volume spikes

robq

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Here are screen shots from APOL 5 min chart and from Time and Sales showing enormous spikes of remarkably similar volumes. Can someone please explain what is happening and, in particular, why the volumes are so similar.

RobQ
 
RobQ

That looks like a quotetracker screen. Do you have the volume setting on cummulative ? If not, it doesn't look correct to me. Attached is a screen shot from Prophet.

rog1111

robq said:
Here are screen shots from APOL 5 min chart and from Time and Sales showing enormous spikes of remarkably similar volumes. Can someone please explain what is happening and, in particular, why the volumes are so similar.

RobQ
 
RobQ

I'll echo what Rog111 says. Here's the data I've got from my Money.net feed. It only shows the trades since I have used back fill but they do not tie in with your data set at all.

What feed are you using.

Hope I've managed to attach my screen shot.

Gerard
 

Attachments

  • APOL.JPG
    APOL.JPG
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Quotetracker with money.net feed.
Not cumulative (853502 at 14:23:28 is less than 854002 at 14:23:20).
Data recorded in "real time" not back fill.
Between 14:23:05 and 14:23:55 inclusive there were five quotes and trades on back fill, far more trades (8)and quotes without trades (7) on the "real time" record between 14:23:05 and 14:23:28
RobQ
 
Robq

Somethings seems to be seriously amiss. As I said my data is also from Money.net but bears no relation to yours.

I did notice a few days ago they had a notice saying something about data feed problems but the notice has gone now. Perhaps you could get in touch with Money.net and ask them whats going on. Alternatively Jerry M at Quotetracker may have had queries and be aware of data corruption.

If you do get in touch with Money.net or JM and get an answer please let us know.

Cheers

Gerard
 
Below are email to and reply from quotetracker. They appear to believe that the spikes are genuine. I also emailed money.net but have not had a response apart from acknowledgement.

I'd be very grateful if someone could explain the significance of these very large volume spikes with little price change.

robq



Sent: Friday, October 08, 2004 10:30 AM
To: [email protected]
Subject: volume spikes
Is it possible to do anything about very large volume spikes. Even if volume is capped they seem to raise the average volume so that other volume bars are virtually undetectable. they cannot be deleted unless they are associated with a highest or lowest price spike.

Reply from quotetracker
Not much can be done about volume only spikes because total volume has to equal as reported - can not be reduced. Cap % is the only mechanism that QT for provides (which is essentially for display). You may try to increase the chart frequency to spread the volume over a longer period as well.
 
robq

QT will only report what it receives from money.net. Comparing with other data sources I'd say that the latter was erroneous on this occasion. Often you'll see large volumes on small price spreads under active conditions (for whatever reason) when the MMs could buy or sell into substantial public selling/buying respectively, the low spread on high volume being an indication of the MM falling over themselves to trade immediately

rog1111
 
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