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Direct MessagesDate/Time: Thu, 25 Apr 2024 09:32:05 +0000
Post From: Inconsistent Bid/Ask Volume Data
| [2020-01-13 12:17:02] |
| User462086 - Posts: 188 |
|
Hi, today I wanted to document an intraday CME CL volume bar chart from last Tuesday(1/7). The Cumulative Delta Volume study for this day had some gaps in it so I searched the support forum for possible reasons (these gaps occur frequently across several CME markets). After finding Poor Tick Data July 1 (morning)? I went through the steps outlined by SC Support in post #8. My settings were already correct and didn't require changing. After deleting & downloading data for the last CL contract (February) the bid/ask data has changed significantly from the original data recorded in real-time. The price action is close but not identical. This 500 volume bar chart is set to create a 'New Bar at Session Start' so the price action should be identical. This implies the volume has changed too. I've attached 2 charts: one showing a screen shot taken last Tuesday and the second showing the same period after the delete/download today. It's clear from the Cumulative Delta Volume study that the underlying Bid/Ask data is not the same. These are very different market conditions and I am now unable to correctly document that day. Additionally, the option to 'Split Data Records' for these volume bars in Chart Settings has no affect on the data from this day now, and perhaps other days too. This is hard to believe because this day had HUGE orders that were clearly visible as a horizontal line of ticks when the real-time data was split. The option to 'Combine Summary Trades Into Original Summary Trade' was unchecked then, and now. 1) Why would the downloaded SC historical data be different from the real-time data? This has pretty dire implications for any study that relies on historical volume data. 2) How do I get the original bid/ask data back and ensure the historical bid/ask data downloaded from SC's data feeds is always the same data that occurred in real-time? Many thanks!! |
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