Joined: May 6, 2016
Posted: May 6, 2016 11:46 PM
Msg. 1 of 2
i just subscribed to the data feed and pulled down the daily and 1 minute data for AAPL from 5/4.
i then summed all the Volume for each 1 minute bar and got 36808318, expecting it to be the same total as reported on the daily data - which is 41025475.
As you can see they aren't even close. Can anyone explain the difference?
Joined: Nov 21, 2005
Posted: May 7, 2016 08:38 PM
Msg. 2 of 2
Simply put, this sort of volume analysis will not normally match up because there are reasons (depending on market/symbol) that something can adjust the volume without trading.
However, I'd bet that most of what you are seeing on AAPL are non-last-qualified trading.
Our intraday data only accounts for Last Qualified and FormT extended trading. Daily volume will include all trades.
For something like AAPL, there are bound to be a large number of oddlot trades which are not last qualified trades so the discrepancy will be large. There will like be other types of non-last-qualified trades in there as well.
If you download the Tick Data you can see all of the trades along with type and trade conditions and run detailed analysis.
Also, we do include with each interval on intraday data, the current total daily volume at the time that interval was recorded (in addition to the interval volume). This field will also include the non-last-qualified trades so you can see how the volumes differ over the course of the day.
Edited by DTN_Steve_S on May 7, 2016 at 08:38 PM