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I’m building a strategy to trade BTC. In my strategy I am using a trade bar consolidator and an EMA corresponding to that consolidator.
I found that when I have the EMA present in the Initialize function, the volume in the consolidator trade bar is double of that when I have the EMA lines commented out. I have not found any explanation as to why this happens in the documentation. The image shows the volume plotted (in the 15 minute consolidator) for the same day under the two conditions where the EMA is active in the code and where it is commented out. The peaks are shown to be around 800 and 400 respectively.
Can anyone explain to me the source of this difference?
Thanks for any insights!
15 minute consolidator trade bar volume when the EMA is included (top) and when it is commented out (bottom).
Yuri Lopukhov
I think because you have used consolidator in RegisterIndicator, it is calling consolidator callback twice, this probably sums plot values for same time point. Try replacing
with
Peter Hartvigsen
Thanks Yuri!
This explanation makes sense and it fixes my inconsistent volume across different consolidators.
Peter Hartvigsen
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