I wanted to know if someone knows why the stock volume, on different data feeds, seems to be changing one from another. I have tried 5 data feeds (Kinetick, TOS, Worden, MBT and IB/TWS) and thereís big differences on the 1m and 5m (I didnít checked much other time interval) when I compare them. Since the US stock market is regulated, it should not be all the same? Does itís because some are really cheap market data and does thereís a way to know the quality of the actual data feed information?
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one reason is the "fragmentation" of the stock market. volume is scattered among multiple venues like NYSE, NASDAQ, BATS, and a whole host of dark pools. not an easy job keeping tally of so-called off exchange trades.
That's inaccurate. Trades from all exchanges/ ECNs are reported to the SIP, even the FINRA ATS/ Non-ATS dark pool trades( although there might be a delay). So fragmentation is not going to be an issue for differences in reported volume.
There should not be major differences in Volume between popular retail data feeds.
I get the same/ close to volume from IB, IQ, and Barchart( Via Sierra chart).
The only difference would be that some brokers will include dark pool trades in their volume, eg Schwab, IB. Where is gimmick retail platforms, and typical retail data vendors will not, eg TOS, Kinetick( IQ feed), Barchart etc
Please post some examples and tickers. At this stage, i'd bet that the issue is most likely related to your platform/ configuration, than from your data feed.
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Last edited by Neo1; March 11th, 2017 at 08:13 PM.
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ahhh....... the wonderful world of stock trading......
Grouping a bunch together and trading that, is a much different/better experience..... IMHO...
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