Date/Time: Tue, 06 Dec 2022 07:07:43 +0000
Post From: How to Use New NASDAQ Total View Data Feed
Sierra Chart Engineering - Posts: 104293
We want to put out some additional information regarding this:
We are going to be adding a new full consolidated tape data feed for US equities data. This will provide the full volume data.
It is our intention to combine that data with the market depth data and market by order data from the NASDAQ TotalView data feed, into a single data feed.
We have been responding to some users regarding this, and saying that there was a misunderstanding about exactly what NASDAQ can provide us, and whether they can provide us the full consolidated tape feed. And that we would not be able to accomplish, what we have said above based upon what NASDAQ is offering after we had done some further research.
What NASDAQ can provide us, is a data feed, where at every trade, the full consolidated tape (A, B, C) total daily volume to that point in time is provided in a separate field. So that will give you an accurate volume number in the Window >> Current Quote Window for the daily volume.
What we are thinking of doing with this upcoming data feed we plan to offer is giving users an option with this data feed to insert trades for the missing volume based upon this total volume field. This volume would use the last trade price. And not allocate volume to either bid volume or ask volume. So at least in the case of a chart, you are going to see complete Volume in the volume graph.
Sierra Chart Support - Engineering Level
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Date Time Of Last Edit: 2022-02-28 19:53:30