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Question about Nasdaq totalview

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[2022-02-22 14:18:53] #1 [Go To First Post]
BenjFlame - Posts: 305
Hello, on this thread: How to Use New NASDAQ Total View Data Feed you said : We are going to be adding a new full consolidated tape data feed for US equities data. This will provide the full volume data. It is our intention to combine that data with the market depth data and market by order data from the NASDAQ TotalView data feed, into a single data feed. Is this accomplished? What's the status of the nasdaq totalview feed?

[2022-02-22 17:15:15] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
No, and there was some misunderstandings about what NASDAQ was offering relating to the consolidated tape volume. So we do not know when this will be done. Status of the NASDAQ TotalView data feed, is that it is operational and working correctly and delivering the volume as provided by NASDAQ. 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: 2022-02-22 18:29:41

[2022-02-22 18:15:03] #3 [Go To First Post]
BenjFlame - Posts: 305
is it still superior to what we get from old barchart feed: - in response time (ping) - number of trades reported ?

[2022-02-27 10:42:12] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Is what superior to?: we get from old barchart feed: Definitely the new NASDAQ TotalView data feed is a lower latency data feed but does have a lower number of trades and volume. 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: 2022-02-27 10:47:25

[2022-02-27 11:19:23] #5 [Go To First Post]
Пользователь488020 - Posts: 81
Definitely the new NASDAQ TotalView data feed is a lower latency data feed but does have a lower number of trades and volume. Need the right volume!

[2022-02-27 11:21:47] #6 [Go To First Post]
Zptrader - Posts: 28
the latency is the best I have seen, it is much faster than dastrader. If they manage to complete that shows the total volume of the market, it would be the best combination of the market. please get it.

[2022-02-27 11:56:52] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We are looking to find a source for the full consolidated tape. 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

[2022-02-27 13:15:34] #8 [Go To First Post]
1+1=10 - Posts: 270
SC Engineering, The polygon.io enterprise consolidated feed -- with all US exchanges -- has < 1 millisecond latency: https://polygon.io/enterprise. (If you want to test out the feed, you could always subscribe at the non-enterprise rate: https://polygon.io/stocks#stocks-product-cards) dxFeed is another option: https://dxfeed.com/market-data/equities-etfs/ I actually don't use equity data myself within SC so I'm not trying to be pushy, but figured I'd add some options I came across in previous unrelated research.

[2022-02-27 13:32:45] #9 [Go To First Post]
BenjFlame - Posts: 305
Polygon data has low latency, I can confirm. They don't provide market depth data for stocks, but indeed could be a solution for trades and volume.

[2022-02-27 15:20:05] #10 [Go To First Post]
1+1=10 - Posts: 270
They don't provide market depth data for stocks, but indeed could be a solution for trades and volume. Yes, the lack of market depth is an important caveat for Polygon. To add a bit of context, it should be understood that before the SEC passed Regulation NMS in 2005, an equity, say AAPL, could only be traded on its listed exchange, Nasdaq. However, since 2005 AAPL (and all other equities) trade separately at different exchanges simultaneously —- there’s over a dozen different exchanges/alternative trading systems. And every exchange has a different market depth for AAPL, with different trades occurring. To maintain order, all the separate exchanges send their trades and their best bid/ask depth levels occurring on AAPL to two separate Securities Information Processors (SIPs). The SIPs provide separate consolidated data feeds to market participants so everyone is aware of how much volume is occurring on AAPL across all exchanges and on which exchange APPL can be purchased/sold for the most favorable price. To learn more about this process I recommend: https://alpaca.markets/learn/understanding-stock-market-data/ The Nasdaq Totalview feed provides trades and market depth for AAPL occurring on only that exchange. The good news is that if you can have data for only one exchange this is the best one. In 2020 it provided 16% of trade volume, which was the most. (NYSE was 2nd at 10%). Also, it was the exchange whose best bid/ask was most likely to be the National best bid/ask across all exchanges meaning its market depth data is the most relevant — stats here: https://www.cboe.com/insights/posts/an-in-depth-view-into-us-equity-markets/ Date Time Of Last Edit: 2022-02-27 15:59:33

[2022-02-27 16:43:12] #11 [Go To First Post]
BenjFlame - Posts: 305
Thank you for the information. From what I read, consolidated = more latency. When you plot an intraday candle chart from the Nasdaq totalview feed, is it any different (OHLC values) than from a standard feed, such as broker supplied, iqfeed, barchart....? Date Time Of Last Edit: 2022-02-27 16:46:14

[2022-02-27 17:00:06] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
When you plot an intraday candle chart from the Nasdaq totalview feed, is it any different (OHLC values) than from a standard feed, such as broker supplied, iqfeed, barchart....? This is a good question. The NASDAQ TotalView, data feed delivers higher highs and lower lows as compared to a full consolidated tape US stock data feed. Usually the highs and lows per bar are the same. However, at times it has a wider range of values. So the bars are more comprehensive of price action. And there is another important thing to understand, with the NASDAQ TotalView data feed the Bid Volume and Ask volume are 100% precise. On a consolidated tape feed like what is provided with the Sierra Chart Exchange Data Feed or IQ Feed, it is not 100% precise. It is just an estimation, and sometimes can be completely wrong. So this is why users should see the value of the NASDAQ TotalView data feed and do not just think it is inferior feed because the volumes are lower as compared to a consolidated tape feed. The NASDAQ TotalView data feed offered by Sierra Chart is a very good data feed. 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: 2022-02-27 17:01:06

[2022-02-27 17:21:14] #13 [Go To First Post]
1+1=10 - Posts: 270
When you plot an intraday candle chart from the Nasdaq totalview feed, is it any different (OHLC values) than from a standard feed, such as broker supplied, iqfeed, barchart....? Good question, indeed. Interactive brokers actually provides the ability to chart both the consolidated data feed using symbols with the format AAPL-STK-SMART-USD and also the exchange-specific feeds such as AAPL-STK-NASDAQ-USD, AAPL-STK-NYSE-USD, APPL-STK-IEX-USD, and so on. (You can also chose to trade AAPL specifically on a certain exchange by using such a symbol but most use IB's SMART routing which lets IB chose the exchange for you which is what happens with AAPL-STK-SMART-USD). If you check you'll see the prices of all these charts will be very close within cents. They have to be because all the exchanges are competing to be the exchange that the next trade happens on. As for the volume, in statistics there is the concept of a representative sample; the key question is this: Are the NASDAQ only volumes for equities highly correlated to the consolidated volumes? I suspect the answer is that they absolutely are; I also suspect the NASDAQ market depth is highly correlated to consolidated market depth. (Consolidated market depth is prohibitively expensive I'd imagine -- it is not sent to the SIPs so you'd have to subscribe to every single one of the dozen plus exchanges / alternative trading venues separately to get consolidated market depth.) From what I read, consolidated = more latency. Yes, it takes time for the data to travel to the SIP from all the exchanges, be combined and then get sent back to the different data destinations. HFT firms tend to separately subscribe to each exchange they want to trade on for this reason. Date Time Of Last Edit: 2022-02-27 18:21:56

[2022-02-27 19:23:43] #14 [Go To First Post]
1+1=10 - Posts: 270
There’s something else worth noting. SC charging only $16 month for the Nasdaq TotalView Market Depth feed is a great value compared to many of its competitors: ——————- MedvedTrader charges $69/mo: https://get.dxfeed.com/orders/new/medvedtrader ATASTrader charges $69/mo: https://get.dxfeed.com/orders/new/atas Quantower charges $69/mo: https://get.dxfeed.com/orders/new/quantower EasyScalp charges $199/mo: https://get.dxfeed.com/orders/new/easyscalp MotiveWave charges $69/mo: https://get.dxfeed.com/orders/new/motivewave Volumetric Trading charges $69/mo: https://get.dxfeed.com/orders/new/volumetricatrading Bookmark charges $69/mo: https://bookmap.com/members/signup/BMDXF?product_id_page-0%5B%5D=101-101 ————————- Again, the above prices do not include the consolidated feed. Some of those trading platforms also have monthly prices for consolidated feeds in their platforms, which are mostly at $49/m. So to get a Consolidated + MarketDepth on this sample of platforms you’re looking at $69/m + $49/m == $118/m

[2022-02-28 00:01:48] #15 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes we are providing a very good value and we are aware of that. Please help spread information around about this fact. 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

[2022-03-11 09:50:57] #16 [Go To First Post]
BenjFlame - Posts: 305
Ok I tested the -NQTV feed, and here is my feedback: Feed is fast, being able to use all the tools on stocks depth just as I can on futures is like magic. However, I indeed DO have a problem with volume transmitted and how charts are painted. On highly active stocks such as Apple it might not be a problem, but on a small-cap stocks in pre-market which I'm usually trading, there are too many holes in the chart to the point of being redhibitory. So if we could use one feed for the charts, and another for the depth, or have a fully consolidated feed for the charts but have totalview for the depth would be the best of both worlds.

[2022-03-11 12:30:13] #17 [Go To First Post]
1+1=10 - Posts: 270
Hi BenjFlame, SC Engineering has a new post in one of their Sticky threads, "How To Use New NASDAQ Total View Data Feed". They actually can get the consolidated volume from the NASDAQ feed. See details here: How to Use New NASDAQ Total View Data Feed \| Post: 297588 Date Time Of Last Edit: 2022-03-11 12:30:33

[2022-03-11 16:34:18] #18 [Go To First Post]
BenjFlame - Posts: 305
Hi 1+1=10, I read that but assumed it would be to display only the total daily volume in a quote board. Do I miss the point? Can it be used for charting purposes?

[2022-03-11 17:17:40] #19 [Go To First Post]
1+1=10 - Posts: 270
It doesn’t seem like SC has truly decided but I believe the last sentence of the last paragraph is talking about chart volume: What we are thinking of doing with this upcoming data feed we plan to offer is giving users an option with this data feed to insert trades for the missing volume based upon this total volume field. This volume would use the last trade price. And not allocate volume to either bid volume or ask volume. So at least in the case of a chart, you are going to see complete Volume in the volume graph.

[2022-03-13 15:45:27] #20 [Go To First Post]
User232165 - Posts: 25
I´m a little bit confused. Would be the "old" Sierra Chart Realtime Exchange Data Feed deliverd by Barchart the better choice for day trading stocks? This data feed was consolidated. But is this datafeed still available for NASDAQ, NYSE and Amex or was it replaced by DENALI + NASDAQ Total View?

[2022-03-14 17:00:55] #21 [Go To First Post]
BenjFlame - Posts: 305
User232165, From this page: Sierra Chart Exchange Data Feed Notice 2022-02-28: At this time the Denali Exchange Data Feeds has replaced the Sierra Chart Exchange Data Feed. The Denali Exchange Data Feed provides market data from the following exchanges: CME, CBOT, NYMEX, COMEX, EUREX, CBOE Futures, NASDAQ (includes data from NASDAQ, NYSE and AMEX). The Sierra Chart Exchange Data Feed remains for those users who want to get data from the Hong Kong Futures Exchange or US cash indices. and this page: Denali Exchange Data Feed: Supported Exchanges (Exchange Fees) NASDAQ US stock data It seems only the nasdaq feed is available, so no more barchart feed.Confirmation from Sierra people would be welcome. Date Time Of Last Edit: 2022-03-14 17:02:43

[2022-03-15 23:18:37] #22 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes, we are only offering the NASDAQ data feed for new users requiring real-time US stock data. The US Equities exchange through the Sierra Chart Exchange Data Feed can be used by existing users. Although actually the US Equities exchange can still be activated on the Sierra Chart Exchange Data Feed even if you do not already have it active. However, this is expected to change soon. 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: 2022-03-15 23:21:51

[2022-04-19 13:25:52] #23 [Go To First Post]
User430672 - Posts: 15
The NASDAQ TotalView, data feed delivers higher highs and lower lows as compared to a full consolidated tape US stock data feed. Usually the highs and lows per bar are the same. However, at times it has a wider range of values. So the bars are more comprehensive of price action. How is it possible that a feed with an estimated 16% of volume (see above) can have higher highs and lower lows than a consolidated feed which includes 100% of volume? Regarding NTV, it will not work for my purposes since it does not reflect all price and volume action, and adding a field for accurate cumulative daily volume and distributing that volume through out the intra-day bars will not help. I wish I had know it was not a consolidated feed before switching and more importantly doing quite a bit of work with it in less liquid issues. Date Time Of Last Edit: 2022-04-19 13:27:12

[2022-04-19 13:28:10] #24 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is a good question for NASDAQ to answer: How is it possible that a feed with an estimated 16% of volume (see above) can have higher highs and lower lows than a consolidated feed which includes 100% of volume? We do not know the answer to this. We will be offering the full consolidated tape trades, quotes and volume through the Denali Data Feed as soon as possible. This is already available now through the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed You can still activate the US Equities exchange with that data feed. 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: 2022-04-19 13:29:06

[2022-04-19 14:06:07] #25 [Go To First Post]
User430672 - Posts: 15
We will be offering the full consolidated tape trades, quotes and volume through the Denali Data Feed as soon as possible. This is already available now through the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed You can still activate the US Equities exchange with that data feed. Thanks - I did not realize we could still use SCEDF. I am currently on a six month plan for SC plus Denali: if I switch to SCEDF would the remaining time be automatically pro-rated and credited towards the new service?

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