I'm wondering why extended trading volume is included in the TotalVolume Level 1 data?

If the Market is closed, then the TotalVolume should not increment.

Because of this in my opinion the TotalVolume field provided by DTN is wrong or at least useless.

This means I really have to calculate my own TotalVolume value.


I'm using QQQ for this example.

Another problem is that History Tick requests return ticks with times up to 16:15 hours - which is not consistant with Market Open hours of 09:30 - 16:00 hours. Consequently, does TotalVolume in historical EOD summary data include Extended trading hours trades (while the MarketClose = true)?


I will ask if this can be more clearly separated. For example, it would be better to include a Level 1 extended trading "TotalVolume" field in addition to the existing extended trading "Last" field.

I think this would be of great benefit and save a lot of people re-calculating the correct TotalVolume value.

Edited by sasha on Oct 22, 2004 at 08:19 AM

The data you are seeing on QQQ is trading that is occurring on regional exchanges like Arca (Pacific), Chicago or other regionals. This information comes into us until 16:15 and is correctly being counted as part of TotalVolume on the day.

I believe that the official trading hours for the index tracking stocks is 8:30 a.m. - 3:15 p.m. Central Time (Chicago time). So iqfeed is doing the correct thing in my opinion.

Houston, we have a problem!

The NASDAQ Stock Market Trading Sessions
Regular Trading Hours from 9:30 a.m. to 4:00 p.m. eastern time
After Hours from 4:00 p.m. to 6:30 p.m. eastern time

http://www.nasdaq.com/about/schedule.stm

The QQQ ETF does not have a "special" open and close time. It is the same as every other listed equity on the Nasdaq.

DTN's own feeds adhere to this because every tick is MarketOpen=false before 09:30 and after 16:00 hours. DTN.IQ Level 2 app. changes to active color at 09:30 and inactive color at 16:00.

My broker's and every other broker's trading system is configured to indicate official market open and market closed that adhere to these times.

Now here it is from the Nasdaq...

Nasdaq Pre-Market Quotes end at 09:29 hours:
http://www.nasdaq.com/?selected=NASDAQ-100+PMI

Nasdaq Pre-Market Trade Report ends at 09:29 hours:
http://quotes.nasdaq.com/quote.dll?mode=frameset&page=afterhours&symbol=QQQ&symbol=&symbol=&symbol=&symbol=&symbol=&symbol=&symbol=&symbol=&symbol=&selected=QQQ&FormType=&kind=&Leap=&mkttype=PRE&sel=premarket&userinput=&x=15&y=9

So we have a problem here because how can anyone use the DTN TotalVolume to do some calculations that rely on the actual trading volume - not volume done pre-market or after hours?

VWAP is an obvious problem - anyone calculating VWAP will have an incorrect value. A few bps difference in VWAP is a BIG problem! This way when anyone starts trading at 9:30am they are competing with true the Market Open hours VWAP and not some wild pre-post market trades.

Another problem is inconsistant numbers between snap quotes and aggregated trade tick analysis!

This is a real big pain and such a little oversight by DTN and probably minor to fix.

An obvious fix is to add another field to identify Pre-Market Volume which would clean this up and improve the data quality a lot.

Can you resolve or address this in your next release please?

Otherwise I will have to unnecessarily clean this data in real-time. I don't even want to know the mess and hacking I'm going to start in with cleaning historical data!
Edited by sasha on Oct 27, 2004 at 08:57 PM

hmmmm

http://www.nasdaq.com/indexshares/about_funds.stm

"What are the trading hours for Exchange Traded Funds?
Exchange Traded Funds based on broad based indexes trade until 4:15 p.m., Eastern Time. Select Sector SPDR Funds trade until 4:00 p.m. Eastern Time. iShares Sector Funds trade until 4:15 p.m. Eastern Time. Exchange Traded Funds based on foreign stock indexes trade until 4:00 p.m., Eastern Time. HOLDRS, which are depository receipts, trade until 4:00 p.m., Eastern Time."

Ok, but what is the open time?

Can DTN confirm if their feed is consistant (field MarketOpen=true/false) across each different instrument - special case for QQQ, special case for SPDR, special case for equity, future, options, etc?

Can DTN confirm what the official open time for QQQ and other broad based Index tracking symbols are?

We really need a feature/fix regarding the problem of differentiating Pre-Market and After-Hours trade volume from actual Open Market volume.

Tomorrow I'll check the feed and will have some more information to present.

I'll see what value the MarketOpen field is before 09:30. If the field MarketOpen=false before 09:30 then there is clearly a problem with incrementing TotalVolume before market open.

What is a trading system supposed to think about these phantom trades?

Why do my tick data calculations not match the snap quote TotalVolume?

This results in much confusion about whether there is/isn't a problem with missing data and where and how deep it is buried.

If TotalVolume increments before market open than how do I explain to my trading system and a million others that I'm actually feeding it some wild pre-market trade or some other weird special broker crossing trade?

Another thing for me to find out when the TotalVolume field actually stops incrementing - if ever.

I'm sure I have a valid issue here and it should make sense to everyone wanting regular unleaded Open, High, Low, Close and TotalVolume. if you look at all trading systems that take Open/High/Low/Close/TotalVolume, they are designed for on market/market open trades. Open is just that - the first price when the market officially opens. TotalVolume includes trades done from that first price - when the market is open and not some wild pre-market broker special crossing, etc.