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Options Trade Volume Error


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Watching unusual options activity on WDC today.

Reported at iHub the volume I saw at three strikes.

After the close, two of the strikes remained as showing high volume, but the third one did not.  So ... I thought maybe I made a mistake, so I checked volume at E*Trade.  Well, their numbers agreed with mine, but not MT.

WDC according to my earlier numbers and verified at E*Trade:
$77.50    1,278
$80.00    1,451
$82.50    1,259

MT numbers:
$77.50    27
$80.00    1,451
$82.50    1,259

Changing the source of the data made no difference.

The serial number on my MT seems to be the latest release.

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what quote source are you using in MT?

As for changing the quote source, doing so without either clearing the data for the symbol or at least clearing the most current rows on the raw data won't change anything since the new quote will probably be older than what is already in MT and thus ignored.

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I checked TD Ameritrade - 27 is the volume that they return for .WDC_170127C77.5

This is not an MT issue - it can only show what the datafeed returns. If you go on the TDA site, and on that floating quote panel on the bottom type in WDC, then hit CHAIN on the right side, it also shows 27 (same datafeed). 

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If you saw that number at the TDA site, then it is a TDA problem.

I think that is what you are saying.  The number was much larger earlier in the day, so it is a type of error that is easily detect.

Then I would say that they ought to have a means of automatically monitoring the integrity of their data, then immediately fix the problem or send a message out to users that there is a problem and that they are working on it and when they expect to have it resolved.

It seems like forever that I've had similar data problems with Yahoo stock quotes.  It's gotten a lot better, but they still have occasional problems.  So, because of all the problems I've had with Yahoo data, I wrote code that checks data integrity for everything I import into Excel, and that's a few years of historical (and current intraday) data on over a hundred symbols every day.  There is no error I can't detect, unless it's a small accuracy error.  When an error is detected, the background color of the cells containing the bad data and the symbol of the stock is changed to red.  Apparently Yahoo doesn't do integrity checks and, instead, counts on users to report problems

One of Yahoo's greatest data blunders is leaving a historical data file open for read access by anyone seeking to download the data while the file is being updated every night.  They didn't have the common sense to disallow access until all updating was done.  Furthermore, they are so stupid that they would rewrite the whole history file every night for every symbol, most of the time containing many years of data.  Apparently they don't understand the concept of appending the current day's EOD data to their hoard of historical data.  So, who would Yahoo blame for their historical data problems?  The data vendor.  Stupid!  Yahoo already has all the history -- all they need to do is append the current EOD data!

Okay, I'll try to keep my rants to myself in the future.

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