Should you ignore trades with size less than 100 in your data feed?

Discussion in 'Data Sets and Feeds' started by Luke_4466, Oct 15, 2021.

  1. I am currently testing data feed from Finage for real time tick data ( stock NASDAQ and NYSE, Price, Size and Timestamp, realtime feed ). Since they updated their data feed, it is now providing more data than before, which is a good thing. They actually provide more data than Interactive Brokers.

    My question is, since they provide also trades which are smaller size than 100, while Interactive Brokers and also TradingView ( when comparing 1s candles ) both ignore smaller trades than size 100 completely ( ie they dont get aggregated or moved to other candles etc, they are completely ignored ).
    My question is, when you are creating ohlc, would you use these smaller trades or ignore them as well?
    I am not sure, since using small trades could mean that trade of size 1 could for example set your high or low price for the candle, while IB or TW would use to set high or low only trade which was at least 100.

    Here are some data for comparison. You can see that if you would delete all trades from Finage with size under 100, you get exactly same trades ( IB data match exactly TradingView )

    Finage AAPL Time: 20211015 23:26:39 Price: 144.88 Size: 20 Exchange: 4
    Finage AAPL Time: 20211015 23:26:39 Price: 144.875 Size: 1 Exchange: 4
    Finage AAPL Time: 20211015 23:26:40 Price: 144.88 Size: 1 Exchange: 4
    Finage AAPL Time: 20211015 23:26:40 Price: 144.875 Size: 1 Exchange: 4
    Finage AAPL Time: 20211015 23:26:43 Price: 144.88 Size: 3 Exchange: 4
    Finage AAPL Time: 20211015 23:26:44 Price: 144.87 Size: 72 Exchange: 4
    Finage AAPL Time: 20211015 23:26:44 Price: 144.87 Size: 2 Exchange: 4
    Finage AAPL Time: 20211015 23:26:46 Price: 144.87 Size: 1 Exchange: 4
    Finage AAPL Time: 20211015 23:26:47 Price: 144.87 Size: 1 Exchange: 12
    Finage AAPL Time: 20211015 23:26:48 Price: 144.87 Size: 12 Exchange: 12
    Finage AAPL Time: 20211015 23:26:53 Price: 144.88 Size: 5 Exchange: 4
    Finage AAPL Time: 20211015 23:27:00 Price: 144.86 Size: 4 Exchange: 4
    Finage AAPL Time: 20211015 23:27:05 Price: 144.87 Size: 38 Exchange: 11
    Finage AAPL Time: 20211015 23:27:05 Price: 144.87 Size: 25 Exchange: 11
    Finage AAPL Time: 20211015 23:27:05 Price: 144.86 Size: 157 Exchange: 8
    Finage AAPL Time: 20211015 23:27:05 Price: 144.86 Size: 232 Exchange: 11
    Finage AAPL Time: 20211015 23:27:05 Price: 144.86 Size: 51 Exchange: 12
    IB AAPL Time: 20211015 23:27:05 Timestamp: Price: 144.86 Size: 157 Exch: DRCTEDGE
    IB AAPL Time: 20211015 23:27:05 Timestamp: Price: 144.86 Size: 232 Exch: ARCA
    Finage AAPL Time: 20211015 23:27:14 Price: 144.9 Size: 4 Exchange: 4
    Finage AAPL Time: 20211015 23:27:15 Price: 144.9 Size: 1 Exchange: 11
    Finage AAPL Time: 20211015 23:27:17 Price: 144.87 Size: 10 Exchange: 4
    Finage AAPL Time: 20211015 23:27:20 Price: 144.8999 Size: 1000 Exchange: 4
    Finage AAPL Time: 20211015 23:27:21 Price: 144.885 Size: 1 Exchange: 4
    IB AAPL Time: 20211015 23:27:20 Timestamp: Price: 144.9 Size: 1000 Exch: FINRA
    Finage AAPL Time: 20211015 23:27:27 Price: 144.88 Size: 6 Exchange: 12
    Finage AAPL Time: 20211015 23:27:28 Price: 144.885 Size: 1 Exchange: 4
    Finage AAPL Time: 20211015 23:27:33 Price: 144.9 Size: 1 Exchange: 4
    Finage AAPL Time: 20211015 23:27:37 Price: 144.89 Size: 67 Exchange: 11
    Finage AAPL Time: 20211015 23:27:37 Price: 144.9 Size: 67 Exchange: 8
    Finage AAPL Time: 20211015 23:27:37 Price: 144.9 Size: 366 Exchange: 11
    IB AAPL Time: 20211015 23:27:37 Price: 144.9 Size: 366 Exch: ARCA
     
    murray t turtle likes this.
  2. terr

    terr

    I think it is really up to you. Some feeds do not take sub-round-lot trades into account. Some do. I would take them into account - especially on expensive stocks, 100 shares is a big $ amount so people do trade less than round lots, even professionals.
     
    murray t turtle likes this.
  3. is the tether owner the richest person in the world? He is fed.
     
  4. Hello Luke

    I sent you a message. Thanks for your reply! ++

    By the way, regarding your issue: you should use a data feed that provide the trade condition. It will help you, among other things, to know if the trade is elligible to a open/high/low/close candle. Without this, you have a high probability of a "spike attack". That is to say, integrating in your candle calculation, past trades with old prices that have nothing to do with the current prices.
     
  5. Trade conditions are very complex. There are lots of them and they mean different things when there is a particular combination of trade conditions on a trade. If anyone has a reference to the correct way to handle all trade conditions to produce the type of 1-min candle chart you see on most retail platforms, please post it.
     
  6. qlai

    qlai

    There’s no “correct” way, it’s up to the platform to decide how to interpret them. However, it’s rare to have a trade where a combination of conditions creates a conflicting interpretation.
     
  7. @FreeGoldRush @qlai

    If i understand your question correctly, there is no complexity how to construct bars. If you get real time tick data, its straightforward to create identical bars to InteractiveBrokers and TradingView. But of course you can look at other charting provider and they might have different bars to TW and IB, so it depends what you are comparing it to.
    I consider TW one of the biggest charting provider and IB one of the largest brokers in Europe. They both have identical bars and its possible to match those bars exactly with real time tick data.

    The other question is tho, should you trade on those data. Thats where my question is, whether for example including trades with volume under 100 is more relevant and will give more accurate results than trading on data from TW or IB.
     
  8. %%
    REALLY depends;
    99 shares of AMZN is over $330,000.........................................................
    Me i study a forest trend more than any single tree , but do both in ETFs.:caution::caution:
     
  9. It looks like you have not done this yourself. The tick data includes many trades that you do not normally see on your daily charts. Things like late reported trades, cancellations, dark pool trades that trade through NBBO, etc. Processing trade conditions is complex. Places like IB and TD do this before presenting you with nice, neat candles.
     
  10. I am processing real time tick data myself from IB and constructing bars that are same as 1s candles. I have said this several times already in this thread. I am assuming you are talking about other levels of data? I am not using those, all i know is that when you subscribe to real time tick data from IB, you can construct exact same 1s bars which match IB and those match TW. Its possible that these tick data are already filtered in some way, but i am getting exactly same data from other data providers as well.
    If there are data providers who give you access to this information, i am not sure if thats better since then the 1s bars would not match with IB and TW?
     
    #10     Oct 23, 2021