Australian (ASX) Stock Market Forum

Incomplete EOD data - Does it matter?

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craft

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Richard Dale from Premium Data recently gave a response to my enquires about Chi-X data availability for End Of Day data.

Richard Dale said:
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.
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He asked the question does it matter?

A thread for peoples view on that question.
 
Maybe I'm missing something here but if it's EOD data, why does it matter about staggered opens or not? The OHLC is the same regardless.
 
Indoril said:
Maybe I'm missing something here but if it's EOD data, why does it matter about staggered opens or not? The OHLC is the same regardless.
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You are missing something. The open, high, or low (even possible for the close on low volume stocks) can occur on Chi-x and it won't be the same as your end of day bar/candle chart. Volume will also be different. Your broker is most likely using Chi-x for some of your orders under a best execution policy even if you are unaware. The prices and volume on your chart could be different to the market you are participating in.

Does it matter for how you approach the market?
 
I see what you are saying. The EOD data that Norgate provide is only ASX while my broker may fill on either exchange. Consolidated data would be nice but then you might see volume spikes at 10:00 even though a stock opens earlier.
I can see this effecting me when entering conditional orders before the market opens. They are likely to be filled on the ASX if it opens before 10:00 where a better price might be available on Chi-X but how would I even know?

Also, it's only 20% now but what about when it's 30, 40, 50%?
 
I don't care what the open price is, so long as it's available to every market participant. However the different open times and probable different opening prices make limit orders a necessity. A market order could fill anywhere.

Does accurate daily volume matter? Hell yeah. It's the basic indicator of the "effort" of both supply and demand to move the price.

The ASX should have demanded that all trade data done through the new exchange be reported for inclusion with the ASX data right from the start.

Ignoring the need for consolidated market data because the volume traded through a new exchange is low is pathetic. It's possible that other exchanges will be allowed to trade ASX equities in the future and the ASX volume becomes the 20%.

The volume traded through Chi-X on "stocks in play" is generally much larger than 20%. Not providing all the volume traded on a stock at EOD is another example of ineptitude from the ASX.
 
We are not the only market with more than one exchange so perhaps one can look overseas for some discussions on the issue.
 
Even though Chi-x technically opens before the ASX on at least 4 of the 5 groups, there really isn't any volume until the stock opens on the ASX. The market makers need the ASX to open before they are able to properly price their orders on Chi-x. So for your non-HFT trader the ASX open price is a better indication of real liquidity and a price you could reasonably execute at. If Richard included the Chi-x open price it would make the product worse as the Chi-x opening prints are fairly volatile and very thin.
 
Not an answer but I use IB / TWS and understand if I use smart routing it is possible to go through Chi-X and set the exchange as ASX preventing my orders going through Chi-X.
 
kefa said:
Even though Chi-x technically opens before the ASX on at least 4 of the 5 groups, there really isn't any volume until the stock opens on the ASX. The market makers need the ASX to open before they are able to properly price their orders on Chi-x. So for your non-HFT trader the ASX open price is a better indication of real liquidity and a price you could reasonably execute at. If Richard included the Chi-x open price it would make the product worse as the Chi-x opening prints are fairly volatile and very thin.
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This is a good point.

But all actual trades and corresponding volume would let me make judgements, rather than dismissing the missing information as insignificant.
 
peter2 said:
I don't care what the open price is, so long as it's available to every market participant. However the different open times and probable different opening prices make limit orders a necessity. A market order could fill anywhere.

Does accurate daily volume matter? Hell yeah. It's the basic indicator of the "effort" of both supply and demand to move the price.


The ASX should have demanded that all trade data done through the new exchange be reported for inclusion with the ASX data right from the start.



Ignoring the need for consolidated market data because the volume traded through a new exchange is low is pathetic. It's possible that other exchanges will be allowed to trade ASX equities in the future and the ASX volume becomes the 20%.

The volume traded through Chi-X on "stocks in play" is generally much larger than 20%. Not providing all the volume traded on a stock at EOD is another example of ineptitude from the ASX.
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Hi Peter.

How significant is missing extremes for breakout?

Scenario.

Stock makes a significant high of 0.60 on chi-x a week ago (possibly not big volume -how would you know without the data - but irispective the extreme of the move) but only 0.59 on ASX, therefore chart only shows 0.59 as daily high. After a bit of a retrace we move back up and get quite a bit of volume at 0.60.
Is this scenario a breakout?
According to the chart
According to all historical trades that actually took place.

Does a different answer to both the above matter.

How can you test?

Is chart breakout trading changing as chi-x volume grows?

Sorry - so many questions, actually not questions, just me pondering and wondering why there doesn't seem to be more discussion by people where charts are by choice the sole source of information - is there no need for that information to be accurate, just so long as something is plotted and it has volatility.

If accuracy and completeness doesn't matter why couldn't trading do away with the complexity of pricing underlying asset altogether. Set up an exchange of randomly generated charts that price nothing - they just have volatility for people to trade. Commissions (drag) could be driven way down.

Maybe that is what trading bitcoin is?
 
I remember noticing that the Chi-X volume is not included in the ASX data one day in the distant past.

Perhaps I should start in an old fashioned way (just like the ASX).
Once upon a time a break-out trader noticed that price was moving through an important break-out level on a stock that he was watching. Naturally he checked the volume traded because it's important that the volume be just right, not too high and not too low. Even Goldilocks would appreciate this. On his EOD chart (ASX data) the average daily volume was approx 2mill. That afternoon 10 million shares had already traded according to Etrade. Not knowing that the broker platform included both ASX and Chi-X data the trader thought that this was too many and this sudden increase in supply would stop the break-out. The trader bought anyway but realised the BO may not follow through.

Imagine his surprise in the evening when he checked the chart and the volume for the day was displayed as only 3mill. Where's the missing 7mill? That's when he realised that the data he's paying for is incomplete.

The only fantasy in this post, is thinking that the ASX will evolve into a modern exchange.
 
peter2 said:
The only fantasy in this post, is thinking that the ASX will evolve into a modern exchange.
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I don't see why it should be the ASX's job to aggregate the data. It should be your broker / data provider's responsibility.

craft said:
If accuracy and completeness doesn't matter why couldn't trading do away with the complexity of pricing underlying asset altogether. Set up an exchange of randomly generated charts that price nothing - they just have volatility for people to trade. Commissions (drag) could be driven way down.

Maybe that is what trading bitcoin is?
Click to expand...

Of course that's how bitcoin trades. Believe it or not... now that the price of Bitcoin is getting a bit high, people have diversified into other cryptocurrencies. I wonder at what stage of the tulip maniac did people diversify into lily or iris bulbs.
 
Do other members on ASF get EOD volume data combined from Chi-X and ASX now? Its an ongoing frustration for me. Especially when it comes to running stock screeners, having incomplete volume data is less than ideal.
 
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