Odd lots
If we compare the Open, High, Low, Close and Volume values on any intraday resolution for North American stocks on our platform with the ones displayed on the exchange’s website and some other sources, we can notice a discrepancy between prices and, first of all, volume data during the Pre-market and After-Hours, if follow the terminology of the Nasdaq exchange. The discrepancies are due to the fact that our data provider filters the odd lots trades out in the history, and as a result, our intraday charts are built based on the full trades only.
An odd lot is an order size for a security that is less than the normal unit of trade for that particular asset. For stocks, odd lots are most often smaller than the standard 100 units of the asset.
As an example, let’s have a look at the 1-min NASDAQ:AMZN chart at the 09:25 (UTC-4) bar on 03.07.2023 and compare the values to the ones displayed on the exchange’s website:
The Close price on our platform is 130.50, and the volume is equal to 13317 while on the exchange’s website – 130.36 and 15863 respectively. The last trade which was included in the minute bar and formed its Close price was received at 13:25:55 while on the exchange’s website the Close price of this minute bar was formed based on the trade received 3 seconds later, equal to 130.36 and having the volume of 1, which is considered an incomplete lot. This minute there were 156 such odd lots with a total volume of 2546, which is the difference between what is displayed on our platform and on the exchange’s website.
Late prints
The second noticeable discrepancy in the intraday values is due to the fact that there is a large volume displayed on some US stock charts on a 1-min resolution at 08:00 (UTC-4) in the Pre-market session. For example:
This is due to the fact that at this particular minute our data provider includes late prints which are often filtered out on other platforms. These are OTC trades that can be executed at different times, however, their total volume is included in the 08:00 (UTC-4) minute bar.