For equities on Level 1 TCP, TotalVolume is incremented at all times of the day.
This is especially frustrating when it occurs outside the official market open hours.
In my opinion and many other trading systems this is absolutely wrong.
I can download a hundred trading systems from the Internet and when they ask for Open/High/Low/Close/Volume, they expect data from regular trading hours. Sure, I can include that special broker crossing that was 5% of today's daily volume at 10% higher than the today's close price - but why would I?
The official Nasdaq Stock Market Trading Sessions are:
- Regular Trading Hours from 9:30 a.m. to 4:00 p.m. eastern time
- After Hours from 4:00 p.m. to 6:30 p.m. eastern time
http://www.nasdaq.com/about/schedule.stmMy system adheres to this so I subscribe to Level 1 and process trades and exclude trade ticks where trade type equals ExtendedTrade. My "correct" cumulative trade tick volume is now different to the DTN Level 1 TotalVolume - arrgh!
Now is there a problem? Where did these "phantom" trades disappear to? I didn't receive them so the result is inconsistant numbers between snap quotes and aggregated trade tick analysis.
This is also a problem when calculating VWAP. The standard VWAP benchmark is regular trading hours - 9:30am to 4:00pm for Nasdaq equities. Including pre-market and after-hours trades in my benchmark is wrong. Am I supposed to keep trading until 8:00pm and ask my clients to wait an extra 4 hours until they get their fills and backoffice processing? I don't think so.
Sure, I could do my own TotalVolume summaries in order to correct the problem, but then why bother sending me TotalVolume when I have to calculate this myself?
Is it possible to please consider addressing this? Either don't cumulate ExtendedTrades in your TotalVolume value, or provide an additional Pre-Market Volume value.
Fixing this would make the historical TotalVolume consistant with intraday Level 1 volume. When I request daily ticks from history they start at 9:30am and not whenever the first pre-market trade possibly at 8:00am.
Another thing to consider is providing a way to signal that the official regular market trading hours have begun since the MarketOpen value appears to always be true, even on Sundays.
Maybe a great feature is to publish on the web is an official regular trading session schedule for each symbol or better still for each symbol's listed exchange.