Support Board
Date/Time: Mon, 25 Nov 2024 20:38:54 +0000
Nasdaq Total View VS Consolidated Tape
View Count: 1288
| [2023-04-17 20:46:50] |
| Ben A - Posts: 123 |
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Hi, I have read the guidance on the new consolidated tape and Nasdaq Totalview. Can I ask which has the most accurate in terms of bid/ask data as they seem extremely different. I could not find this in the guidance, actually one said consolidated tape was accurate, another said this was not possible. Also, dare I ask the rough eta on the NYSE tape also? (I know you guys are probably hard at work on this, just couldnt see that in the guidance also). Thank you very much for your help, Date Time Of Last Edit: 2023-04-17 22:42:06
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| [2023-04-18 03:35:58] |
| Sierra_Chart Engineering - Posts: 17174 |
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NASDAQ TotalView will always have the most accurate Bid volume and Ask volume. It can only be estimated with the consolidated tape. We expect the NYSE data feed to be available at the end of the week. 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 |
| [2023-04-18 12:34:52] |
| Ben A - Posts: 123 |
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Thank you for your answer, I am trying to establish which is better for my purposes: TotalView is accurate bid ask data, however much less volume, consolidated tape is much more volume, however estimated bid/ask. I use Nasdaq Totalview bid/ask data a lot in my calculations, however it may be that consolidated tape with estimated bid/ask is more useful due to higher volume which may override any accuracy considerations. This would depend on *how* accurate the tape would be. Can you refer me to how the consolidated tape is estimated? Thank you for your answer, this is a big part of my system so trying to establish the right path. Thank you, |
| [2023-04-18 15:56:12] |
| Sierra_Chart Engineering - Posts: 17174 |
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How Bid Volume/Ask Volume is determined with the new consolidated tape data feed, is explained here: https://www.sierrachart.com/index.php?page=doc/NumbersBars.php#BidTrade Refer to paragraphs 2 through 7. The problem is, the bid and ask quote data feed is not precisely synchronized to the trades data feed. They are independently provided by UTP. So there is going to be a degree of inaccuracy. 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 Date Time Of Last Edit: 2023-04-18 15:56:49
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| [2024-02-14 01:39:31] |
| User656492 - Posts: 143 |
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To understand this better, when would it be preferable to use the USCT and when would it be preferable to use the TotalView feed for trading equity instruments? If I'm looking to make decisions based upon intra-bar traded deltas, which feed is preferred? Under what circumstances would the other feed be preferred? Date Time Of Last Edit: 2024-02-14 01:45:33
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| [2024-02-14 16:10:31] |
| John - SC Support - Posts: 36278 |
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This is not something we can specifically answer, as it depends on what you want. The thing to keep in mind is that the data from the NASDAQ TotalView is only the data for the trades that occurred on the NASDAQ exchange. The data from the U.S. Equities Consolidated Tape is the data from all the exchanges for which an instrument is traded. The other difference is that there is Market Depth data for the NASDAQ TotalView, but not for the U.S. Equities Consolidated Tape. But, if you activate both exchanges, then you can get the composite of both (volume and price data from the U.S. Equities Consolidated Tape with the Market Depth from the NASDAQ TotalView) by using the _MBO suffix for a symbol (e.g. IBM_MBO). 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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