I use the value of "VolumeTradedToday" for my algorithm (which requires volume weighted price). I simply subtract the "VolumeTradedToday" of the previous tick from value in the current tick to get the volume traded in the current tick along with the price. The issue is that while the price is updated with every tick, the value of "VolumeTradedToday" mostly is not updated every tick. It is usually updated after a few ticks. This obviously creates complications in the algorithm. My queries are... 1. Why is the "VolumeTradedToday" not updated with every tick? Is there any way to ensure that it is updated with every tick? 2. When the value of "VolumeTradedToday" is updated after say four or five ticks, is it fair to assume that the difference in volume between updated value of the current tick and the last updated value four-five ticks ago constitutes the volume traded in those last four-five ticks when the "VolumeTradedToday" hadn't been updated? Or can that difference value also include slippages from the past which hadn't been updated previously? 3. Is there any better algorithm to get the volume traded in every tick?