Date/Time: Thu, 28 Sep 2023 23:54:58 +0000
Questions Regarding the new Nasdaq Total View feed
View Count: 503
|ticinotrader - Posts: 352|
I have just created a new separate SC instance this weekend, that I want to use with the new NQTV feed and couple questions came up - may I ask you to advise/comment on them?
1. I am using the latest 2352 SC SP12 and prefer to use delayed data to test all functions first, data, including DOM, depth, MBO, so I am connected to the SC All Data datafeed, but Support for SC Data is disabled in my Data Trade Service settings, to not interfere with my realtime Denali datafeeds and to be able to update/refresh symbol settings without messing up my custom symbol settings in other instances.
Can you please confirm if this is correct? Especially that this setup allows to use depth/MBO data?
2. What is the start/end time of the historical Daily bars, when using the NQTV symbols, and what is the session start/end time to be used with intraday charts, to cover the entire (full) electronic session.
Based on 1min charts, I see data exists from 04:00 am NY/EST until 19:59:59pm NY/EST. Please confirm if that's correct and how it relates to the Historical Daily bars start/end time.
3. When using the above session/start times (4am - 8pm), the Daily equivalent, intraday data based bars (chart period: 1-0-0) have significantly different, smaller amounts of volume displayed for each bar (see the attached screenshot)
Also, the earlier bars show 'similar volume patterns' to the historical datafeed, but the most recent bars' (last 2-3 bars) volume is significantly different and does not match to the historical feed's volume data at all.
4. What amount of intraday and historical data is provided by this feed?
5. In some cases, when I try to display a symbol that is not listed in the NQTV symbol list, I get the following error message for the Historical chart:
'Download Failed - Error downloading Historical Daily Data for XYZ-NQTV. Error: invalid symbol.'
But in the meantime, I can download intraday data for the same symbol properly.
One example is IBKR-NQTV.
Can this be automatically fixed, without manually defining symbols?
6. When trying to adjust the symbol settings of individual tickers in the NQTV feed, with many symbols (probably the ones that are listed in the symbol selector list) the Symbol Settings shows the proper Historical Chart symbol (example: MCD-NQTV), but for other, non-listed symbols there are three asterisks (*) displayed. Example: HOG-NQTV shows ***-NQTV.
I am asking because I want to change symbol settings (like enable recording market depth data) and want to make sure, that my custom adjusted settings apply to the right symbol.
When checking the automatically created depth files, seemingly everything works fine (depth files are created for the proper symbols), but just wanted to let you know the ***-NQTV symbol format and know if that's intentional and OK to use.
Thank you for your advice in advance.
|Zptrader - Posts: 28|
My problem is similar, the time and sales window only shows data from the nasdaq exchange, therefore volume data is missing. I thought the depth of market data would be from nasdaq but the volume traded would be the total.
|frozentundra - Posts: 82|
Seeing similar here.
I believe answer to #5 is manual creation of Global Symbol record.
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