Support Board
Date/Time: Wed, 18 Jun 2025 11:35:18 +0000
Sierra Chart SPY Volume off by 30-50%
View Count: 1000
| [2022-07-30 11:15:44] |
| Techotomy - Posts: 104 |
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This is a follow up regarding the thread that was locked revealing unreliable volume data for the SPY in Sierra Charts (see SC Gives Different 1-Min volume for SPY than NYSE's Website). I believe it’s critical to the success of Sierra Chart customers to receive accurate and reliable data when making important financial decisions and am obligated as a fellow trader to continue this conversation in the hopes of improving the quality of Sierra Charts software and data feeds. I understand that Sierra Charts is planning to implement a new consolidated tape data feed that may provide correct reliable data for the SPY. Given that other major trading platforms with consolidated feeds also have volume reliability data issues and that the out-of-trade filter you are using cuts volume counts by 30-50%, I have reasons to doubt that a new feed will simply resolve the issue. I discussed receiving incorrect volume data while on the phone with one of your support members on 07/22/22. He did not have a valid license available to verify the volume count on his side at the time. The volume Sierra Charts showed me for the opening one-minute bar was 428K, 30% off compared to NYSEs volume count of 618K (see first attachment). The volume I received from Sierra Charts for the opening one-minute bar on 7/29/22 was 386K, 50% off compared to NYSEs volume count of 721K (see second attachment). The volume counts from NYSE agree with the volume counts provided by your own data source for this volume information, BarCharts, within 99%. Please note that Thailand time is being used for NYSEs website in the attachments. If your out-of-range filter is reducing volume counts by more than a few percent, I seriously urge you to reconsider the validity of your filter. Outliers in statistical data generally require their values to be more than 3 standard deviations away from the population mean such that 99.7% of the data should be retained. Even if you used a cutoff of 2 standard deviations, your volume count should not be less than 95% compared to NYSEs. Seeing 30% and 50% differences in volume counts leads me to seriously question the validity of financial data you are providing to Sierra Chart customers. “The volume is not going to change on a one minute bar…” The volume can change on a one-minute bar. I have reported and confirmed incorrect real-time volume count that have retroactively changed with due evidence across other major trading platforms, including eSignal and TradingView, who admitted they have an issue and have at least stated they are trying to fix it. Having a BS and MS in computer science, I have a sufficient technical background to say that a loss in the data feed should not lead to malformed volume information if proper data integrity and validation techniques are in place (e.g., data parity and checksums). The checksums in the TCP packets alone should ensure that any incidence of malformed data is rare. “Unless we know exactly every single detail related to this and have the access to the direct information, we cannot trust what we are being told.” You locked the thread preventing me from providing further information. Are you saying that it is impossible for me to provide sufficient evidence? If you need direct information, you can simply verify the volume information I have provided today on your side. |
 SC_WrongSpyVolume.JPG / V - Attached On 2022-07-30 11:15:00 UTC - Size: 456.43 KB - 145 views SC_WrongSPYVolume2.png / V - Attached On 2022-07-30 11:15:14 UTC - Size: 349 KB - 116 views |
| [2022-07-30 20:08:29] |
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Yes: Are you saying that it is impossible for me to provide sufficient evidence? We would have to observe this ourselves in real time. We just simply will watch the 9:30 AM US Eastern time bar form for SPY and then re-download the historical data for that minute. We would not expect any change. Given that other major trading platforms with consolidated feeds also have volume reliability data issues and that the out-of-trade filter you are using cuts volume counts by 30-50%, I have reasons to doubt that a new feed will simply resolve the issue. Your doubt is incorrect. There is a world of difference between what we use now and the direct CTA and UTP feeds.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-07-30 20:09:51
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| [2022-07-31 08:00:05] |
| Techotomy - Posts: 104 |
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Do you not see a 30% difference for 7/22/22 and a 50% difference for 7/29/22 in the one-minute SPY volume you are providing compared to NYSE on your side? Given that BarChart is your data source for this volume, and BarChart agrees with NYSE, I fail to understand how a new data source will resolve the discrepancy.
Date Time Of Last Edit: 2022-07-31 08:02:03
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| [2022-08-01 14:13:57] |
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First we did watch the 9:30 AM one minute bar, this morning and there are no volume differences, when re-downloading the data. The real-time collected data matches 100% compared to the historical data. This is exactly what we would expect. The possibility of there being a problem with this, is extremely minimal and only for the one reason we gave above. For trade date 2022-07-29 this is the volume for SPY that we see from 9:30:00 to 15:59:59 US Eastern time: 53,901,000 (Based upon Barchart 1 minute Intraday data) 52,142,000 (Based upon Sierra Chart US equities data using Barchart Open Feed with filtering based upon CTA and UTP recommendations with several exceptions to increase volume that were implemented years ago, and a secondary filter using a Barchart filter flag) This is a difference of 3.2%. Also SPY is a part of AMEX/NYSE Market. Not NYSE. Also understand that odd lot trades are not included. Every time we have tried to include odd lot trades, we have created major trouble for ourselves and created lot of out of range prices and it was always a mess. We are not going to mess with that again. Odd lot trades are visible though in the volume number you see in Window >>Current Quote Window. That is an unfiltered volume value unless industry specifications have indicated not to include trade volume for a particular trade. We can try disabling, tomorrow the filtering based upon Barchart filtering and see how much difference it makes. But we are quite confident in the filtering rules we have now. They have been worked on over a period of many years and we are not going to mess with them. You definitely are not going to see a 30 to 50% increase. Not going to happen at all. Although we will see if removing the Barchart filter makes any difference. It will be done just on one server only. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-08-01 14:24:28
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| [2022-08-01 20:42:52] |
| Techotomy - Posts: 104 |
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The 30 and 50% differences from the screenshots I provided concern the "opening one-minute bar". You are comparing the volume for the day (9:30:00 to 15:59:59 US Eastern time), not the opening one-minute bar (9:30:00 to 9:31:00 US Eastern time). What volumes do you see for the opening one-minute bar for 7/22/22 and 7/29/22? I see ARCX as the exchange for the SPY from NYSE's website, not AMEX (also in URL). Date Time Of Last Edit: 2022-08-02 07:23:06
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| [2022-08-04 09:26:08] |
| Techotomy - Posts: 104 |
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It should go without saying that you cannot accurately trade the open if you have inaccurate financial data for the open. Either you are seeing the same incorrect opening volume I am seeing and should fix the issue on your side since it significantly differs from both NYSE (https://www.nyse.com/quote/ARCX:SPY) and your own data source (https://www.barchart.com/etfs-funds/quotes/SPY/overview), or you are seeing different volume than I am seeing and should help me fix the issue on my client's side. If you need other examples of misreported one-minute volume bars to narrow down the problem, there are plenty instances I can provide since the issue is fairly consistent and ubiquitous.
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| [2022-08-04 12:41:45] |
| Sierra_Chart Engineering - Posts: 19946 |
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We still have not had a chance to check on this yet. We are aware that it is lower than Barchart, and we do not know what particular trade types account for the difference. As we said before, our development efforts are on the new feed, not this one. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-08-04 19:03:23] |
| Techotomy - Posts: 104 |
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Ok great. I look forward to the fix being integrated into the new data feed even though the issue doesn't derive from the current data source.
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