(Other) data geeks – help please

A

abattia

For the last two days (Thursday and Friday), I have recorded eSignal’s 1-min volume for each of the first five minutes (09h30 – 09h35 EST) of trading of SPY (ETF) in two different ways:

a) “In-real-time” – i.e. immediately after each 1-minute bar has plotted on my chart

b) “Historically” – i.e. after the close of the session, and after RELOADING the eSignal data to my chart

I got the following results for the first minute (09h30 – 09h31 EST) for Thursday (Friday)

“In-real-time”: 1078k (1150k)
“Historically”: 923k (1121k)

So, for the first minute, the volume decreased from “In-real-time” to “Historically” by -14.4% (-2.5%).

For each of the other minutes (i.e. 09h31 – 09h32, 09h32 – 09h33, 09h33 – 09h34, 09h34 – 09h35 EST), there was no difference between “In-real-time” and “Historically” on either day.

Anyone familiar with this sort of thing, and able to provide an explanation?

Thanks.
 
Its only one minute - have you gone through Time & Sales and compared the prints?

Sometimes at the close prints can spill over past the 4:00pm timestamp because of the size of MOC volume - are you sure that MOO/premarket orders didn't spill over and the historical data had corrected for it?

Just a guess - have never used eSignal.
 
Thanks for the reply, WinstonTJ

I have also had a response from eSignal support:

Thank you for your email.
The Realtime Volume may differ from the Historical Volume due to any corrections or deletions sent by the exchange after the trades have taken place. In cases such as this the historical data would be adjusted accordingly and would vary from what you saw realtime. This may be more relevant during the Open or Close of the market when there is higher volume of order sent simultaneously.
Thank you,
eSignal Support

I am quite surprised by this explanation; doesn't it suggest that nearly 15% of what the "exchange" reported in real-time during the first minute on Thursday required subsequent correction or deletion ... ? Seems a surprisingly large quantity of corrections/deletions ...
 
Slightly off topic. eSignal = full of bugs, issues with volume reporting.

If you are doing anything important with this data and especially if you need real time look into alternative sources - Bloomberg, DTN IqFeed etc...

Yes, the exchange will issue corrections after the close, however not by 10-15% of the vol each day. You are getting unreliable data. Best to go elsewhere.

Quote from WinstonTJ:

Its only one minute - have you gone through Time & Sales and compared the prints?
More...

The OP ought to go through by hand the T&S from eSignal, the T&S from another provider, and the T&S published EOD by the exchange. That will give the information.
 
looking for a source of reat time data for ensign chart program.

e-signal, dtn & traderbytes recommended.

I use IB for source but it tends not to refresh so i'm always missing 15" of data for new symbols.

anyone better than the other or is there a different source out there?
 
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