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V or volume in TS only counts upticks in tick and minute charts, not
downticks. You must change V in your code to (upticks + downticks). Then
my eSignal volume for 60 min. is 16,295K and for the daily chart is
17,373K. From DialData the value is 16,162K
Also, if the corrected code is applied to a 1 tick chart, where the
volume is listed at half its actual value (why does Omega do this?) the
volume must be multiplied by 2.
wayne
> Subject: > Volume discrepancies
> Date: > Fri, 26 Jan 2001 14:11:18 -0700
> From: > "Larry Sanders" <sanders@xxxxxxxxxxxx>
> To: > "Omega-List \(E-mail\)" <omega-list@xxxxxxxxxx>
>
>
> 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
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