Support Board
Date/Time: Fri, 29 Nov 2024 14:30:26 +0000
Market Statistics - UVOL/DVOL
View Count: 1337
| [2022-03-18 19:18:33] |
| User796776 - Posts: 95 |
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I am trying to leverage the UVOL/DVOL Market Statistics but having difficulties reconciling the data. The statistics are very different from other data providers. I have attached an image of the discrepancy from today. What the image show is: TradingView: UVOL 436,222,948 DVOL 284,919,713 ThinkorSwim: $UVOL 434,657 DVOL 287,699 SierraChart: UVOL-NYSE 2,480,453 DVOL-NYSE 1,109,014 SierraChart: UVOL24H-NYSE 2,508,210 DVOL-NYSE 1,112,430 As shown, the TradingView and ThinkorSwim (1000's) stats are statistically similar. The SC stat is significantly different: If, as the documentation states, the stat is in thousands, UVOL/DVOL are significantly larger than the TV & TOS platforms TV: 436,222,948 284,919,713 SC: 2,480,453,000 1,109,014,000 Diff: 569% 389% If the UVOL/DVOL are actually are in hundreds the numbers are smaller than the TV & TOS platforms TV: 436,222,948 284,919,713 SC: 248,045,300 110,901,400 Diff: -76% -157% Either way the differences are statistically significant and I am struggling to reconcile the stats to utilize them. I thought perhaps I needed to use the UVOL24H/DVOL25H stats but they do not improve the discrepancy either in the thousands or hundreds. SC: 2,508,210 1,129,430 In todays stats, the morning session had down volume higher on the TV & TOS platforms but lower on SC. Would you help me understand discrepancy so I could leverage the UVOL/DVOL? Using UVOL/DVOL in formulas produces different results from other platforms. Thank you. |
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| [2022-03-18 19:43:11] |
| 1+1=10 - Posts: 270 |
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Hi. I’m a fellow user. However, I answer questions on the board frequently to relax. Variants of this question get answered frequently. SC’s engineers have literally written pages of explanation with diagrams comparing their market statistics to other feeds — you should definitely read it: Sierra Chart Market Statistics: Market Statistics Calculations Compared to Other Data Services In short: 1. These statistics are calculated on the spot by platforms; all the platforms may have slightly different formulas. 2. The SC engineers do not know the formulas that Trading View, ThickOrSwim or anyone else uses to calculate their market statistics; thus, they can’t compare and contrast. 3. The different platforms calculate market statistics at different frequencies. This is notable on the TICK where SC often has higher extremes because it is calculated more frequently. 4. SC thinks their calculations are correct. You can see how they calculate all the stats here: Sierra Chart Market Statistics: Symbols Lastly, can you program? If so, you could subscribe to Polygon.io and calculate these statistics yourself. You could even make market-weighted versions of them. Date Time Of Last Edit: 2022-03-18 19:43:31
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| [2022-03-18 19:52:20] |
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This is not within the scope of our support. The data for those should be accurate and we stand by them. We just did a code review now and we see no issue. The other sources must be wrong. And actually we can see they appear to be substantially wrong. If anything what we are providing are too low. But our feed source must not be aware of the full volumes. You can see the true daily volumes here: https://www.nyse.com/markets/us-equity-volumes You have to look at the consolidated tape values. So once again, we are just simply being proven more and more right. That Sierra Chart market statistics, simply are outperforming and are more accurate than everyone else. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-03-18 20:03:55
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| [2022-03-18 21:34:03] |
| User796776 - Posts: 95 |
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I reviewed the consolidated tape values from 3/17/22 and the documentation on Tape A, B, C at nyse.com and I think I understand. UVOL-NYSE correlates with Consolidated Tape A, NYSE UVOL-NYSEMKT correlates with Consolidated Tape B, Arca, American, BZX UVOL-NASDAQ correlates with Consolidated Tape C, NASDAQ NYSE Tape A: 4993.4 SC UVOL-NYSE: 5122 +3% NYSE Tape B: 2561.3 SC UVOL-NYSEMKT: 2491 -3% NYSE Tape C: 5617.7 SC UVOL-NASDAQ: 5471 -3% Correct? Date Time Of Last Edit: 2022-03-21 13:31:08
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| 2022-03-21_09-17-37.png / V - Attached On 2022-03-21 13:30:20 UTC - Size: 92.18 KB - 135 views |
| [2022-03-21 19:23:51] |
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No, you would have to look at the TVOL24H-NYSE values and make comparisons only to that symbol. Or perhaps TVOL24H-NYSE_NASDAQ_NYSEMKT And an NYSE stock, can trade anywhere including NASDAQ. And you really you have to probably add together Consolidated tape ABC. But we really do not have sufficient inside knowledge to give any 100% definite answers in regards to all of this. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-02-02 04:33:34] |
| User164231 - Posts: 278 |
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Hi SC suppport, By mistakes I have deleted my old intraday market stats data. Is there anyway to download it again? I have tried using Chart - data limiting, but I could not get data older than 25th March 2020. Please advise. |
| [2023-02-02 10:52:05] |
| Sierra_Chart Engineering - Posts: 17228 |
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Refer to: Historical Intraday Data (Missing Data / Download Errors / Viewing More Data): Downloading/Viewing More Historical Intraday Data Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-02-02 13:30:43] |
| User164231 - Posts: 278 |
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Thanks and I have tried everything you have suggested including 'delete all data and download'. My intraday data is now shorter date range than before. Anything else I could do? |
| [2023-02-04 07:38:50] |
| User164231 - Posts: 278 |
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Hi, so it seems that DADAD actually delete data on my HDD as well. Correct?
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| [2023-02-06 16:16:15] |
| John - SC Support - Posts: 36350 |
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Yes - using Delete All Data and Download deletes all the data from the file for that symbol and then redownloads the data. If you are not getting data going back as far as you are wanting, then you should be able to resolve this by using the information given in the previous link. Here is the link again: Historical Intraday Data (Missing Data / Download Errors / Viewing More Data): Downloading/Viewing More Historical Intraday Data For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-02-07 11:50:12] |
| User164231 - Posts: 278 |
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Hi John thanks. Did exactly that, did not work. Was lucky managed to salvage old data upto 2018 via backup files. Is there a way for you guys to download on my behalf as far back as possible for backtesting? |
| [2023-02-07 16:02:20] |
| John - SC Support - Posts: 36350 |
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What is one specific symbol for which you are having this issue?
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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