the next CVB bar.
Type	Volume type. Values: • Exchange Only = total number of contracts traded during the selected chart interval. • Tick Only = number of inside price changes, i.e. the count of how many times a last price has been changed over a time period.
FlatTicks	If checked, 0-plus and 0-minus ticks are used when building bars.
Aggressive	Used with Type and FlatTicks parameters. If checked, large trade detection is applied to quotes. Consecutive trades are considered one large trade if all of the following conditions are met: • They all happened on the same side. • There were no intervening opposite side trades among them (trade that is split between bid and ask is not considered intervening). • They happened within 50 milliseconds of each other (TFlow only). • No BBA updates occurred between trades. If consequent trades are combined into one large trade, they are considered one tick. If trades inside one large trade were executed at different prices, then all prices are used to construct the new OHLC of the CVB bar. Applies only to tick volume. Must be used with flat ticks. Requires enablement.