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»Forums Index »IQFeed Developer »IQFeed Developer Support »EUREX Tick Data Problem: actual trade volume or summation?
Author Topic: EUREX Tick Data Problem: actual trade volume or summation? (4 messages, Page 1 of 1)

sd_cm
-Interested User-
Posts: 22
Joined: Aug 23, 2004


Posted: Dec 1, 2004 05:02 PM          Msg. 1 of 4
If volume of EUREX tick data trades are added up they exceed the reported exchange volume by a factor of nearly 10. For example, on 12/01 EXZ4 has ticks totaling 4,116,149 with the exchange reporting 501,961 contracts traded.

After looking at the tick data I think this may be due to summing the volumes instead of reporting actual trade volume. When a new trade price occurs the volume is "reset", but multiple trades at the same price have their volumes' added together. Is this a DTN error or a EUREX error and how can we fix it?

The enclosed tick stream from EXZ4 demonstrates the problem:

DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 150
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 154 ( actual trade volume=4)
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 162 ( actual trade volume=8)
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 172 ...
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 176
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 177
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 178
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 183
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 184
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 232
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 233
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 237
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 238
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 279
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 298
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 299
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 323
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 332
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2897.0 2
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 4
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 99
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 108
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 128
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 133
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 138
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 159
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 166
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 168
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 181
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 199
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 200

DTN_Glenn_B
-Interested User-
Posts: 14
Joined: Nov 24, 2004


Posted: Dec 6, 2004 10:31 AM          Msg. 2 of 4
I apologize for not having responded before now. I have been looking into this problem since your post and found it is a problem with our quote provider. EUREX does not transmit a complete quote with it's trade update. They send each piece (volume, bid/ask) separately. Apparently, this confuses their system resulting in the misinterpretation of the data. Please bear with us. We are in the process of replacing our feed source.

Glenn Benes

Glenn Benes DTN Market Access, LLC.

sd_cm
-Interested User-
Posts: 22
Joined: Aug 23, 2004


Posted: Jun 23, 2005 07:39 AM          Msg. 3 of 4
Has this issue been fixed in 2.3.0.4? Thanks

DTN_Natalie_H
-DTN Evangelist-
Posts: 175
Joined: May 10, 2004

DTN Market Access, LLC.


Posted: Jun 29, 2005 02:42 PM          Msg. 4 of 4
This was a server issue, and is fixed. Thanks!

Natalie Hannan DTN Market Access, LLC.
 

 

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