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» Lots of missing historical tick data...
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| Author | Topic: Lots of missing historical tick data... (5 messages, Page 1 of 1) |
 wmnelson -Interested User- Posts: 4 Joined: Aug 22, 2007 |
Posted: Jul 5, 2009 05:55 PM
Msg. 1 of 5
Greetings all,
I am trying to reconcile historical daily volumes with historical tick data. For example, take the contract @W# on July 2. The reported volume with an HDX command is 11741. This value matches the data given on the CME website. But when I download the available tick history with an HTX command from DTN, I see only 213 ticks with a total volume of 276. Are we somehow missing an enormous amount of tick history here? I did a similar computation for @ES# on July 2. The daily volume reported by DTN and CME is both 1850449. But the total volume represented by the DTN tick history is 1849360 on 175059 ticks. The DTN tick history seems to be missing 1089 contracts. It's a small fraction of the total volume, but it would be nice to know where these contracts may have went. To compute July 2 volume, I summed the tick volumes from July 1 16:20 EST through July 2 16:20 EST. This is the most natural definition. Other definitions are conceivable, but I haven't been able to find any that comes closer than this. Obviously, the problem with @W# is much more severe. Thanks, WN |
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DTN_CurtisT -DTN Technical Support- Posts: 323 Joined: Jun 14, 2007 
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Posted: Jul 6, 2009 06:49 AM
Msg. 2 of 5
Hello Wmnelson, I have forwarded this over to our Market Data Services Dept for investigation. Once I hear back from them I will let you know what they tell me.
Curtis Thompson curtis.thompson@dtn.com Trading Markets Customer Service 1-800-397-7000 x3614 |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Jul 6, 2009 07:46 AM
Msg. 3 of 5
The cumulative volume value that is shown on a quote/trade message as well as the volume in a daily historical data record is the official volume reported by the exchange for that symbol. This number represents volume from trades on the electronic contract as well as spread trades involving that contract. Because the official volume includes spread trades (which you don’t see when watching a specific future contract), this number will be larger than if you were to add up only the trades specifically on that contract.
In other words, you aren't missing anything and the values are correct. Intraday and daily volume totals normally won't match. Jay Froscheiser DTN |
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wmnelson -Interested User- Posts: 4 Joined: Aug 22, 2007 |
Posted: Jul 13, 2009 03:17 AM
Msg. 4 of 5
Jay,
Thanks for the info. Can you tell me, how do you know this? It is not obvious to me why the exchange would handle or count spread trades any differently than buying/selling a specific contract. It's not that I mistrust what you say, but I want to delve deeper and understand these mechanics much better. Is this in some CME/CBOT/Globex Rulebook or manual somewhere? I'm not a member of CME/CBOT. I don't know if being a member allows greater access to some of these details or if they're already publicly available. Thanks, WN |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Jul 13, 2009 08:01 AM
Msg. 5 of 5
Because it is a common question, we have researched the issue and confirmed it with the exchange numerous times. When one side of a spread trade involves that specific contract, it counts as daily volume on that specific contract. Throughout the day, we receive these "volume update" messages in the exchange feed. The exchange is quite open with trader resources if you would like to contact them directly. Their website is www.cmegroup.com.
Jay Froscheiser DTN |
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