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Direct MessagesDate/Time: Fri, 26 Apr 2024 05:53:29 +0000
Eurex end of day volume data
View Count: 1985
| [2013-04-09 10:41:42] |
| Marmany - Posts: 303 |
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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
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| [2013-04-09 16:52:21] |
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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.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2013-04-09 16:53:32
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| [2013-04-09 17:27:45] |
| FGBL07 - Posts: 19 |
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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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