Date/Time: Wed, 17 Jan 2018 05:29:33 +0000
Post From: actual volume shown in platform far lesser than official CMEGROUP website volume
|User336964 - Posts: 10|
The screenshot link in the end of this post shows volume profile of ES.H18 contract. The volume profile is drawn over the entire day. The total volume shown is 588512 at 14:45. But the actual volume traded as shown in CME website as well as other sites like TradingView is around 1470000, which is 2.5 times the volume shown. I have also compared the volume for ES.Z17 -- shown inside the profile for the entire day is around 250k whereas actual traded volume seems to be more than 1M. For crude, its 420K (shown) vs 555K (actual).
I have downloaded the data 2-3 times to recheck but volumes are still the same. Even Sierra chart historical data shows the same data (lower volume). Why is there such a difference in volumes? Am I receiving correct data? If not, what needs to be done? Thank You.