Date/Time: Fri, 18 Jan 2019 10:39:07 +0000
Eurex end of day volume data
|Marmany - Posts: 192|
I find strange values for volume on Daily chart for Eurex contracts. For example FGBLM3 shows
Date / DailyChartVol /15minChartVolsummed
8th Apr / 598166 / 480041
5th Apr / 598166 / 682331
4th Apr / 843052 / 655273
Using TransAct for intrady and historical feed.Sierra V961.
Other exchanges show slight differences as expected due to different new day start time but not of this magnitude.(On 2 other occasions identical volume reported on cosecutive days over last few weeks)
Please advise if there is a way to recitify the Eurex daily volume.
Date Time Of Last Edit: 2013-04-09 10:43:29
Sierra Chart Engineering - Posts: 68043
This would make sense because of the type of data feed from the EUREX used for the Intraday charting. The volume will be lower. Not sure why one of the days, the volume is higher.
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Date Time Of Last Edit: 2013-04-09 16:53:32
|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.
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