search

giuse88 / duka

duka - Dukascopy historical data downloader
http://giuse88.github.io/duka
MIT License
302 stars 135 forks source link

Discrepencies in tick volume #25

Open samarv opened 7 years ago

samarv commented 7 years ago

@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.