Support Board
Date/Time: Wed, 18 Jun 2025 12:34:57 +0000
Post From: Sierra Chart SPY Volume off by 30-50%
| [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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