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Direct MessagesDate/Time: Fri, 10 May 2024 09:13:01 +0000
Market statistics on 2020-05-21
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| [2020-05-21 17:24:57] |
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We have had a few questions today about NISS-NYSE. The definition is below: NISS The difference between ADV and DECL. This is the symbol to use to get the Advance-Decline line. ADV The number of stocks that have traded during the current trading day and are up in price compared to their previous trading day close. Each stock only counts a value of one towards the statistic. DECL The number of stocks that have traded during the current trading day and are down in price compared to their previous trading day close. Each stock only counts a value of one towards the statistic. These calculations have a dependency upon the previous day's closing price. We checked a few NYSE issues today and the previous day's close is correct (GE, BAC, T). We also reset the connection on one of the market statistics calculation processes to the stock data feed to make sure it has the proper previous close prices. There should not be a problem with this to begin with. After resetting the connection there was simply no unusual change in NISS-NYSE. Meaning that was not the issue and it does not make technical sense why it would be the case anyway. So if there is a genuine problem, it is not clear at this time what it is, if there is a issue. We will do some more checking after the close today. And also the way the market statistics calculations work is very straightforward and consistent and reliable. There would have to be an issue with the input data and so far we observe no problem with the basic input data. 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: 2020-05-21 17:29:13
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| [2020-05-21 17:47:56] |
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We also want to mention that the S&P 500 is currently down. However, the three stocks mentioned above are all today *up* in price (GE, BAC, T). So once again this is further confirmation the currently calculated NISS is correct. Although as we said we will do some further checks. So if in the end, we find that the calculation is correct, and that still has to be validated, we need to go through all 3000+ NYSE stocks and count how many of them were up as compared to down, and we probably could do this with a scan, then we are proving the other market statistics providers are just simply wrong. But as we said we do need to validate this. But it would be interesting to find out if that is true. If that is the case, it further strengthens the validity of Sierra Chart market statistics. Here is a chart of BAC. Most of the day today it was up in price: http://www.sierrachart.com/image.php?Image=1590083443946.png 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: 2020-05-22 03:06:41
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| [2020-05-21 18:07:03] |
| Profile Trader - Posts: 168 |
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Thanks for checking on this. I am struggling to believe that we don't have an issue tho. I believe that the Internals of the market have something different today. TICK-NYSE UDVR-NYSE NVOL-NYSE NISS-NYSE NISS got to a low of +1000 in an S&P market that was down 40 points. this would require a few stocks to be drastically down vs the whole market. Other vendors were down into the -700 range. UDVR never got below 1:1 with a market down 40 points NVOL has been positive all day. with a market down 40 points... I know each vendor calculates things slightly different and I understand that. but we are way off today. having a Advance Decline reading of +1000 with a market 40 points below previous close is red flag..... Again thanks for your time and interest in this matter. I have added a photo from a different vendor to give insight as to the difference today. Not sure how closing price can be so different between vendors??? Doug Date Time Of Last Edit: 2020-05-21 18:20:20
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Attachment Deleted.  ADD_From_Different_Vendor.png / V - Attached On 2020-05-21 18:19:05 UTC - Size: 13.34 KB - 274 views |
| [2020-05-22 03:01:44] |
| Sierra_Chart Engineering - Posts: 14298 |
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For reference, the attached are the stocks we are going to scan and see how many issues are up and down and unchanged for trading day 2020-05-21. We will then compare this number to the final NISS-NYSE. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-05-22 03:01:56
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 NYSE_stocks_20200521.SymbolList - Attached On 2020-05-22 03:01:10 UTC - Size: 16.63 KB - 237 views |
| [2020-05-22 14:12:17] |
| Profile Trader - Posts: 168 |
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UPDATE: Todays data seems to be on par with other vendors today. No major differences. Also I was not able to open the file you posted. the EXT of the file is not a program extension??? Thanks, Doug |
| [2020-05-22 14:19:35] |
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The list of symbols is just a plain text file. We did look into the problem and, based upon our scan of over 3000+ NYSE stocks, 1498 of them were up for 2020-05-21 at the close of the day. We did not check for unchanged or down stocks. But based upon this, the NISS-NYSE was not correct. The calculation is very straightforward and simple and the only reason there could be a problem would be because some of the settlement prices for the prior day were not correct or slightly off. There is no indication there was a problem with that. The settlements could be slightly off just due to the fact that we use the very final trade of the day but the official settlement could vary. Also when an issue is trading at or very close, less than a penny, in relation to the settlement, the determination of whether it is up or down might not be precise due to floating-point error and we will improve that. In any case we have a few ideas of other things to implement related to the issue to ensure that we have an up-to-date settlement price. We also have the ability to use the official settlement and that is what we are going to start to do. 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: 2020-05-22 14:22:45
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