dayBarVolume vs. minuteBarVolume?

[alabell]

In a couple of my indicators I have the following setup:

---------------------
Add(PeriodType.Day, 1); // Add a 1 day Bar object (default security), BarsInProgres index = 1
Add("SPY", PeriodType.Minute, 1); // Add a 1 minute Bar object (SPY), BarsInProgres index = 2
Add("SPY", PeriodType.Day, 1); // Add a 1 day Bar object (SPY), BarsInProgres index = 3

-----------------------------------------

When I request:

Print (Volumes[3][0]);

the result is 307MM shares for 7/29. This appears to be the correct value.

However, when I request:

Print (Volumes[2][0]);

from minute bars (onclose) and from

time integers 093100 to 160000 ,

and then sum all values, the result is 236MM, off by almost 25%.

I must be missing a Session concept or some similar element in my code.

BTW, using Kinetic for data and confirming with Yahoo Finance.


Any ideas? Thanks in advance.


Regards.

[NinjaTrader_Austin]

alabell, please try summing over the extended trading hours as well as the regular trading hours and see if the volumes match after that.

[alabell]

Thanks for the response Austin.

Using every trade that happened from 4 AM (i started my minute bars at 030000).

and going until 10 PM (although last print was at 200000, or 8 PM)

I get closer...up to 278MM for friday's volume...still a solid 10% lower than what I would have expected, given the value from the one day bar.

More importantly than % though, is this: where are the 29MM shares that are represented by this 10%? This respresents a substantial amount of trading, in both time and volume.

Thanks again and kind regards.

Just to confirm: doing the same methodology for 7/28 (thursday of last week) leaves me short 18MM shares when adding all minute bars...one day volume bar lists 207MM which is confirmed by external sources.

[NinjaTrader_Austin]

alabell, thanks for the additional info. I believe there are some trades that get entered into the total volume figure that aren't reported directly as a trade. These are things like OTC trades, that must be reported to the exchange, but don't appear as individual trades. I will have someone respond tomorrow with some clarification.

[NinjaTrader_Bertrand]

Hi alabell, Austin's correct here - there's is unfortunately an expected difference as the daily bar volume does contain the so called 'non last qualifying' trade volumes as well.

[alabell]

Thank you guys, I can live with this so long as I know how to deal with it, and now I do.

Regards to both.