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I am tring to use a system that depends on volume information. I am
not sure how to get correct volume data into AmiBroker. I can use two
methods of getting data into Amibroker.
1. QuoteTracker(using several different brokers)
2. Interactive Brokers
If I am using QuoteTracker, in looking at the Raw Data in QT you can
see negative numbers in the volume column. AmiBroker will ABS(volume)
the negative numbers and add it to amibroker. This will inflate the
volume numbers in Amibroker. QT documentation states: "A negative
volume indicates that a quote came in with a later time stamp and a
lower total volume than the previous quote. This most likely
indicates a correction to total volume from the data provider and can
be seen often at market open as the volume is reset." Any ideas on
how to correct this.
If I use Interactive Brokers as a data provider the volume does not
coincide with other data providers volume numbers, the volume numbers
are normally lower. This can very from being spot on to 9% off. Plus
IB divides their volume by 1000 when they report it and they don't
include odd lots.
Has anyone run accross this?
Dan
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