BlueCollarDayTrading Posted January 5, 2015 Report Share Posted January 5, 2015 When I start MT during the trading day I get a volume spike that is not valid. IF I clear the data and refresh the spike changes to the current time. I am using the TDA data feed. This does not seem to happen when I have MT running prior to the market start. I try to use Spike Removal to fix it but it does not seem to work. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted January 5, 2015 Report Share Posted January 5, 2015 Are you using TD Ameritrade for backfill as well as Level I quotes? What symbols? You cannot remove spikes by deleting entries. You can only do it by filling in the data. MT is showing you the difference in cumulative volume between one quote and the quote before it. If you delete records, then you are actually making the spike larger. If you just start MT in middle of the day, or start tracking a symbol in the middle of the day, then the first volume bar would have all the volume for the day in it. When you backfill, it should get correct values, though there may be small discrepancy at the point where the backfill data meets the real-time data. If that spike is large though, that would imply that there is a significant discrepancy between the cumulative volume returned by the intraday quotes and backfill. Quote Link to comment Share on other sites More sharing options...
BlueCollarDayTrading Posted January 5, 2015 Author Report Share Posted January 5, 2015 I am using TDA for backfill and level 1 quotes. All symbols in my portfolio and watchlist. The volume spike shows at the same time on all symbols. The only work around I have found is to keep MT running 24/7 and that is not favorable in my view. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted January 5, 2015 Report Share Posted January 5, 2015 Can you please give some symbols as examples of "all symbols" and email a picture of a chart showing the spike. Thanks Quote Link to comment Share on other sites More sharing options...
BlueCollarDayTrading Posted January 6, 2015 Author Report Share Posted January 6, 2015 I will have to do it tomorrow, because to fix the problem I cleared all data for today and backfilled them after market closed around 330 today. So I will recreate it tomorrow and send you an email Quote Link to comment Share on other sites More sharing options...
BlueCollarDayTrading Posted January 6, 2015 Author Report Share Posted January 6, 2015 What email address do I send the pictures Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted January 6, 2015 Report Share Posted January 6, 2015 support. In MT, under FILE / HELP / Email to Support Quote Link to comment Share on other sites More sharing options...
BlueCollarDayTrading Posted January 6, 2015 Author Report Share Posted January 6, 2015 send the pictures Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted January 6, 2015 Report Share Posted January 6, 2015 this issue is very clearly with TD Ameritrade data. Even with requesting Extended hours, the data returned by the Backfill request has lower cumulative volume than the current Level I quote. I did this for example: Opened Raw data on SPY and set it to show TOTAL VOLUME (on VIEW tab) Closed chart. Stopped quotes Cleared all data. Now I backfilled SPY. topmost record in Raw Data shows 96,021,961 as the volume I immediately start quotes Total Volume on the quote at the time is 106,346,853 the spike you see on the chart is the difference between the two. This is very clearly a problem with TD Ameritrade data, not a bug in the software. When I backfilled with IQFeed for SPY, the backfill data volume matched the realtime. I don't really see anything we can do about this on the client side. This should be fixed on the servers. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted January 6, 2015 Report Share Posted January 6, 2015 We will be adding Spike Filtering for price and volume so that the spike wouldn't mess up the scale. 1 Quote Link to comment Share on other sites More sharing options...
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