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Volume Difference on Daily Bars vs 1440 minute Bars

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    Volume Difference on Daily Bars vs 1440 minute Bars

    I'm building a stock trading strategy using 1440 minute bars to replicate daily bars as advised by Kinetick and NT instead of using daily bars from the data provider. I understand there is often a small difference in Open and Close prices for these two methods due to exchange calculated open and close values vs first and last trade of the day values. No problem.

    When I compare volume however, I see an enormous difference. Exe. AAPL stock 1440 minute bar from 10/28/2020 shows RTH volume of 108,210,209 shares vs daily bars from Kinetick showing 143,937,823 shares. The difference is ~36mm shares. Yahoo Finance is showing a volume close to 143mm shares.

    Can someone explain the different volume I'm seeing in daily vs 1440 minute bars?

    Thank you.

    #2
    Hello TurtleTrader,

    Daily and 1440-minute charts will rarely ever show identical data. This is due to how both are calculated and plotted.

    A daily chart uses data sent directly by the data provider. This includes the open/high/low and settlement price based on the time frame the provider specified. The settlement price is typically the price at the close of the traditional session but could differ from it.

    These are also the values found on Yahoo Finance and received through Kinetick's daily bars, and should be roughly identical across all providers.

    A 1440-minute chart on the other hand would use the last traded price rather than the settlement price and can cover different hours based on the Trading Hour template selected.

    One example of how this can differ would be a holiday (e.g. Labor Day). CME markets are typically open from Sunday evening to Monday morning. Daily charts include any trades that took place in the following Tuesday’s data, but when using 1440-minute charts, there will be a separate bar for Sunday night to Monday morning.

    Furthermore, the 1440-minute chart would be based on minute-data, calculating the volume on the platform directly. This volume can differ based on various factors, such as how the data provider filters data or calculates volume.

    To give you an example of the closest possible approximation I've created an 86,400-second chart based on a "Default 24x7" Trading Hour Template. As this uses tick-based data it would use the highest possible granularity.

    Even in this case, the daily chart will still show a different volume:

    Click image for larger version

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    As you can see, the daily bars are delivered 'as-is', and may include different trading hours (you can see the candle wicks are very different), so-called "non-qualified" trades that are filtered out of the tick- or minute-based bars, or other reported volume.

    Whereas the tick-/minute-based bars are created based on the tick- or minute-data and 'summed up'.

    I hope this explains the differences you've seen, please don't hesitate to let me know if you have any further questions!
    Manfred F.NinjaTrader Customer Service

    Comment


      #3
      Great. Thank you for the reply, Manfred.

      Comment

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