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Norgate Premium Data - volume data for US indices

Discussion in 'Software and Data' started by Newt, Jan 29, 2015.

  1. Newt

    Newt

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  2. craft

    craft

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    Richard - if you are about or anybody else that may know.

    Does premium data's EOD data for Australian equities include both Chi-X and ASX volume?
     
  3. Richard Dale

    Richard Dale Norgate Data

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    Hi craft,

    Regarding Australian equities and consolidated data - it's something we'd like to do, but unfortunately Chi-X don't have any "reference" data that could be used to generate this (at least not at a reasonable price point with multiple backup feeds).

    Chi-X have a rather interesting model in that all stocks open at 10:00:00.000, so they are often the first trade of the day too - the ASX has their staggered opens, so you'd probably need to think about how that impacts things too.

    Another question you have to ask yourself - does it matter? (but that's hard to quantify without real data). Chi-X is around 20% of the total number of trades these days and probably slightly higher on a volume basis.
     
  4. craft

    craft

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    Thanks Richard for detailing the situation.

    Dose it matter? That's an interesting question.

    If the highs or lows occur on chi-x the daily bar range won't be accurate. The open may not be accurate. Something with low volume and no closing auction on the asx may even have an inaccurate close. Volume will be wrong. For short term chart based traders, volume based analysis and those relying on daily high, low, open prices in back testing, dose it matter is probably a burning question.

    For me I just want a picture as part of a bigger picture. A bit of a grainy picture shouldn't hurt. I can't imagine the two markets getting far out of step with the brokers having best execution policies or big boys arbitraging it back into order.

    With chi-x opening at 10:00 It would seem there is the potential to get filled on chi-x rather than the asx opening auction. Haven't noticed that happen yet but maybe I should be reading up on execution policy instead of just assuming wide orders will just get executed at the asx open auction price.

    Let us know if you make any progress in getting both sets of data.

    I guess the question does it matter will ultimately be answered by the take-up achieved by the first supplier to offer the consolidated data.
     
    Last edited: May 24, 2017
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