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» Period and Total Volume Mismatch
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| Author | Topic: Period and Total Volume Mismatch (3 messages, Page 1 of 1) |
 tdoug -Interested User- Posts: 5 Joined: Mar 22, 2015 |
Posted: May 31, 2015 11:17 AM
Msg. 1 of 3
Hi,
There seems to be a mismatch in period volume when you substract the total volume from the previous time intervals total volume. For example when using 5 mins bars on symbol ADSK in descending timeframe starting from 2015-05-29 16:20:00 is shown below. If I calculate the period volume by subtracting the total volume from the previous total volume the results are different (not sure if there's an easier way to copy the data from the example apps to the forum?). Thanks Total Volume Period Volume TotalVolume - TotalVolume(1 bar previous) 3170268 1760 8491 3161777 379651 382703 2779074 243450 261552 2517522 135876 144430 2373092 85720 2373092 |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006 
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Posted: Jun 1, 2015 05:11 AM
Msg. 2 of 3
Good morning,
The interval data is based upon the summation of all of the last qualified trades and the extended trades. It does not include other trades, such as odd-lots that do not set a new last price. Where as total volume will always include all trades. To further clarify: ADSK 3170268 was the last volume reported for the day on a minute chart. Minute charts do not include other trades, so the last bar, at 16:20, represents the 16:15 to 16:19:59 regular and extended trades. For reference these are the last two 5 minute bars, volume being the last field reported. 2015-05-29 16:20:00 54.1500 54.1500 54.1500 54.1500 1760 3170268 2015-05-29 16:05:00 54.1500 54.5500 54.1400 54.5500 379651 3161777 Here are the two trades retrieved from our tick data for that period. The period volume of 1760 here is the summation of these two trades, and they are the only extended trades in that time frame. 4:15:03 PM 54.15 734 54 55.5 3170268 0 0 2343382 Extended Trade NTRF FORMT 4:15:03 PM 54.15 1026 54 55.5 3169534 0 0 2343347 Extended Trade NTRF FORMT Now, looking at the 5 minute data, we can see a difference in the total volume of 8491. Yet, the period volume was only 1760, this leaves 6731 shares unaccounted for. Hence your question. But, if you look at the underlying tick data, you will see that the volume of the other trades (1435 + 3300 + 1400 + 400 + 196) accounts for all of the volume you are missing. 4:15:03 PM 5/29/2015 54.15 734 54 55.5 3170268 0 0 2343382 Extended Trade NTRF FORMT 4:15:03 PM 5/29/2015 54.15 1026 54 55.5 3169534 0 0 2343347 Extended Trade NTRF FORMT 4:14:57 PM 5/29/2015 54.1657 1435 54 55.5 3168508 0 0 2343284 Other Trade NTRF AVGPRI/FORMT 4:14:37 PM 5/29/2015 54.1589 3300 54 55.5 3167073 0 0 2343250 Other Trade NTRF AVGPRI/FORMT 4:11:23 PM 5/29/2015 54.15 1400 54 54.26 3163773 0 0 2342938 Other Trade NTRF AVGPRI/SELLER/TTEXEMPT/FORMT 4:11:04 PM 5/29/2015 54.3799 400 54.12 54.26 3162373 0 0 2342839 Other Trade NTRF AVGPRI/FORMT 4:09:04 PM 5/29/2015 54.15 196 54.09 54.24 3161973 0 0 2342719 Other Trade NTRF PRP 8491 4:01:48 PM 5/29/2015 54.55 180897 54.04 54.18 3161777 0 0 2342388 Extended Trade NTRF FORMT All of these trades are sent to you in your level one data feed and are available via historical tick request, it is only in how we choose to format our interval data that you will see this. I hope this helps to explain what you are seeing, but if you have questions on it, certainly let me know. Tim |
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tdoug -Interested User- Posts: 5 Joined: Mar 22, 2015 |
Posted: Jun 4, 2015 03:18 PM
Msg. 3 of 3
Thanks for the detailed response Tim, this explains it.
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