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| Author | Topic: End-Of-Day Data (2 messages, Page 1 of 1) |
 voglinio -Interested User- Posts: 2 Joined: Jul 8, 2014 |
Posted: Jul 8, 2014 12:40 AM
Msg. 1 of 2
Hello to all,
I use HDX request for daily data. According to the manual: HDX,MSFT,3<CR><LF> TT,2014-07-07 00:27:02,42.1200,41.7100,41.7500,41.9900,21953619,0, TT,2014-07-03 00:27:02,41.9900,41.5600,41.9100,41.8000,15969310,0, TT,2014-07-02 00:27:02,41.9000,41.5300,41.7300,41.9000,20208526,0, Q1. I would like to ask about the Total Volume figures 21953619, 15969310, etc. Do they include other trades, such as oddlot trades and implied trades ? Q2. Also, do the EOD data represent only market period (eg. 09:30-16:00)? Do they include afterhours? I can detect a discrepancy between HDX results and HIT results for the period 09:30-16:00. eg. HIT,MSFT,60,20140707 000001,20140707 160000,,093000,155959,1,TT,2<CR><LF> TT,2014-07-07 09:31:00,41.8500,41.7100,41.7400,41.8355,703211,643078, TT,2014-07-07 09:32:00,41.8400,41.7800,41.8400,41.8000,859495,154406, ... ... TT,2014-07-07 16:00:00,42.0100,41.9500,41.9500,41.9850,19971046,761149, Total volume reported is 19971046 which is quite different from 21953619. Also the sum of Period Volumes (last column) is different. Q3. Is there a request that would return daily data from 09:30-16:00 that will sum up the volumes of the last column of HIT data? Thank you |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006 
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Posted: Jul 8, 2014 12:55 AM
Msg. 2 of 2
Hello Voglinio,
Q1. I would like to ask about the Total Volume figures 21953619, 15969310, etc. Do they include other trades, such as oddlot trades and implied trades ? Yes, volume messages do include oddlots and implied where appropriate per exchange specifications. Q2. Also, do the EOD data represent only market period (eg. 09:30-16:00)? Do they include afterhours? The EOD OHLC is all based upon the market period, but volume is counted throughout the evening. Q3. Is there a request that would return daily data from 09:30-16:00 that will sum up the volumes of the last column of HIT data? There is not a way to get the volume of the trading day, with other trades included, without accessing the tick data directly. You would need to pull all ticks for that day's trading session and add the trade size to get the number you are looking for. Additionally, our interval data will include only the volume from last qualified and extended trades, it will not include other trades as the EOD data will. Due to this, these discrepancies between interval and daily are expected. Though if you were to take ALL trade data for an entire day and sum it, then that would be expected to equate to our EOD numbers. Thank you, Tim Edited by DTN_Tim Walter on Jul 8, 2014 at 12:57 AM |
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