Comparing Intraday and End-of-Day Volume Feeds

Summary

This indicator compares historical daily volume reported by intraday and end-of-day data feeds. It plots the two series and reports their cumulative intraday-to-end-of-day volume ratio, with visual cues for low ratios and missing data. The purpose is diagnostic: traders who rely on volume can identify instruments where the feeds differ substantially and investigate what those differences mean for their market and provider.

The author explains that feed discrepancies can reflect reporting policies, excluded trade types, or different measures such as traded volume versus tick counts. The ratio is not presented as a validated trading signal, and interpreting a higher value as more representative is explicitly speculative. The calculation is intended for daily charts or lower timeframes, but the author recommends daily charts because coverage and results can vary with the intraday timeframe and dataset. It uses historical bars only; real-time feed behavior may differ. Missing values and cases where intraday volume exceeds end-of-day volume also require independent investigation.

Key ideas

• The indicator compares daily volume from intraday and end-of-day feeds and displays their cumulative ratio.
• Feed differences can arise from reporting rules, excluded trades, or distinct volume definitions.
• The ratio is a diagnostic clue, not a proven measure of data quality or a trading edge.
• The author recommends daily charts because results can vary with timeframe and dataset coverage.
• Historical comparisons do not establish how the feeds will differ in real time.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.