- ago
How does wealth data calculate volume at end of day? For example, fidelity, tda, IB all say SBUX volume today was 11.75M whereas wealthdata has it at 11.03M. edit: sorry for the title typo.

1
934
12 Replies

Reply

Bookmark

Sort
- ago
#1
Yes, WD may be different:
https://www.wealth-data.com/faq

As for SBUX, maybe @Cone has time to look into it later.
0
Cone8
 ( 28.32% )
- ago
#2
That large of a difference is uncommon, but Wealth-Data regularly filters trades, which can be large volume prints that are not "realizable" trades, statistically. For example, you may see dozens of trades at the inside market (bid/ask), and then a summary print will show up 0.5% away. Wealth-Data would filter those "trades".

If it's a problem for you, we'll bump up the volume for SBUX yesterday to be in line with other providers, but just keep in mind that Wealth-Data is unlike the others! The only piece of data you should expect to agree is the settled Close.

(Currently for WL7 you need to refresh your chart to get the update.)
0
- ago
#3
Cone,

Thanks for the explanation. It's not just that day, it seems almost every day is quite a bit different for a lot of symbols (WD is always under). For example, yesterday's AAPL according to TDA, IB, etc. was 118.9M where as WD had it at 114.1M (almost 5M shares!). It seems to be pretty consistently different as I look back - ~1M shares or so different. WD is fantastic for opening prices, high/low spikes, etc. I truly enjoy WD just trying to wrap my head around how they would be that different in volume traded.

Thanks
0
Glitch8
 ( 12.10% )
- ago
#4
I’d suggest against altering the data on an arbitrary bar unless we know that there was a problem in WD’s processing. It sounds like the filtering of the trades that Cone suggested accounts for the lower volume.
1
Cone8
 ( 28.32% )
- ago
#5
Actually, I was wrong. While I was correct about how Wealth-Data filters prices, we're not giving the same detail attention to volume.

Wealth-Data volume comes from a Daily snapshot summary. For this reason, I'd expect to see W-D volume under reported consistently. I think - but I'm not sure - it's because the other sources include post-market volume.

The hypothesis seems plausible since in my highly statistically significant one case of SBUX on 28 July (tongue in cheek) I can see several 50,000-ish size trades and one 430,331 print at 17:04:05 that could easily account for the 700K share difference between W-D and the other sources.
1
- ago
#6
Thanks for the update.... is there any way (if we want to utilize after hours / pre-market volume) to use volume from a different data source and price data from WD in backtesting?
0
- ago
#7
Assuming you get the data from another historical provider activated in Data Manager. You can refer to a different BarHistory object to get the Volume from. Call GetHistory and specify a DataSet from a different data source (i.e. not W-D):
https://www.wealth-lab.com/Support/ApiReference/IHost

CODE:
var other = GetHistory(bars, "SBUX","My Yahoo DataSet"); WriteToDebugLog(string.Format("W-D: {0}, Other provider: {1}", bars.Volume[bars.Count-1], other.Volume[other.Count-1]));
0
Glitch8
 ( 12.10% )
- ago
#8
To clarify, this will work only if the DataSet you specify is not an Unlinked DataSet. It needs to be linked to the desired Provider when it was created.
0
- ago
#9
Thank you, how would we change an entire dataset from WD to "Other" and not just one symbol?
0
- ago
#10
To change a DataSet you have to pick the other provider while recreating it from scratch.
0
vk8
 ( 57.47% )
- ago
#11
I might jump in a little late to this discussion, but I believe to remember that WD is only using the volume of the primary exchange (mostly the exchange with the highest volume)?
0
Cone8
 ( 28.32% )
- ago
#12
@vk - not correct. The Primary Exchange opening price is used instead of the first trade on any exchange. It doesn't affect the Daily volume.
0

Reply

Bookmark

Sort