Rithmic Volume is different from TS volume

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justme
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Rithmic Volume is different from TS volume

Postby justme » 08 Jan 2015

Hi, new to MC. Just noticed that the volume In KCH15 that is being reported through Rithmic is different from what I see in TS. What are your thoughts on this?
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orion
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Re: Rithmic Volume is different from TS volume

Postby orion » 10 Jan 2015

TS filters out some ticks and so ticks you get are not all the ticks at the exchange. However, in your case, it is Rithmic volume that is lagging. I have not looked at Rithmic but question to ask would be whether Rithmic also filters out some of the ticks and with a different filter criteria than TS?

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MAtricks
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Re: Rithmic Volume is different from TS volume

Postby MAtricks » 12 Jan 2015

It's been a while since I looked into this so forgive me if I get some of the details off.

It's how the volume quotes are quoted. Rithmic quotes up and down volume separately. TS quotes them both summed together as Up volume only.

orion
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Re: Rithmic Volume is different from TS volume

Postby orion » 12 Jan 2015

Its unlikely to be an up volume and down volume issue since his Rithmic volume is lagging TS volume by 5%. If it was a matter of up volume and down volume being reported differently vs consolidated, the difference would be much greater.

I recently spent an inordinate number of hours comparing TS with an institutional data feed that provides all exchange ticks and found that TS filters out roughly 1% of futures ticks and 10% of equity ticks. I wouldn't be surprised if some of the other retail datafeed providers do the same. Did you run into this tick filtering issue and do you know if Rithmic provides all exchange ticks?

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MAtricks
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Re: Rithmic Volume is different from TS volume

Postby MAtricks » 12 Jan 2015

TS is highly filtered at the tick level, Rithmic is not filtered at all.

Check other symbols. I think you'll find it interesting.

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Andrew MultiCharts
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Re: Rithmic Volume is different from TS volume

Postby Andrew MultiCharts » 12 Jan 2015

Hello,

To sum up everything said above: different data providers can give you different data.

justme
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Re: Rithmic Volume is different from TS volume

Postby justme » 15 Jan 2015

Thanks guys for the input.


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