Support Board
Date/Time: Thu, 06 Mar 2025 16:35:03 +0000
NQTV feed's volume significantly lower than expected
View Count: 1428
| [2022-02-01 18:29:32] |
| frozentundra - Posts: 94 |
|
Testing out the new NQTV feed. Have side-by-side of AAPL on the old feed and AAPL-NQTV on the new feed. 9 minute footprint chart. Bar volume totals at the bottom with deltas above them. Note how much less volume is observed on the NQTV feed. Any idea what is happening here or how to remedy? |
 aapl nqtv feed comparison.png / V - Attached On 2022-02-01 18:29:22 UTC - Size: 190.88 KB - 189 views |
| [2022-02-01 19:58:21] |
| |
|
When we did a check previously, we noticed higher volume for NASDAQ stocks, but this was just simply a check at the market open, for one or two symbols. We will look into this issue further. We are going to make one change and we want to see how it is tomorrow. 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 |
| [2022-02-01 20:04:57] |
| frozentundra - Posts: 94 |
|
When we did a check previously, we noticed higher volume for NASDAQ stocks, but this was just simply a check at the market open, for one or two symbols.
We will look into this issue further. We are going to make one change and we want to see how it is tomorrow. Sounds good, thank you. Additional things I've noticed while playing around with NQTV: The volume data is coming in with a volume multiplier of `0.1` on NQTV feed. The original equities feed had a volume multiplier of `1`. In other words, the Nasdaq's volume data is representative of one tenth of the volume that is being reported. Thus 100 shares would look like `10`. 1,000 shares would look like `100`, etc... I look forward to any updates you have on this and please let us know if we can assist with testing! |
| [2022-02-01 22:02:38] |
| |
|
Actually, when we looked at volumes, we did look at the entire trading day. So we are not quite sure what the issue is but we will figure it out. It was not just at the market open. So you mean that when you see a trade of 10 on NASDAQ TotalView it is actually 100? We have to check the specifications. We are not making any adjustments to the volume data. There is no indication in the documentation for NASDAQ TotalView of what you are saying in this regard. The shares reported, are actual. 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: 2022-02-01 22:12:49
|
| [2022-02-02 02:30:27] |
| frozentundra - Posts: 94 |
|
So you mean that when you see a trade of 10 on NASDAQ TotalView it is actually 100? We have to check the specifications. We are not making any adjustments to the volume data.
There is no indication in the documentation for NASDAQ TotalView of what you are saying in this regard. The shares reported, are actual. Interesting, maybe I have some configuration locally that is messing with it? I've attached a screenshot of AAPL on a 3 min footprint at end of day today. The left side is the original SC feed, the right side is the new NQTV feed. First thing I noticed was the differences in volume on each bar. The 15:57 bar for SC feed is 2.25M shares while the NQTV feed is 636.6K shares. That is a massive difference and the NQ feed is significantly lower. The bar before that, the 15:54 bar, the SC feed total is 1.53M and the NQTV feed shows only 435K. I'm wondering if you're able to see the same results as I do above? My thesis here is that the NQTV feed volume is coming over as one tenth of what it actually represents. Please see the following screenshots for supporting evidence of this: The NQTV feed's 9:30am AAPL 3-minute bar shows only 400K but actual volume was closer to 4M. This means the NQTV vol is coming over as one tenth of its actual volume, right? Edit: Unless there's some other setting I have set (in global symbol settings?) that's causing this? Would need confirmation from other SC users trying to repro this. Date Time Of Last Edit: 2022-02-02 04:26:52
|
| aapl eod sc vs nqtv feed volume.jpg / V - Attached On 2022-02-02 02:29:21 UTC - Size: 359.5 KB - 224 views aapl eod sc vs nqtv feed volume 2.jpg / V - Attached On 2022-02-02 02:29:26 UTC - Size: 496.07 KB - 165 views |
| [2022-02-02 06:49:59] |
| |
|
This issue is resolved: How to Use New NASDAQ Total View Data Feed 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 |
| [2022-02-02 13:33:59] |
| MalyKubo - Posts: 15 |
|
Looks like footprint now shows correct volume for NQTV and nonNQTV symbols. Thank you for fixing this. But there seems like to be an issue with premarket volume. Or it has to do something with quote board. Although volume study on chart is showing 0. Will observe volume after market open. Please see the picture attached. Took at 8:30AM ET |
| QBPreMarket.png / V - Attached On 2022-02-02 13:33:40 UTC - Size: 11.16 KB - 159 views |
| [2022-02-02 14:10:14] |
| |
|
What do you mean by this: nonNQTV symbols.
There have been no changes to the existing stock 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-02-02 14:50:48] |
| MalyKubo - Posts: 15 |
|
Sorry I meant normal symbol without -NQTV. Symbol from existing stock data. My footprint chart has only RTH session on. So premarket I saw yesterday's session and AAPL and AAPL-NQTV had same volume. But after session started today, there are some differences. Please have a look on attached screenshot. Left chart is AAPL and right is AAPL-NQTV. 21:57 bar is when yesterday's session ended. 2-2 bar is today's open I have set volume multiplier for both symbols to 0.001. So thats why volume per bar looks low. With volume multiplier set to 1: AAPL at session open bar did 925k volume AAPL-NQTC at session open bar did 264k volume |
| FPDiff.png / V - Attached On 2022-02-02 14:50:42 UTC - Size: 128.75 KB - 162 views |
| [2022-02-02 19:22:08] |
| frozentundra - Posts: 94 |
|
This issue is resolved:
How to Use New NASDAQ Total View Data Feed Just wanted to report back that I'm still seeing oddities. Here is one example: RIVN ls vs nqtv.png ---> 1 min candles on RIVN. Lightspeed reporting 15K shares and NQTV only reporting 2K. Looks like there is a release going out tonight that may address some of this based on this thread: How to Use New NASDAQ Total View Data Feed | Post: 293994 |
| RIVN ls vs nqtv.png / V - Attached On 2022-02-02 19:20:00 UTC - Size: 104.29 KB - 180 views |
| [2022-02-07 16:24:58] |
| frozentundra - Posts: 94 |
|
1 minute NQTV volume compared to 1 minute volume bars from Lightspeed direct access broker platform. The volume totals are significantly different from each other, NQTV reporting roughly one tenth of the volume that Lightspeed is reporting. Wondering if anyone else is seeing this, on any other platforms, or is it just me? |
| nqtv versus lightspeed.gif / V - Attached On 2022-02-07 16:24:52 UTC - Size: 4.25 MB - 160 views |
| [2022-02-07 16:43:38] |
| ev_er - Posts: 1 |
|
Frozentundra - you're not only one seeing this. I have compared -NQTV volume of some stocks with the volume from other sources and it is as you are saying - -NQTV volume is about 1:10 lower :/ |
| [2022-02-07 17:51:34] |
| MalyKubo - Posts: 15 |
|
Same here Also no daily change in QuoteBoard |
| AAPLQB.png / V - Attached On 2022-02-07 17:50:55 UTC - Size: 5.63 KB - 158 views Attachment Deleted. |
| [2022-02-08 15:22:44] |
| frozentundra - Posts: 94 |
|
@MalyKubo - yes, seeing the same here. All the NQTV symbols are significantly lower/wrong on the daily volume amounts compared to the SC feed. I'm going to need to switch back to the old feed until this is addressed/resolved, the difference in volume is too significant. |
| nqtv volume vs SC feed volume.jpg / V - Attached On 2022-02-08 15:21:27 UTC - Size: 43.93 KB - 178 views |
| [2022-02-08 15:57:20] |
| |
|
We do not think there is anything to resolve here. It would be unlikely there is anything wrong. This is the volume that the NASDAQ TotalView data feed is providing.
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 |
| [2022-02-08 16:07:43] |
| frozentundra - Posts: 94 |
|
We do not think there is anything to resolve here. It would be unlikely there is anything wrong. This is the volume that the NASDAQ TotalView data feed is providing.
Understood, thank you. When would the combined tapes feature go live, is there an ETA on that? I'm referring to this post here: How to Use New NASDAQ Total View Data Feed | Post: 294318 Because TotalView does not solve volume information requirements we are adding Nasdaq Basic with NLS plus, this will show the full SIP (Securities Information Processor) consolidated volumes (SIP = CTA + UTP) , so Tapes A, B, and C (which is what UTP is sometimes called) and so will match volumes that users see on Yahoo for example.
Today BarChart offer Top of Book US Equities data via the Sierra Chart Exchange Data Feed, but only CTA Tapes A & B, so its missing a significant piece of the consolidated volume, UTP. So we will shortly be able to release the volume data that users have been asking for all these years, again we will get the raw datafeed directly from Nasdaq and control the entire process, the end result will be the highest quality integration we can achieve. |
To post a message in this thread, you need to log in with your Sierra Chart account: