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T&S vs Chart Volume Discrepencies

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  • NinjaTrader_Cameron
    replied
    Hello,

    The Chart show Level 1 data that come from your provider.

    This does not include non-last-trade-qualifying types of trades.

    The Time & Sales window and Daily Volume column of the Market Analyzer uses a Fundamental Data, or MarketData.DailyVolume.

    The reason is that MarketData.DailyVolume includes all Last Trade types and all non-last-trade-qualifying trades.

    Each data provider is different and we do not know how the other platforms store, transmit, and display data.

    Below are some Examples of non-last-trade-qualifying trades that do not come through IQFeed/Kinetick:
    • a = acquisition
    • b = bunched trade - average price c = cash trade
    • d = distribution
    • e = automatic execution f = intermarket sweep
    • g = bunched sold trade - opening/reopening trade detail h = intraday trade detail
    • i = basket index on close transaction j = rule 127 trade
    • k = rule 155 trade l = sold last
    • n= next day o = opened
    • p = prior reference price r = seller
    • s = split trade
    • u = extended hours trade - reported late or out of sequence
    • w = average price trade
    • y = yellow flagged regular trade
    • z = sold - out of sequence


    Please note that this only applies to IQFeed/Kinetick, other data providers may include or exclude these types of trades.

    IQFeed and Kinetick are still considered unfiltered data feeds.

    Leave a comment:


  • dowgold
    started a topic T&S vs Chart Volume Discrepencies

    T&S vs Chart Volume Discrepencies

    I am looking for some feedback/discussion. Just so you know: I mostly trade CL. Charts are set up NYMEX ETH. This should match the Time & Sales as well as the CME daily bulletins. I have been noticing for quite some time that the volume shown on the charts is quite different then the T&S volume. The volume shown on the charts is on average 25% lower then the Ninja Trader T&S or IB chart data, Think or Swim chart data or even the CME daily bulletins. Now, IB and TOS charts volume does match their T&S, but Ninja does not!!! Here is the answer I got from NT: "Thank you for your note. It does not matter which data feed is used, whether it is Trading Technologies, Market Replay or even Kinetick. The Time and Sales uses Fundamental Data for the Daily Volume, while Charts do not include the non-qualifying trades and are based solely on the last price volume and not Fundamental Data." So my question is: Why would NT be so different then any other platform out there????

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