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»Forums Index »Product Support »Data and Content Support »WCE tick volume incorrect
Author Topic: WCE tick volume incorrect (4 messages, Page 1 of 1)

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


Posted: Jan 3, 2005 10:06 PM          Msg. 1 of 4
After WCE contracts migrated to e-CBOT the volume numbers are not correct. For example, @RSH5 is reporting a volume of 104,000 on 12/31/2004 but the exchange reports a volume of only 1256 contracts.

I believe I have the correct symbol because the prices match the exchange exactly, but the trade volumes do not.

Please advise. Thanks

dtn mike driscoll
-Active Trader Management-
Posts: 75
Joined: Dec 20, 2004


Posted: Jan 4, 2005 08:22 AM          Msg. 2 of 4
You have the correct symbol. The volume for this contract is showing 1256 at this time in our database and in the DTNIQ software. Please let us know if you show something different.
mike

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


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

dtn mike driscoll
-Active Trader Management-
Posts: 75
Joined: Dec 20, 2004


Posted: Jan 6, 2005 03:13 PM          Msg. 4 of 4
We have discovered an issue with the server on only this exchange. The testing phase has started to implement a fix. Thank you
Mike Driscoll
 

 

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