Volume discrepancies

["Larry Sanders" <sanders@xxxxxxxxxxxx>]

I've been having problems with volume data for some time.  Perhaps you might
have some ideas.

Running TS2K with a feed from ESignal, the volume on intraday bars is higher
than for a previous day for the same symbol that has been refreshed by a
download from Historybank.

This is so consistent that I began suspecting the Historybank volume data
and after repeated requests to Omega to fix this, they suggested trying
TradestationPro.  TSPro seems to have consistent data from day to day but
there is still an anomaly.

To get the sum of the intraday data I use this this code with TS2K and
TSpro:

{
Volume Check
See if daily volume agrees with the sum of intraday volume
}
var: cumVol(0);
if date > Date[1] then
 cumVol = V
else
 cumVol = cumVol + V;

Plot1(cumVol/1000, "CV");
_____________________________________

For other data sources are just a manual sum of the 60 minute bars.

Here are some results for JNPR on 1/24/2001
Volume is in 1,000's)

Esignal 60 Min              16,040
Esignal Day                     17,300
Good intraday volume - this is using eSignal's program after the end of the
day.

TS2K-Esignal 60 Min         4,370
TS2K-Esignal Day             17,233
A 4:1 error  - this is from eSignal feeding TS2K during the day.

Quote.com 60 Min         15,029
Quote.com Day             17,282
Good intraday volume - using Quote.com after the trading day

HistoryBank 60 min      1,853
HistoryBank Day         17,395
A 9:1 error - TS2K after History bank download.  This data replaced the TS2K
w/eSignal data.

TS Pro                     8,258
TS Pro Day             17,286
A 2:1 error - TSPro after the trading day

The fact that eSignal after hours is so good suggests that they have a good
feed from the exchange.  The fact that eSignal feeding TS in bad suggests
that their server farm cannot deliver the full stream over the internet  -
I'm using and ISDN line, and that never seems to use the full capacity.

Neither Historybank nor TS Pro perform at all right.  They ought to be as
good as eSignal or Quote.com since they appear to be very similar in
concept.

I originaly noticed this problem some months ago - 5 minute bars looked well
connected during the day from an ESignal feed but after a Historybank
download looked disconnected as if data was missing.

At that time I reported the problem to Omega but they have been very
unresponsive.  However, it is only lately that I've quantified the errors.


Larry Sanders