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Date/Time: Fri, 26 Apr 2024 09:56:40 +0000

Post From: Eurex end of day volume data

[2013-04-09 17:27:45] Link To Thread - Link To Post [Go To First Post]
FGBL07 - Posts: 19
The official Eurex figures are: 8th Apr 598166 / 562332 5th Apr 843052 / 810633 4th Apr 784025 / 754378. The second figure in each row is the number I arrived at by summing intraday (tick) data. Data by DTN IQFeed. The differences may be the result of block trades, EFP trades that Eurex includes in their reporting but which are arranged outside the Order Book. The differences are really great during rollover when Calendar spreads seem to be counted double.