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timtrader

Extra Trades Showing

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timtrader    2

I’ve seen this issue for quite some time so I’ll explain it as best as I can.  This issue is most noticeable on the Raw Data windows, but also shows on the volume bars of the intraday charts.  It is usually only noticeable on the higher volume issues.  At some point during the day, what looks like extra trades begin showing in the Raw Data window.  These extra trades always show immediately after a new “real” trade comes in and has the same exact time as the “real” trade, or 1 second later.  The extra trade will always show the same time (or 1 second later), price, and Bid/Ask values as the real trade displayed just before it, but will show a relatively high trade volume.  In the left Raw Data window below, you’ll see multiple trades with a volume of 21,405 (the extra trades).  Looking at the right window below (IQFeed app), you don’t see the extra trades at all.  (Using an app from TD Ameritrade, I also don’t see the extra trades.)  These extra trades  don’t show up after EVERY real trade, but only occasionally, usually when there are a lot of trades coming in quickly.  Scrolling through earlier data from the Raw Data window, I see extra trades with volumes of “20,105”, “19,365”, “19,144”, “18,984”, “18,891”, “18,281”, “18,201”, “17,801”, “17,305”, “16,930”, “16,880”, “16,315”, “15,855”, etc.  So, you can see that the volume of the extra trades keeps getting larger throughout the day.   

Raw%20Data%20trades%20repeating_zpsnuw2d

 

When these extra trades come in, they also affect the volume bars of the chart, but only for about a half-second.  When this happens the volume initially shows on the chart, and then it appears to correct itself (the latest volume bar increases in height when an extra trade comes in, then shrinks back down as if the trade never occurred).  This is especially noticeable on my 15-second charts, but I also see it on my 3-minutes charts.  With my mouse hovering over the current volume bar, I can sometimes see a negative volume amount in the tracing window when the volume corrects itself .  (See the negative “-4,857” in the example below.)

Chart%20Negative%20Volume_zps2fjd5sfq.jp

 

Anyway, it makes the flow of the trades hard to follow when some of the trades in the Raw Data window aren’t real, and the chart volume bars are going both up AND down.

I’m emailing you an export of my current settings, log, and DATA files.  I cleared the data file before opening MT this morning, so it is only about 45 MB before the export compressed it down to a manageable size.

Please let me know if there is any other information I can provide you with that may be helpful.

Thanks,
Tim

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Jerry Medved    266

You have raw data filtered. If you turn off the filtering, you will notice that there are negative volume entries which would be due to data coming in from multiple datafeeds at the same time. I will look at the log you sent to get more detail

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timtrader    2

I see.  I have the filtering on to just show trades....didn't want to see the entries for when the Bid/Ask changes without a trade.  If there was a way to only use my IQFeed data for Raw Data, charts and portfolios, that would be ideal.  I really only need the TD Ameritrade data for balance information in the Account view window.  I believe all portfolio columns are available from IQFeed.  I seem to recall you mentioning that MT calculates some of those portfolio columns, but I often see the IQFeed data being overwritten by those calculations, sometimes resulting in different values.  That kind of defeats the purpose since IQFeed data is so fast.  There's very little data I want from the broker.

Thanks,
Tim

 

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