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Direct MessagesDate/Time: Thu, 25 Apr 2024 19:28:00 +0000
After hours volume is incorrect and incomplete for US stocks
View Count: 1277
| [2018-12-05 18:07:27] |
| User987654 - Posts: 65 |
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Hi, I am loading historical intraday data for US stocks (eg. MMM) and the after hours volume and trades do not correspond with the information I can see from (https://www.nasdaq.com/symbol/mmm/after-hours). When I set the chart to 1 second and look at the bars, some of the volumes are off by quite alot and some trades are missing. I have tried several different US stocks and am receiving the same results. Am I doing something wrong or is the after hours data from BarCharts unreliable? If so, will I be able to get more accurate (consolidated) data if I sign up for the Exchange Data feeds, since I assume that information is provided directly by the exchanges. Date Time Of Last Edit: 2018-12-05 18:14:05
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| [2018-12-06 00:58:56] |
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We will look into this and do a comparison to another data feed we have access to but we would expect the most likely explanation is that it has to do with filtering of certain types of trades that can cause out of range prices in a chart. Also it is not going to help to use the Sierra Chart Exchange Data Feed, the data will be the same. 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 |
| [2018-12-06 10:49:23] |
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We did look into this and we compared to IQ Feed, and the volume is the same between that service and the data provided by the Sierra Chart Historical Data service and the Sierra Chart Exchange Data Feed. So we do not see how you are going to get any better proper result. The data that we are providing is fine. 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 |
| [2018-12-07 02:07:06] |
| User987654 - Posts: 65 |
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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. |
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