Hi, i'm just running through the minute trades on a few options - virtually all the data is coming through fine but the data seems to be slightly off..
For example, RIMM 115 April Calls ( RUL DU ) shows 8202 as the total volume for friday..

If i run through every minute in the data and add up the period volume i end up with 7869

Am i missing something?

thanks
Si

You will almost never be able to add up the incremental volumes on minute data (nor tick data) and have it equal to the cumulative volume throughout the day. This is because the exchange occasionally will send a volume correction message that adjusts cumulative volume but does translate to a trade and as such, it does not show up in historical data.

With this in mind, what is the most accurate way to calculate metrics such as VWAP which depend on price and volume? Based on the incremental volume for which we have an actual price, or by attempting to extrapolate an estimated price for the missing cumulative volume?

It seems that method 1 underestimates volume and method 2 has inaccurate price, but both methods are less than perfect. I wonder what is the "normal" way?

I have observed Ninja Trader, for instance, attempts to account for the missing volume by assigning the current tick price to the difference in cumulative volumes. This seems to be method 2 but with a poor estimation algorithm.

Is there a better methodology?

This is basicly going to be a "personal preference" decision.

I can tell you that IQFeed currently calculates VWAP "on-the-fly" using the following calculation:

new VWAP = ((previous VWAP * PrevTotal Volume) + (Last Price * Incremental Volume)) / new Total Volume