Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)

"I've never had DTN go out on me since switching. ******* would go down a couple times every month when I was using them." - Comment from Bryce in AL.
"For anyone considering using DTN.IQ for a data feed, my experience with the quality of data and the tech support has been very positive." - Comment from Public Forum
"I started a trial a few weeks back before the market went wild. DTN.IQ didn’t miss anything and beat my other provider. I decided to stay with you because of the great service through all the volatility." - Comment from Mike
"And by the way, have to say this. I love the IQFeed software. It's rock solid and it has a really nice API." - Comment from Thomas via RT Chat
"I've been using Neoticker RT with IQFeed for two months, and I'm very happy with both of the products (I've had IQFeed for two years with very few complaints). The service from both companies is exceptional." - Comment from Public Forum
"Interactive Brokers tick data was inconsistent, so I have switched to using DTN exclusively. It is great to no longer have to worry about my datafeed all day long." - Comment from Philippe
"As a past ******* customer(and not a happy one), IQ Feed by DTN is a much better and cheaper product with great customer support. I have had no problems at all since switching over." - Comment from Public Forum
"If someone needs the best quality data and backfill beyond what their broker provides at a rate that is the best in the industry, I highly recommend IQFeed." - Comment from Josh via Public Forum
"This beats the pants off CQG, I am definitely switching to the ProphetX 3.0!" - Comment from Stephen
"This is an excellent value, the system is generous (allowing for 500 stocks) and stable (and really is tick-by-tick), and the support is fantastic." - Comment from Shirin via Email
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Product Support »IQFeed Datafeed Wish List »Make TotalVolume adhere to actual official market hours
Author Topic: Make TotalVolume adhere to actual official market hours (7 messages, Page 1 of 1)

-Interested User-
Posts: 54
Joined: Jul 21, 2004

Posted: Nov 1, 2004 09:35 AM          Msg. 1 of 7
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

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.

-Interested User-
Posts: 54
Joined: Jul 21, 2004

Posted: Nov 7, 2004 12:45 PM          Msg. 2 of 7
Do you think you'll be able to address this in the shedule of work?

-Interested User-
Posts: 54
Joined: Jul 21, 2004

Posted: Nov 26, 2004 08:27 AM          Msg. 3 of 7
Any comments or explanations?

-Interested User-
Posts: 54
Joined: Jul 21, 2004

Posted: Dec 3, 2004 07:27 AM          Msg. 4 of 7
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?

-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004


Posted: Dec 3, 2004 08:32 AM          Msg. 5 of 7

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.

-Interested User-
Posts: 54
Joined: Jul 21, 2004

Posted: Dec 5, 2004 05:17 AM          Msg. 6 of 7
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

-DTN Evangelist-
Posts: 249
Joined: May 7, 2004

Posted: Dec 5, 2004 11:07 AM          Msg. 7 of 7
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):
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.


Time: Sun May 15, 2022 11:55 PM CFBB v1.2.0 31 ms.
© AderSoftware 2002-2003