Discussion Forum
Back

Incorrect Daily Volume Data

Hi All!

I'm comparing data, received from my algo and Yahoo, and this is what we have:

for 6/14/2018 we have
  • QC: close: 278.72, volume: 36.97M
  • Yahoo: close: 278.73, volume: 77.098M
for 6/15/2018 we have
  • QC: close: 277.20, volume: 51.24M
  • Yahoo: close: 277.13, volume: 120.143M
for 6/18/2018 we have
  • QC: close: 276.57, volume: 31.25M
  • Yahoo: close: 276.56 volume: 52.918M
Etc.As I have already discovered, we have no data for Pre- and Post- Market volume (for Hour- bars). When we use ExtendedMarketHours we can see that volume of the extended hours is zero.What I'm doing wrong?P.S. There is same issue with Hourly data.
Update Backtest



1 Comment
0

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.

Hi!

The difference in the volumes for Yahoo and QC comes down to that QC data doesn't include data from OTC markets and dark pools. QC uses real-time data, and OTC and dark pool volumes usually are not available in real-time. They'd normally be consolidated at end of day, but as Yahoo shows only daily data, they're able to include this.

0
Update Backtest



0

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.

Loading...

This discussion is closed

Discussion Tags

 

QuantConnect™ 2019. All Rights Reserved

Technology

About

";