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Volume Spike on MT start with TDA data feed


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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.

 

 

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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.  

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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.

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