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Discrepencies in tick volume #25

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samarv opened this issue Mar 15, 2017 · 0 comments
Open

Discrepencies in tick volume #25

samarv opened this issue Mar 15, 2017 · 0 comments

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@samarv
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samarv commented Mar 15, 2017

@giuse88 thank you for creating this wonderful library.

so, I downloaded data using - duka ADSDEEUR -d 2016-02-03

and data looks somewhat like this -

00:46.5 0.942 0.94073 120000 120000
00:54.1 0.9419 0.93991 120000 120000
00:55.1 0.9418 0.93981 120000 120000
00:58.1 0.9418 0.93991 120000 120000
00:59.2 0.9418 0.93981 120000 120000
01:00.2 0.94175 0.94 120000 120000
01:01.2 0.94165 0.9399 120000 120000
01:02.3 0.94155 0.9397 120000 120000
01:03.4 0.94145 0.9397 120000 120000
01:08.4 0.94145 0.9398 120000 120000
01:09.5 0.9415 0.9398 120000 120000
01:12.8 0.94145 0.94 120000 120000
01:13.8 0.94149 0.9399 120000 120000
01:14.8 0.94148 0.94 120000 120000
01:15.9 0.94145 0.94 120000 120000
01:18.0 0.94145 0.9399 120000 120000
01:19.1 0.94148 0.9398 120000 120000
01:21.1 0.94146 0.9398 120000 120000
01:23.6 0.94145 0.94 120000 120000
01:24.7 0.94148 0.9399 120000 120000
01:25.7 0.9415 0.93991 120000 120000

So, I think bid and ask volume is wrong.

it's not the only instance, if i use duka ALVDEEUR -d 2017-03-14

This is the data, i get -

00:15.3 1.70152 1.69792 57 56
00:15.9 1.70102 1.69793 57 110
00:16.8 1.70102 1.69799 57 140
00:17.4 1.70109 1.69796 57 140
00:17.5 1.70155 1.69849 59600 120
00:17.5 1.70156 1.69842 57 130
00:18.7 1.70157 1.69843 57 170
00:19.5 1.70157 1.69845 57 190
00:21.0 1.70103 1.6984 57 73
00:21.8 1.70057 1.6984 150 44600
00:22.1 1.70006 1.69844 150 13
00:22.5 1.69957 1.6984 150 44600
00:22.8 1.69957 1.69793 150 23
00:25.2 1.6996 1.6959 150 57
00:26.0 1.6991 1.6958 150 44600
00:27.1 1.69808 1.69646 150 60
00:27.4 1.69806 1.69643 150 85
00:28.4 1.69802 1.6964 94 85
00:45.1 1.69809 1.69641 94 60
00:50.7 1.69805 1.69639 94 44600
00:52.3 1.69806 1.69689 94 67
00:52.4 1.69805 1.69529 150 44600
00:53.4 1.69805 1.69489 150 57
00:55.8 1.69808 1.69542 150 13
00:56.8 1.69808 1.69644 150 40
00:57.8 1.69808 1.69646 52 40
01:00.0 1.69805 1.69645 110 40
01:01.2 1.6971 1.69644 59600 31
01:02.0 1.69853 1.6969 59600 91

I think, there's something wrong with volume data here as well, because, i am getting these huge volumes with different bids that persist through out day. this thing seems true for every stock and most of the day

So, any ideas on what's going on?

thanks.

P.S - I know, this is not an issue with library. but i couldn't find stack overflow category, this would fit in. so, yeah! any help is really appreciated.

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