Question about what trades print to the tape and which ones are parsed out

[two_iron]

Hi there....My son and I are building an app to trade automatically using the TDAmeritrade API. I'm stuck on one issue and really need some help. I've tried other places, including TDA with no luck. Thought I'd give it a try here.

The API gives us streaming data and historical data. We trade 1-min candles. The streaming (on-the-fly) volume data does not add up to the volume posted at the close of the 1-min candle. For instance, we're monitoring ROKU and it's 12:05pm EDT.... the streaming data, which provides every transaction (Last Price and Volume of trade) as it occurs on the fly may show a total volume of 35,000 shares trades between 12:05 and 12:06. However, the historical data, as the 12:05 candle closes and becomes history, may show a total volume of 31,440 shares for that same minute. They are parsing out some of the trades that come in. The historical volume data from this TDA API agrees with all other historical charts (Yahoo, ThinkorSwim, Schwab, Barchart.com, etc.). In other words the parsing is a protocol that all brokers comply with.

I spoke with TDA and their best guess was that "odd lots" are parsed out (not counted) in the official trade history. That sounded great, but after experimenting with it, that is not the answer. Odd Lots are any trades with less than 100 shares. There are not enough Odd Lots in a minute of trading to make up the difference we are seeing between the sum of the streaming volume and historical data that is posted 1 second after the finish of the 1-min candle. I've looked at "Mixed Lots" (over 100 shares but not a multiple of 100, such as 3140 shares) and dropped the odd shares off but that doesn't work either.

My question in a nutshell - What data "prints to the tape", i.e. is officially incorporated into all the stock charts that all agree with each other? Moreover, what data is excluded and does not print to tape. Is it related to odd lots? lot sizes? Do they parse out different exchanges? Is dark pool data not counted?

Thanks much for your help!

 

[Rufus_Leakey]

I've noticed similar behavior where quotes from different sources have different volumes after the bar closes (e.g., after market close) and/or volumes change in quotes from a single source after the bar closes. That's one reason I avoid using volume that much in analysis.

 

[counter_violent]

Hi there....My son and I are building an app to trade automatically using the TDAmeritrade API. I'm stuck on one issue and really need some help. I've tried other places, including TDA with no luck. Thought I'd give it a try here.

The API gives us streaming data and historical data. We trade 1-min candles. The streaming (on-the-fly) volume data does not add up to the volume posted at the close of the 1-min candle. For instance, we're monitoring ROKU and it's 12:05pm EDT.... the streaming data, which provides every transaction (Last Price and Volume of trade) as it occurs on the fly may show a total volume of 35,000 shares trades between 12:05 and 12:06. However, the historical data, as the 12:05 candle closes and becomes history, may show a total volume of 31,440 shares for that same minute. They are parsing out some of the trades that come in. The historical volume data from this TDA API agrees with all other historical charts (Yahoo, ThinkorSwim, Schwab, Barchart.com, etc.). In other words the parsing is a protocol that all brokers comply with.

I spoke with TDA and their best guess was that "odd lots" are parsed out (not counted) in the official trade history. That sounded great, but after experimenting with it, that is not the answer. Odd Lots are any trades with less than 100 shares. There are not enough Odd Lots in a minute of trading to make up the difference we are seeing between the sum of the streaming volume and historical data that is posted 1 second after the finish of the 1-min candle. I've looked at "Mixed Lots" (over 100 shares but not a multiple of 100, such as 3140 shares) and dropped the odd shares off but that doesn't work either.

My question in a nutshell - What data "prints to the tape", i.e. is officially incorporated into all the stock charts that all agree with each other? Moreover, what data is excluded and does not print to tape. Is it related to odd lots? lot sizes? Do they parse out different exchanges? Is dark pool data not counted?

Thanks much for your help!

You might try contacting Peter Davies over at jigsaw trading.

He's done a lot of work in the price and volume arena.

 

[two_iron]

Thanks for the replies!

 

[new_trader]

I have done extensive work in this area as I have written my own trading app to interface with my brokers API for the purpose of tape reading.

If your broker API provides unfiltered tick data then the total volume of the tick data should match the historical bar volume. No question about that. I have purchased years of historical tick data for the instrument I trade and confirmed this myself.

My brokers API provides two different types of price subscriptions, one of them is filtered as explained from their documentation below (Highlights are mine):

PriceChanged: Similar to PriceTick, but limited in frequency. Therefore, some updates may occur without raising the event.

Tick: Unlike PriceChanged, this event raised every time when price update comes, so it is recommended not to perform any CPU consuming operations (like GUI updates) in the event handler.

You mention you spoke to your broker but did you speak to the developers to find our if the tick data is filtered?

 

[two_iron]

Thanks for the reply new_trader. It sounds like you know exactly what I'm going thru. I've spoken with TDA and received very little help and the TDA API development is one guy that very rarely answers an email. We did pay for 3rd party data but it was exactly the same as the TDA API, unfiltered and not much support.

The TDA API does identify the exchange associated with each transaction. We've tried to filter out the more obscure exchanges and we can get close to the historical data, but then a candle comes along and blows us out of the water. We are trading equities where current volume is a significant part of the strategy, but it's important that we trade against what the rest of the trading world sees, not some unfiltered junk.

You've given us some things to think about. I'll keep you posted. Thanks much and happy trading!