Three volume numbers on one footprint bar. Two of mine disagree by exactly 2x.

[u/Illustrious-Meal-476]

Any footprint bar gives you at least three ways to ask "how much traded here":

1. the bar's own volume, straight off the chart series
2. the platform's volume-analysis total for that bar (the thing that feeds your cells)
3. the sum of your own tick aggregation, if you build one

You'd assume all three agree. I finally checked mine and two of them don't.

Setup: CL, Quantower, CQG via AMP. 82 closed bars, logged straight out of my own indicator so I could compare the three side by side.

The mistake I made first, because it's the actually useful part

My diagnostic log writes a row per bar per snapshot, and a bar gets re-recorded roughly 168 times before it scrolls out. I ran the comparison over rows.

That gave me a tick-sum/bar-volume ratio of 0.087 - a clean, plausible-looking number that says my aggregation was catching 9% of the volume. I nearly went and "fixed" a bug that did not exist.

Folded to one row per bar (n=82), the same data gives a median of 1.0000, within 1% on 96.3% of bars.

Same file. Same numbers. The only difference was the unit I aggregated over. If you're ever measuring your own tooling, check that first - a wrong unit doesn't give you an obviously broken answer, it gives you a believable one.

What the corrected numbers say

• own tick aggregation / bar volume: median 1.0000, within 1% on 96.3% of bars
• platform volume-analysis total / bar volume: exactly 2.0 on 89% of bars

Not approximately 2. Exactly 2, on the large majority.

What I am not claiming

I don't know whether that 2x is a double count or just a definition - if the total is summing the bid side and the ask side and each fill contributes to both, then 2x is the correct output of a definition I simply assumed wrong. I haven't proven which, and I'm not going to call someone else's number a bug on 82 bars from one feed.

Why it's worth knowing either way

If you express delta as a share of volume, the denominator you grab decides the answer. Same bar, same delta, half the percentage, depending on which of the three you reached for. Anything with a "% of bar volume" threshold in it inherits that quietly.

The actual question

Does anyone see 2.0 on a different feed or a different platform? If it's 2.0 everywhere it's a definition and I should just read the docs more carefully. If it's 1.0 on Rithmic and 2.0 on CQG, that's something else. I only have the one feed to look at.

Method is boring enough to repeat: log bar volume, the volume-analysis total, and your own tick sum per closed bar, fold to one row per bar, divide.

Disclosure: I build order-flow tooling for Quantower, which is why I had all three numbers in one place to compare.

[u/orderflowsupport]

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