Support Board
Date/Time: Thu, 31 Oct 2024 12:16:05 +0000
[User Discussion] - US Equities evening/after market hours volume gap
View Count: 174
| [2024-09-03 01:18:21] |
| User914815 - Posts: 2 |
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Hello SC team! I'm setting up a volume profile chart on SPY-ETF equity for both intra day and evening sessions separately. However, I noticed there is a gap from 6:55PM CST to 3:00am CST time and no volume is logged during this period for all the historical data and for current date. I've already subscribed for "NASDAQ TotalView US stock data", & from documentation I learned that the volume coming out of NASDAQ exchange is only what I can see. So, can you confirm if this is the same reason for the gap up/down for every evening session that is formed? I see the service "US Equities Consolidated Tape" provides all the consolidated volume there is traded for any US equity. But that is again an added subscription on top of "NASDAQ TotalView US stock data", which I don't know how much of a value its going to provide. Also, can you please list out all the exchanges list that both the "NASDAQ TotalView US stock data" and "US Equities Consolidated Tape" services are going to provide? Attached the screenshot for your reference. Thank you! |
 VbP evening volume missing.jpg / V - Attached On 2024-09-03 01:16:24 UTC - Size: 336.94 KB - 26 views |
| [2024-09-04 18:45:11] |
| John - SC Support - Posts: 35639 |
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With regards to the gap, you would need to ask the exchange this question. This is how the data is as it comes from them. We can not say why it is this way. With regards to the Consolidated Tape, refer to the information here: https://www.ctaplan.com/index For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-09-15 19:03:27] |
| User914815 - Posts: 2 |
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Hello John, Thank you for the reply! Now in the documentation of "US Equities Consolidated Tape" (US Stock/Equities Consolidated Tape Data Feed: Introduction) under Introduction point #3 & last point (I've highlighted both in the attachment) clearly specifies the following, -> This is a full tick by tick feed, providing the entire consolidated tape of trades and quotes from all of the exchanges or venues in the US for US equities. -> To search for symbols, select File >> Find Symbol >> US Equities-Consolidated Tape. Expand this list item. And select (Enter Search Text - NYSE/AMEX/NASDAQ). (This point says, NASDAQ exchange is already included). If both the above statements are true, I only need "US Equities Consolidated Tape" subscription and can ignore "NASDAQ TotalView US stock data", correct? If not, please explain what is the difference between both these subscriptions? My goal is to see the total volume traded on Network A and Network B (https://www.ctaplan.com/index) listed exchanges for us equities. Thank you! |
| US Consolidated Tape.jpg / V - Attached On 2024-09-15 19:03:06 UTC - Size: 305.63 KB - 17 views |
| [2024-09-16 16:27:34] |
| John - SC Support - Posts: 35639 |
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The NASDAQ is included with the "U.S. Equities Consolidated Tape". So you may not need the "NASDAQ TotalView" exchange if you use the "U.S. Equities Consolidated Tape". The only reason for the "may not" that we state is that you need to be aware that the "NASDAQ TotalView" exchange option includes Market Depth data, whereas the "U.S. Equities Consolidated Tape" does not. But, if you activate both exchanges and then use a symbol with a suffix of _MBO (such as TSLA_MBO), then you can get the price and volume data from the "U.S. Equities Consolidated Tape" with the Market Depth data from the "NASDAQ TotalView" exchange. 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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