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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Historic tick data of Futures contracts shows a 'last size' value of zero
Author Topic: Historic tick data of Futures contracts shows a 'last size' value of zero (2 messages, Page 1 of 1)

rcerda
-Interested User-
Posts: 9
Joined: Dec 13, 2007
Posted: Jan 25, 2008 11:50 AM          Msg. 1 of 2
Hi.

I'm noticing that some ticks (requested using requestTickHistory via COM) for some Futures contracts come with a 'last size' field equal to zero (0). Some examples are symbols FCF8, LCG8 and +DJU8.

Is this a error on the data? or does it mean something else, i.e., is a value of zero used to identify pit traded ticks or something like that?

Thanks.

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
Posted: Jan 25, 2008 12:20 PM          Msg. 2 of 2
The exchanges do not send volume on pit traded contracts.

The volume you see even in Level 1 data for these symbols will actually be the Previous Day's volume.
 

 

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