Question about what trades print to the tape

[piezoe]

Hey Val, the API is quite comprehensive, including identifying the exchange each transaction went thru. We can easily filter out the more obscure exchange (and have) and that usually gets us close to the historical data.... but then along comes a candle that blows us out of the water. Like 50,000 shares for the minute on-the-fly, and then the candle closing with 17,000 shares.

We have not figured out the proper combination of filters to obtain the volume data that the rest of the world sees on their charts. I'm sure it's a universal filtering protocol because all the charts agree with each other on historical price/volume. Unfortunately our strategy is very sensitive to the current volume and relies on trading against what everybody else sees on their charts. I'll check out IQFeed and the other one. Thanks for the help!

Because of data chaos, my guess, it is only that, is that the reason the historical data all agrees is that the various sources for historical data are copying from each other, which could effectively mean they are all copying from one source. Considering all the trades and different venues that are supposed to be reporting, the late reporting, the errors in reporting, the screw-ups and the corrections, and the large number of trades and their frequency in an active market, it would be a miracle if any of the consolidated data is highly accurate. Best to just consider it all as approximate.

 

[stepan7]

As I showed, though, both Google Finance and Yahoo Finance have values for candle volumes that are closer to TDA's streaming data than to TDA's backfill. Could it be they use the same feed as TDA and aggregate the data?

Their data as good as the money you pay for it.