I am using Amibroker with a 1-minute database. I am also using XLQ for Excel.
I noticed that for _any_ ticker the volume info shown on Amibroker's daily chart will be _less_ than the volume retrieved via XLQ (which again connects to IQFeed). The difference is in the 10-15% range, for all days, all tickers. I have cross-checked the information with Yahoo EOD data and the data in Excel/XLQ matches (to the 100, which is fine).
See attached screenshots for AAPL (created 3 days ago) - Excel.png and Yahoo.png.
However, if I look on the Amibroker chart I get the following values, starting from 3 Feb to 21 Jan:
48,527,572
58,504,896
76,975,896
78,355,120
136,403,232
89,923,048
50,280,040
43,102,976
47,692,804
45,262,800
I contacted Amibroker's support who sent me their snapshot created using an end-of-day database (Amibroker-EOD_Setup.png) and gave the following explanation:
"Indeed – 1-minute database is recommended, however in this case the
daily prices and volumes are constructed out of individual 1-minute bars captured from the stream. So – the output will depend on your intraday settings in File -> Database Settings -> Intraday Settings.
This article explains the topic in details:
http://www.amibroker.com/kb/2006/03/19/how-does-the-daily-time-compression-work/ Note however that daily values obtained from the data-stream may differ from the ‘official’ prices provided by the exchange."
How is this difference possible? Surely, the sum of volume bars should give out the daily volume? There seem to be constant 10-15% difference which can mislead the chart eye AND the exploration scripts.
As there is an option to plot data from a 'Foreign' stock, was it possible to access the EOD data using a different symbol? (e.g. made up: "AAPL.EOD"). This way I could rely on the EOD data from this ticker and continue using the 5-min chart with live prices.
Thank you.