"Volume Discrepancies in Different Platforms - Why?"
By Dave Mabe
Here's a question about volume data from Don L. (name used with permission, edited lightly for clarity).
Don L.
I've been comparing the volume data in Amibroker w/ IQFeed and in my charting software (I use TradingView and Thinkorswim) and see quite a disparity in the daily volume. For instance, I was looking at today's biggest % Nasdaq gainers (like ELAB and ALMS) and comparing the charts in Amibroker and my charting software. ALMS in Amibroker was showing a significant difference in volume compared to TradingView.
Is this a limitation in my setup configuration? Ideally, I want to make sure I'm not missing potential opportunities.
Dave:
Very astute observation, Don.
You've identified one of the annoying things about datafeeds and platforms.
There's no standard way volume is counted across the industry.
It is a bit jarring for traders when you stumble upon this, but once you understand what's going on, it's not cause for concern.
Here's what's happening.
Traditionally, odd lots and sub-100 share trades were relatively rare and thought to be made by unsophisticated investors.
So many platforms simply excluded them in their volume counts.
As commission prices went down over time, it started making sense for big players to break up large trades into lots of smaller trades for the purposes of efficiency (and other reasons).
Add fractional share trading on top of this, plus a wave of additional investors participating in the markets now, and sub-100 share trades account for an increasing portion of the volume in stocks.
Because of their increased importance, it no longer makes sense to exclude them for volume calculations.
But several platforms have been around forever and have been counting volume in the traditional way.
So now you have basically two ways to count volume.
So what does that mean for traders?
As long as you understand what's going on and your platform is consistent, then it shouldn't be a problem.
The only issue might be if you decide to filter on raw volume in your backtesting platform and then apply that filter in real time when the platforms use different volume calculations.
In that situation, choose a filter/column that's normalized (like Relative Volume), and you should be fine.
Great question, Don - thanks for sharing with the list.
-Dave
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