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Direct MessagesDate/Time: Mon, 29 Apr 2024 08:42:41 +0000
Chart header's daily volume is different from what is stated by the broker's level 2
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| [2020-05-04 17:48:21] |
| User742917 - Posts: 5 |
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Good evening, I have noticed that the daily volume displayed in the chart header can be quite different from what is shown on the level 2 window provided by the broker's software (even by millions of shares). e.g. as of now: AAPL: SC displayed header volume 17309173, broker 20969474 UBER: SC 13877472, broker 15251994 APDN: SC 23436179, broker 28736474 this behavior is consistent with different days and tickers, I use SC data feed and broker is tradezero. In the chart settings the "session times" cover all the 24h between day and evening session (even tho in my tests didn't seem to make a difference). Perhaps am I missing something or this behavior is to be expected when using different platforms? thank you for taking the time. |
| [2020-05-04 20:18:30] |
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Disregard our prior post. Our conclusion might not have been correct. The problem could be because the volume you see is just what is on the primary exchange and not any other secondary exchanges.
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: 2020-05-04 20:18:46
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| [2020-05-05 06:20:33] |
| User742917 - Posts: 5 |
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Thank you for the quick answer, do you think it might affect how studies based on volume behave, e.g. volume weighted MA, bid ask volumes difference, volume bars stacked by tick etc.? If it might be a problem, is there a chance you're going to include secondary exchanges as well? My concern is about studies' reliability. |
| [2020-05-05 07:55:27] |
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do you think it might affect how studies based on volume behave, e.g. volume weighted MA, bid ask volumes difference, volume bars stacked by tick etc.? No definitely not at all. The study calculations are all good still. The underlying tick by tick data feed is good. Keep in mind the differences may have to do with secondary exchanges, and trades which are not supposed to be charted according to standardized industry rules.We have asked our data provider about the daily volume value and we are still waiting to hear back from them. 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: 2020-05-05 07:55:40
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| [2020-06-12 08:44:39] |
| User742917 - Posts: 5 |
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Good morning, did you have any feedback? Running some tests seems like not having secondary exchanges on data feed doesn't invalidate studies at all (as you said). The downside seems to be a little "lag" compared to broker's provided feed on their platform not due to internet speed (both platforms running on same machine), I'm speculating simply because some trades are not processed since executed outside main exchange. For comparison I tried Lightspeed, Tradezero, and a SC window without studies (thus excluding drawing time). This might really kick SC up a notch for day trading purposes. I could still be mistaken, thanks again. |
| [2020-06-12 18:24:45] |
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We have asked our data provider Barchart about this and we have prepared this documentation: Sierra Chart Exchange Data Feed: Daily Volume and Session Open, High, Low Values If there are any data lagging issues, then refer to: Prices / Data Falling Behind 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 |
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