Custom bar consolidated moving average of volume

Hi Ron,

Your code seems to be calculating the Simple Moving Average (SMA) of the total volume of the last 20 bars, not the SMA of the volume of each bar.

To calculate the SMA of the volume for each 15-minute bar, you should update the SMA with the volume of each bar, not the total volume of the last 20 bars. Here's how you can do it:

def OnDataConsolidated(self, sender, bar):
    # Add the consolidated bar to the rolling window
    self.history.Add(bar)

    # Check if the rolling window is ready
    if self.history.IsReady:
        # Update the SMA with the volume of the current bar
        self.volumeSMA.Update(bar.EndTime, bar.Volume)

        # Log the current SMA value
        self.Log(f"Current Volume SMA: {self.volumeSMA.Current.Value}")

This way, the SMA will be calculated using the volume of each 15-minute bar, which should match what's shown on other platforms like TradingView.

Please note that the data you get from QuantConnect might be slightly different from what you see on other platforms due to differences in data sources and processing. If you notice any significant discrepancies, you can report them at https://www.quantconnect.com/data/issues/create.

I hope this helps! Let me know if you have any other questions.

Sources:

• Discussion 9959
• Discussion 14106

Thanks Mia, but still wrong, the SMA volume with your code is about 10x more than what's shown on Tradingview

Hi Ron,

I see, it seems like there might be a discrepancy between the data you're getting from QuantConnect and the data on TradingView. This could be due to a number of reasons:

1. Data Source Differences: Different platforms may use different data sources, which can lead to discrepancies in the data. QuantConnect uses its own data, which may be different from the data used by TradingView.

2. Data Processing Differences: Different platforms may process and adjust the data differently. For example, some platforms adjust the data for splits and dividends, while others do not. This can also lead to discrepancies in the data.

3. Indicator Calculation Differences: Different platforms may calculate indicators differently. For example, some platforms may use a different type of moving average in their calculations.

If you're confident that the settings and data are identical on both platforms, then it might be worth checking the following:

1. Indicator Warm-up: In your code, you're setting a warm-up period of 100 bars. This means that the first 100 bars of data are used to warm up the indicator, and the indicator values might not be accurate during this period. If you're comparing the SMA values during the warm-up period, this could explain the discrepancy.

2. Data Consolidation: You're using a 15-minute consolidator in your code. Make sure that you're comparing the SMA values with the 15-minute data on TradingView.

If you've checked all these factors and the discrepancy still exists, it might be worth reaching out to the QuantConnect community or support for further assistance.

Sources:

• Discussion 15752
• Discussion 501
• Discussion 15967
• Discussion 14796
• Discussion 12877
• Discussion 15996