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Date/Time: Thu, 25 Apr 2024 05:55:50 +0000

Post From: After hours volume is incorrect and incomplete for US stocks

[2018-12-07 02:07:06] Link To Thread - Link To Post [Go To First Post]
User987654 - Posts: 65
Thank you for taking a look. Just for your reference, I looked a bit closer at the data and it appears the volume is always off on the 1st and sometimes 2nd bar after the actual market close. It's not by a trivial amount, sometimes it over by several hundred thousand shares when there should only be a few hundred shares traded at the specified time (according to NASDAQ data). After the fist couple of bars, it seems to settle down and be more or less accurate, it might be missing a trade or two but not enough to throw calculations off wildly. I wonder if the first couple of bars after the close are so out of whack because when the market closes, barcharts or IQfeed (who I have used before) consolidates and compares their (aggregate) data against an official feed and any discrepancy in volume - for the whole day - is then simply added to the 1st bar right after the close. I have not come across a case where the price is wrong, just always the volume. Anyways, thanks for taking a look, I will manipulate the data myself to work around this.