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: