Intraday volume

Bob111 · Sep 19, 2002

Hi!
is anyone know good free source of intraday stock volume?
IB 's volume does not work yet, and i can't export volume from my second broker streamer. i check nasdaq website, yahoo,quote.com-they all have 20 min delay.
need it to perform some calculations on it.
Thank you!

dereksas · Sep 19, 2002

http://www.scottrade.com/streaming_quotes.asp

You can also use the scottrade stream as the quote source for QuoteTracker (also free), and while I don't know how to do it, I know that you can pull data out of QuoteTracker using html commands local to your machine and put it into excel or whatever you want to use for analysis. Perhaps someone on QuoteTracker's board can help you with that.

http://www.quotetracker.com/

--Derek

j_medved · Sep 20, 2002

Bob111,

Which broker (other than IB) are you using?

You can use QuoteTracker to access many brokers' datafeeds and integrated trading (including IB). As dereksas mentioned, you can extract the data out of QuoteTracker as well. Docs for doing that are at http://www.quotetracker.com/qtserver.htm

Jerry Medved
http://www.quotetracker.com

Bob111 · Sep 20, 2002

Thank you so much for you help guys!

Bob111 · Sep 20, 2002

i wrote little app in VB-wich pick LAST SIZE from IB TWS and add it every time. looks like the volume data is accurate and can be used .

j_medved · Sep 20, 2002

Bob,

Actually, that method is not accurate. IB updates the quotes at most once every 0.7 seconds. Adding up the Last Size values for the day from IB quotes will not add up to the total volume of the stock unless you are watching a very thinly traded stock.

NOTE: IB is adding VOLUME to the quotes, so this is not going to be an issue for much longer.

Jerry

Bob111 · Sep 20, 2002

Originally posted by j_medved
Bob,

Actually, that method is not accurate. IB updates the quotes at most once every 0.7 seconds. Adding up the Last Size values for the day from IB quotes will not add up to the total volume of the stock unless you are watching a very thinly traded stock.

NOTE: IB is adding VOLUME to the quotes, so this is not going to be an issue for much longer.

Jerry

i will run my app an see, how accurate they are

thank you very much for this advice!

Aaron · Sep 20, 2002

Originally posted by j_medved
Bob,

Actually, that method is not accurate. IB updates the quotes at most once every 0.7 seconds.

Jerry

I don't know about equities, but for futures they recently upped the refresh frequency to at least 10 times per second. If you watch the e-minis the prices are flashing pretty fast. They might be sending every tick.

j_medved · Sep 20, 2002

Hmm, didn't watch futures close enough today to notice. Equities were are definitely not tick-by-tick. Will check Monday.

j_medved · Sep 23, 2002

Aaron,

I checked today. Here is a sample of the data that IB returns:

14:33:21 829.75 829.50 829.75
14:33:19 829.50 829.50 829.75
14:33:16 829.50 829.50 829.75
14:33:14 829.75 829.50 829.75
14:33:10 829.75 829.50 829.75
14:33:08 829.50 829.50 829.75
14:33:05 829.75 829.50 829.75
14:33:05 829.75 829.50 830.00
14:33:04 829.75 829.75 830.00
14:33:04 829.75 829.75 829.75
14:33:03 829.75 829.50 829.75
14:33:02 829.50 829.50 829.75
14:32:39 829.50 829.50 829.75
14:32:36 829.50 829.50 829.50
14:32:36 829.50 829.25 829.50
14:32:26 829.50 829.25 829.50
14:32:23 829.25 829.25 829.50
14:32:21 829.50 829.25 829.50
14:32:19 829.50 829.25 829.75
14:32:18 829.50 829.50 829.75
14:32:18 829.50 829.50 829.50
14:32:17 829.50 829.25 829.50
14:32:15 829.25 829.25 829.50
14:32:14 829.50 829.25 829.50
14:32:12 829.25 829.25 829.50
14:32:10 829.50 829.25 829.50

IQFeed is returning many ticks per second for the same symbol