For equities on Level 1 TCP, TotalVolume is incremented at all times of the day.

This is especially frustrating when it occurs outside the official market open hours.

In my opinion and many other trading systems this is absolutely wrong.

I can download a hundred trading systems from the Internet and when they ask for Open/High/Low/Close/Volume, they expect data from regular trading hours. Sure, I can include that special broker crossing that was 5% of today's daily volume at 10% higher than the today's close price - but why would I?

The official Nasdaq Stock Market Trading Sessions are:
- 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

My system adheres to this so I subscribe to Level 1 and process trades and exclude trade ticks where trade type equals ExtendedTrade. My "correct" cumulative trade tick volume is now different to the DTN Level 1 TotalVolume - arrgh!

Now is there a problem? Where did these "phantom" trades disappear to? I didn't receive them so the result is inconsistant numbers between snap quotes and aggregated trade tick analysis.

This is also a problem when calculating VWAP. The standard VWAP benchmark is regular trading hours - 9:30am to 4:00pm for Nasdaq equities. Including pre-market and after-hours trades in my benchmark is wrong. Am I supposed to keep trading until 8:00pm and ask my clients to wait an extra 4 hours until they get their fills and backoffice processing? I don't think so.

Sure, I could do my own TotalVolume summaries in order to correct the problem, but then why bother sending me TotalVolume when I have to calculate this myself?

Is it possible to please consider addressing this? Either don't cumulate ExtendedTrades in your TotalVolume value, or provide an additional Pre-Market Volume value.

Fixing this would make the historical TotalVolume consistant with intraday Level 1 volume. When I request daily ticks from history they start at 9:30am and not whenever the first pre-market trade possibly at 8:00am.

Another thing to consider is providing a way to signal that the official regular market trading hours have begun since the MarketOpen value appears to always be true, even on Sundays.

Maybe a great feature is to publish on the web is an official regular trading session schedule for each symbol or better still for each symbol's listed exchange.

Do you think you'll be able to address this in the shedule of work?

Any comments or explanations?

I think this is an important problem to fix. The data is incorrect and this is an error. I don't know why there is no effort to fix it?

Sasha,

This is NOT incorrect nor is it an error. This is why there is no effort to "fix" it. The exchange dictates how data is calculated and displayed. Extended market hours data is included in the days volume as per exchange processing rules.

While some users prefer to see data in ways outside the norm, we cannot provide it that way in our feed. If you need to only see volume during the hours you want, you will need to watch the feed throughout the day, and accumulate the volume values you want. You can do this by watching the feed all day and adding it up, or pulling the volume at the market open, then again at the market close, and subtracting the difference.

---

Jay Froscheiser
DTN Market Access, LLC.

Thanks Jay.

It might be enlightening to us all if you could explain what the "per exchange processing rules" are, maybe for the Nasdaq as an example.

Do you have any references to where they are?

Maybe this would explain the three different time periods for the Nasdaq: 1) Pre-Market, 2) Market Open and 3) After Hours and why the DTN "Market Open" field is always "true" even if the market is in Pre-Market?

Is there a reason why the DTN "Market Open" field is always "true" (even on Sundays)?
Edited by sasha on Dec 5, 2004 at 05:19 AM

Bug/Enhancement Number: 2630
Bug/Enhancement Title: Market Open field value is always open
Bug/Enhancement Category: Streaming Data
Bug/Enhancement Status: 1-OPEN
Submission Date: 05/14/2004,17:49:28
Version(Build Number): 2.3.0.0
Bug Class: BUG
Severity of Bug: Bug
Reproducability: every time
Priority: Not Assigned


Summary of Bug/Enhancement: An IQFeed developer (Ron Schoenberg) brought this issue to my attention. In the summary message, the Market Open field returns that the market is open...even when it is closed.