sd_cm
-Interested User-
Posts: 22
Joined: Aug 23, 2004
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Posted: Jan 4, 2005 03:44 PM
Msg. 3 of 4
Thanks for the response. The problem is with the volume on each trade. If I request historical daily data the volume field is correct. However if I request historical tick data the volume is not correct (reporting 151,000 traded in @RSH5 as of 10:54 EST). It looks as though the error is that the trade volumes are multiplied by 100.
Please see attached tick stream for @RSH5. Thanks
2005-1-4 10:30:00,271.100000,20300,20300,271.100000,271.600000 2005-1-4 10:30:00,271.100000,200,20500,271.100000,271.600000 2005-1-4 10:30:00,271.100000,5100,25600,271.100000,271.600000 2005-1-4 10:30:00,271.100000,3300,28900,271.100000,271.600000 2005-1-4 10:30:00,271.100000,6300,35200,270.500000,271.100000 2005-1-4 10:30:00,271.100000,100,35300,271.000000,271.100000 2005-1-4 10:30:00,271.000000,1500,36800,271.000000,271.100000 2005-1-4 10:31:00,271.000000,900,37700,271.000000,271.000000 2005-1-4 10:31:00,271.000000,400,38100,270.500000,271.000000 2005-1-4 10:31:00,270.500000,3000,41100,270.500000,270.500000 2005-1-4 10:32:00,270.400000,100,41200,270.400000,270.400000 2005-1-4 10:32:00,270.000000,3000,44200,270.000000,270.400000 2005-1-4 10:32:00,270.000000,10000,54200,270.000000,270.400000 2005-1-4 10:32:00,270.000000,7600,61800,269.500000,270.000000 2005-1-4 10:33:00,269.600000,2300,64100,269.600000,270.000000 2005-1-4 10:33:00,269.600000,200,64300,269.600000,270.000000 2005-1-4 10:33:00,269.500000,500,64800,269.600000,270.000000 2005-1-4 10:34:00,269.500000,9500,74300,269.100000,269.500000 2005-1-4 10:36:00,269.400000,500,74800,269.100000,269.400000 2005-1-4 10:36:00,269.100000,100,74900,269.100000,269.400000 2005-1-4 10:37:00,269.100000,1500,76400,269.100000,269.400000 2005-1-4 10:38:00,269.100000,16900,93300,269.100000,269.400000 2005-1-4 10:38:00,269.100000,10000,103300,269.100000,269.400000 2005-1-4 10:39:00,269.100000,6500,109800,269.000000,269.100000 2005-1-4 10:39:00,269.100000,1000,110800,269.000000,269.100000 2005-1-4 10:40:00,269.000000,900,111700,269.000000,269.100000 2005-1-4 10:40:00,269.000000,500,112200,269.000000,269.100000 2005-1-4 10:40:00,269.000000,500,112700,269.000000,269.100000 2005-1-4 10:40:00,269.100000,2000,114700,269.000000,269.100000 2005-1-4 10:40:00,269.100000,500,115200,269.000000,269.400000 2005-1-4 10:41:00,269.400000,500,115700,269.100000,269.400000 2005-1-4 10:41:00,269.400000,1500,117200,269.000000,269.900000 2005-1-4 10:41:00,269.000000,3200,120400,268.500000,269.900000 2005-1-4 10:41:00,268.600000,2500,122900,268.600000,269.000000 2005-1-4 10:42:00,268.600000,200,123100,268.600000,269.000000 2005-1-4 10:44:00,269.000000,300,123400,268.600000,269.000000 2005-1-4 10:44:00,269.000000,1000,124400,269.000000,269.500000 2005-1-4 10:45:00,269.000000,1000,125400,269.000000,269.500000 2005-1-4 10:45:00,269.000000,100,125500,269.000000,269.000000 2005-1-4 10:48:00,268.600000,2400,127900,268.500000,269.000000 2005-1-4 10:49:00,268.500000,5000,132900,268.000000,269.000000 2005-1-4 10:49:00,268.500000,2000,134900,268.000000,268.500000 2005-1-4 10:51:00,268.500000,1000,135900,268.400000,268.500000 2005-1-4 10:51:00,268.500000,1000,136900,268.400000,268.500000 2005-1-4 10:51:00,268.500000,8500,145400,268.500000,269.000000 2005-1-4 10:51:00,269.000000,3200,148600,268.500000,269.500000 2005-1-4 10:52:00,269.100000,200,148800,269.100000,269.500000 2005-1-4 10:53:00,269.100000,1000,149800,269.100000,269.500000 2005-1-4 10:54:00,269.100000,600,150400,269.100000,269.000000 2005-1-4 10:54:00,268.400000,700,151100,268.400000,269.000000
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