Technical question for day traders

two_iron

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I've posted here in the past and stated that I'm a day trader. My son and I are building an app to trade automatically using the TDAmeritrade API. I'm stuck on one issue and really need some help. I've tried other places, including TDA with no luck. Thought I'd give it a try here.

The API gives us streaming data and historical data. We trade 1-min candles. The streaming (or on-the-fly) volume data does not add up to the volume posted at the close of the 1-min candle. For instance, we're monitoring ROKU and it's 12:05pm EDT.... the streaming data, which gives us every transaction (Last Price and Volume of trade) as it occurs on the fly may show a total volume of 35,000 shares trades between 12:05 and 12:06. However, the historical data, as the 12:05 candle closes and becomes history, may show a total volume of 31,440 shares for that same minute. They are parsing our some of the trades that come in. The historical volume data from this TDA API agrees with all other historical charts (Yahoo, ThinkorSwim, Schwab, Barchart.com, etc.). In other words the parsing is a protocol that all brokers comply with.

I spoke with TDA and their best guess was that "odd lots" are parsed out (not counted) in the official trade history. That sounded great, but after experimenting with it, that is not the answer. Odd Lots are any trades with less than 100 shares. There are not enough Odd Lots in a minute of trading to make up the difference we are seeing between the sum of the streaming volume and historical data that is posted 1 second after the finish of the 1-min candle. I've looked at "Mixed Lots" (over 100 shares but not a multiple of 100, such as 3140 shares) and dropped the odd shares off but that doesn't work either.

My question in a nutshell - What data "prints to the tape", i.e. is officially incorporated into all the stock charts that all agree with each other? Moreover, what data is excluded and does not print to tape. Is it related to odd lots? lot sizes? different exchanges?

I realize this is technical and I apologize if it's over the head of most casual investors. But if you can help, I sure would appreciate it and I'll WILL an expensive sports car to show up in your driveway with the keys and the title on the front seat. I'll do my best anyway.

Thank you and happy trading!
 

HaShev

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I've posted here in the past and stated that I'm a day trader. My son and I are building an app to trade automatically using the TDAmeritrade API. I'm stuck on one issue and really need some help. I've tried other places, including TDA with no luck. Thought I'd give it a try here.

The API gives us streaming data and historical data. We trade 1-min candles. The streaming (or on-the-fly) volume data does not add up to the volume posted at the close of the 1-min candle. For instance, we're monitoring ROKU and it's 12:05pm EDT.... the streaming data, which gives us every transaction (Last Price and Volume of trade) as it occurs on the fly may show a total volume of 35,000 shares trades between 12:05 and 12:06. However, the historical data, as the 12:05 candle closes and becomes history, may show a total volume of 31,440 shares for that same minute. They are parsing our some of the trades that come in. The historical volume data from this TDA API agrees with all other historical charts (Yahoo, ThinkorSwim, Schwab, Barchart.com, etc.). In other words the parsing is a protocol that all brokers comply with.

I spoke with TDA and their best guess was that "odd lots" are parsed out (not counted) in the official trade history. That sounded great, but after experimenting with it, that is not the answer. Odd Lots are any trades with less than 100 shares. There are not enough Odd Lots in a minute of trading to make up the difference we are seeing between the sum of the streaming volume and historical data that is posted 1 second after the finish of the 1-min candle. I've looked at "Mixed Lots" (over 100 shares but not a multiple of 100, such as 3140 shares) and dropped the odd shares off but that doesn't work either.

My question in a nutshell - What data "prints to the tape", i.e. is officially incorporated into all the stock charts that all agree with each other? Moreover, what data is excluded and does not print to tape. Is it related to odd lots? lot sizes? different exchanges?

I realize this is technical and I apologize if it's over the head of most casual investors. But if you can help, I sure would appreciate it and I'll WILL an expensive sports car to show up in your driveway with the keys and the title on the front seat. I'll do my best anyway.

Thank you and happy trading!
Could it be short trading is not being counted in?
 
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two_iron

two_iron

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I dont think so my friend. But I will check that out. Each trade has a buy or sell tick associated with it, but the volume is considered positive since there is always a buyer on one side of the trade. I think it has to do with the various exchanges and dark pool trading. My guess is that some of the more obscure exchanges deal only in dark pool (anonymous) trading and their trades should be ignored even though it's included in the raw data. It can't be too complicated because every broker ends up with the exact same volume on each candle, in agreement with each other. Thanks again friend.
 

justinacolmena

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I'm a day trader. My son and I are building an app to trade automatically using the TDAmeritrade API. I'm stuck on one issue
Dude they're full of shit with those APIs. Limit, stop trades etc. don't execute as "guaranteed." The orders are simulated by a quote-and-market-order computer program, and the house fudges to make up the difference on a poor execution.
Odd Lots are any trades with less than 100 shares. There are not enough Odd Lots in a minute of trading to make up the difference
Nobody gives a shit about "odd lots" or not. However many shares you buy or sell, that's how many shares it is. The house is trying to generate a horse-race excitement appeal to the "odds" in the market for beginning investors who need a little psychological "inducement" to get started with a few shares of some stock or another.
 

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