Support Board
Date/Time: Wed, 19 Mar 2025 17:39:47 +0000
Post From: DTC Server Data Sources
| [2022-10-09 22:03:02] |
| User474198 - Posts: 5 |
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Hi, My question is about the data sources behind the DTC server responses to requests for historical and live market data. I trade US equities and have access to the Nasdaq TotalView feed on my Sierra Chart platform. I am working on connecting some python scripts to Sierra Chart's DTC Server (both the scripts & the SC instance are on my local desktop). When requesting historical data from the DTC server, I've noticed that using, for example, "SPY" returns data but not "SPY-NQTV", which it would have to be for my SC charts (for "SPY-NQTV", the DTC server response is a Type=6 message with a RejectReasonCode=4 and RejectText="Request is not authorized"). When I make a historical data request from the DTC server for 1 minute data for "SPY", I find that the intraday data adds up to on average 75%-78% of total SPY volume for the day. This is contrasted with the "SPY-NQTV" 1 minute data on my intraday charts, which typically add up to 13% - 15% of total daily volume. Because there seems to be different data sources depending on DTC historical request vs. charts (and assuming the foregoing is correct and intended behavior), my question is: If I submit a MARKET_DATA_REQUEST for a SNAPSHOT response from the DTC server and get the response with SessionVolume, is that volume data from the same data source as the DTC server's historical data response? Or do live market DTC responses come from from a different data source, like TotalView or something else? For context, if I take the historical intraday data from a DTC server request and calculate the average volume traded through 10 am for each day, then compare the SNAPSHOT's SessionVolume at 10 am, is that an accurate comparison to determine today's relative volume? Or is the SNAPSHOT only going to return a fraction of the volume that the historical data request would return because it comes form a less inclusive data source (like only TotalView data), rendering any comparison to the historical DTC response data inaccurate? Thank you, Dennis |