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I have been working with IBK before and switch now to QuantConnect. The first part of my IBK Algorithm that I switched over to QuantConnect relies heavily on Volume. I had to discover that historical Data for Volume differs between IBK and QuantConnect. Here is one example:
‘AAL’ daily Volume for 11-18-2022:
IBK : 22,422,000
QunatConnect: 25,028,137
To complete my confusion, finance.yahoo gives yet another value: 25,968,300
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Louis Szeto
Hi Melanie
As far as I know, Yahoo also includes extended market hour volume. If you wish to account for that, check this doc on how to do so.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Melanie Schiefele
Hi Louis,
Thank you for your comment.
This at least explains the difference to finance.Yahoo data.
Thanks,
Melanie
Melanie Schiefele
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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