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Date/Time: Sun, 05 May 2024 09:50:11 +0000

Post From: Question about Nasdaq totalview

[2022-04-19 13:25:52] Link To Thread - Link To Post [Go To First Post]
User430672 - Posts: 15
The NASDAQ TotalView, data feed delivers higher highs and lower lows as compared to a full consolidated tape US stock data feed. Usually the highs and lows per bar are the same. However, at times it has a wider range of values. So the bars are more comprehensive of price action. How is it possible that a feed with an estimated 16% of volume (see above) can have higher highs and lower lows than a consolidated feed which includes 100% of volume? Regarding NTV, it will not work for my purposes since it does not reflect all price and volume action, and adding a field for accurate cumulative daily volume and distributing that volume through out the intra-day bars will not help. I wish I had know it was not a consolidated feed before switching and more importantly doing quite a bit of work with it in less liquid issues. Date Time Of Last Edit: 2022-04-19 13:27:12