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Date/Time: Mon, 17 Jun 2024 08:13:21 +0000



Intraday consolidated tape volume for stocks

View Count: 342

[2024-05-10 14:10:51]
BillsSBC - Posts: 34
Hello, I'm trying to create volume profiles over extended periods (5+ years) on stocks using the consolidated tape data feed. To save space, I've set my intraday storage unit to 1-minute.

However, the volume reported is inconsistent through time and flips between what appears to be reasonable volumes to very large volumes (possibly a factor of 100,000x). Can you comment on what the issue may be and/or how to correct this? I can provide further details as needed.
[2024-05-10 15:27:36]
John - SC Support - Posts: 32379
The Intraday Data Storage Time Unit will not have any impact on the reported volumes. The volume will be the same, as the data is aggregated to the 1 minute interval, so that 1 minute will have the total volume of all trades during that time period.

We really need to see an image of what you are seeing, as there simply should not be an issue with this. Follow these instructions to get us an image of what you are seeing:
Support Board Posting Information: Attaching or Posting a Screenshot/Image (Optional)
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2024-05-10 19:34:35]
BillsSBC - Posts: 34
Please see attached. You'll notice the upper portion of the volume profile appears to be missing but it's because of the unusually large volume numbers that dominate the volume below.

https://www.sierrachart.com/image.php?Image=1715369584161.png
Private File
Attachment Deleted.
[2024-05-11 18:16:21]
John - SC Support - Posts: 32379
We exported the data for the same time period you show and for the dates of 7/5 through 7/8 we have different values. But the rest of the numbers match exactly. We are not sure why your data seems to be "corrupted" for those numbers. See the attached image which has the volume with the yellow highlight around it.

With that chart active, please select "Edit >> Delete All Data and Download" and then see if the volume numbers from those dates match up to what we show.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Attachment Deleted.
imageXOM-BarData.png / V - Attached On 2024-05-11 18:16:17 UTC - Size: 152.18 KB - 37 views
[2024-05-11 23:06:53]
BillsSBC - Posts: 34
With that chart active, please select "Edit >> Delete All Data and Download"

Done. I ran this step roughly 8 times while checking the 7/8 to 7/11 values:
- 1 run the numbers from 7/8 and older were different (still large) but did not match yours.
- 1 run the numbers were smaller and closer to the 7/11 values back until May 2022 when they get large again.
- All others matched what I originally posted.

I also believe the values you posted are incorrect from 7/8 and older just like mine but different values. The volumes we believe to be correct (7/11 and newer) are less than 1% of the values 7/8 and older.

I tried changing ETH/RTH hours and varying the bar period but the data still shows odd behavior.
[2024-05-13 15:21:16]
John - SC Support - Posts: 32379
With that chart active, select "Edit >> Export Intraday Data to Text File" and then attach that file to this thread. This is the actual data that is stored on your system for that symbol. Refer to the following for how to attach a file:
https://www.sierrachart.com/index.php?page=PostingInformation.php#AttachFile
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2024-05-14 02:05:29]
BillsSBC - Posts: 34
Attached, I ran this twice using "Delete All Data and Download" and received two different results.
attachmentXOM_1.txt - Attached On 2024-05-14 02:04:38 UTC - Size: 48.62 MB - 61 views
attachmentXOM_2.txt - Attached On 2024-05-14 02:04:48 UTC - Size: 48.72 MB - 57 views
[2024-05-15 16:40:06]
Sierra_Chart Engineering - Posts: 14944
We need a few days to review this.
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
[2024-05-17 21:59:00]
Sierra_Chart Engineering - Posts: 14944
We have looked into this, and we do observe high volumes that should not be present in the Intraday data.

We know why that has occurred and the underlying problem was resolved about over a month ago. But we have to go back and adjust prior data.

We will also check for any volume inconsistencies as well and resolve those.
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
[2024-05-23 16:48:17]
BillsSBC - Posts: 34
Hello, I wanted to follow up on this. . .should we expect an update on the forum here when this has been fixed and/or do you have an approximate ETA? Thank you!
[2024-05-23 19:40:10]
Sierra_Chart Engineering - Posts: 14944
This is going to take time. It is actually quite involved. We are not going to remember to make a posting here. We are going to work on it as soon as possible, but it is quite involved. Allow about two weeks. There is always the potential it can take longer.
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
[2024-05-30 02:26:42]
Sierra_Chart Engineering - Posts: 14944
We expect to get the data corrected over this coming weekend.
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
[2024-06-03 00:40:54]
Sierra_Chart Engineering - Posts: 14944
We have corrected CTA data and it is all now consistent across servers. This is referring to NYSE and AMEX exchanges. We are starting NASDAQ but we do not expect to complete it fully before Monday morning.
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

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