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Non-Tech : IQ Chart: SI's Real-Time Technical Charting Software
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To: Quad Sevens who wrote (3468)1/16/2003 1:59:59 PM
From: John Busby  Read Replies (1) of 4093
 
Wade,

Didn't mean to delay a response. In fact, I've followed up on this with our data provider.

Based on my investigation of several real-time sources at my disposal, it seems there is some discrepancy among how volume of smallcaps is reported. For instance, SGDE had three different volumes reported on three different real-time sources.

At this point, my best guess is that certain exchanges and/or ECN's are not reported on for some small-cap stocks. My second-best guess is that small-cap stocks trade in odd lots pretty consistently and the volume of trades is in question. My third-best guess is that small-caps often have certain types of trades before market open that some data providers count and others don't.

I assume you haven't seen differences in prices, just volumes. In addition, is volume markedly different a few hours after market close (say 8:30 ET) when everyone is reporting audited volumes?

I am following up on this and will post a response when I have more answers.

Thanks,
John
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