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Here I go again.
Yes, you are correct. I get estimated volume from the squawk box as
well as a final eod number. But the (pseudo) RT volume is still
estimated and may be off by up to 25% from the volume released the
next day by the exchanges. Also I get "RT" bid-ask from the data
vendors during RTH open outcry, but it is so late or sparse that it is
worthless.
Yes, the exchanges have extensive databases for total volume at
specific prices, time & sales, and tick. Check their websites for
info. I think Earl mentioned this a few months ago.
TJ
---Kim Horn wrote:
There has been a number of items in ther list about whether ascii tick
data actually exists. It does !!
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