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» NYSE volume (VINT.Z) question
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| Author | Topic: NYSE volume (VINT.Z) question (3 messages, Page 1 of 1) |
 software9Trader -Interested User- Posts: 7 Joined: Jan 31, 2011 |
Posted: Feb 8, 2011 03:21 PM
Msg. 1 of 3
Howdy,
I have questions regarding the VINT.Z NYSE total volume market stat: What are the units used? is it 1000's , 1,000,000's or what? Is in the docs? Also, when I get historical data on this for 30 minute intervals, I get an "open" value for 10:00 AM EST, which I assume is the open at 9:30AM for the 9:30 to 10AM EST interval. But the NYSE opens at 9:30AM, so I expect the open to be equal to zero. It sure ain't zero, it's a pretty large number. What goofy thing have I done? Thanks for your help. |
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software9Trader -Interested User- Posts: 7 Joined: Jan 31, 2011 |
Posted: Feb 8, 2011 06:49 PM
Msg. 2 of 3
I have added some more info to this support question.
Here is the raw NYSE volume (VINT.Z) data record received for Feb 4th at 10:00 AM EST: VINT.Z,2011-02-04 10:00:00,135981,36424,36424,135981,0,0, Here is the defined format for the data record from the DTN docs: Result Format for HIX, HID, and HIT requests: Field Format Notes Request ID Time Stamp CCYY-MM-DD HH:MM:SS Example: 2008-09-01 16:00:01 High Decimal Example: 146.2587 Low Decimal Example: 145.2587 Open Decimal Example: 146.2587 Close Decimal Example: 145.2587 Total Volume Integer Example: 1285001 Period Volume Integer Example: 1285 As can be seen, the High field has the same value as the Close field, and the Low field has the same value as the Open field. I compared these values to the data returned by Tradestation (i.e. 10AM EST on Feb 4, 2011). The value I got from Tradestation is: 149250 (they use $TVOL symbol for NYSE total volume). Their numbers are significantly different. So what is going on here with DTN values for NYSE total volume? If it is my problem, please point out what I am doing wrong. Thank you. |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005 
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Posted: Feb 14, 2011 12:16 PM
Msg. 3 of 3
Hello software9Trader, this is reported in 1000's.
The reason the volume isn't zero at open is because pre market trading is included in the daily total volume and the first calcualtion isn't done until 1 minute after the market opens (09:31:00) so it will also include the first minute of trading. The reason our numbers might differe from Tradestation (or other vendors) is because we calculate these more frequently than anyone else. We calculate stats every second while most (all?) other vendors only caclulate them every 5-10s. |
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