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Date/Time: Tue, 23 Jan 2018 16:14:54 +0000



actual volume shown in platform far lesser than official CMEGROUP website volume

Support Request:
[2017-12-11 20:55:48]
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.

http://www.sierrachart.com/image.php?Image=1513025185610.png
[2017-12-11 21:45:52]
Sierra Chart Engineering - Posts: 56390
Refer to:
http://www.sierrachart.com/index.php?page=doc/helpdetails43.html#ComparingDailyVolumeToIntradayChartBarVolume
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-12-11 23:48:35]
User336964 - Posts: 10
1. https://www.sierrachart.com/SupportBoard.php?ThreadID=9772
In this post, it has been mentioned that CQG data feed "shows every trade and bid/ask update unfiltered in realtime" in point number 4.

2. I have 2 folders for Sierra Chat, other one exclusive for historical data, where I use Sierra Chart data. Even this data (which is not real time) doesnt not show unfiltered tick data. Volumes are 60-70% of that of actual volumes. I use CQG-WAPI. What should I do to get unfiltered tick data? Thank You.
[2017-12-12 19:12:22]
Sierra Chart Engineering - Posts: 56390
1. Yes this is true.

2.Refer to:

http://www.sierrachart.com/index.php?page=doc/helpdetails43.html#ComparingDailyVolumeToIntradayChartBarVolume


This is what we see:
http://www.sierrachart.com/image.php?Image=1513106027118.png
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2017-12-12 19:13:57

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