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»Forums Index »Archive (2017 and earlier) »Data and Content Support »SECOND front month contract volumes for Cocoa not matching Bloomberg Volumes
Author Topic: SECOND front month contract volumes for Cocoa not matching Bloomberg Volumes (4 messages, Page 1 of 1)

sanjayqdt
-Interested User-
Posts: 2
Joined: Feb 5, 2023

Smithers!


Posted: Feb 5, 2023 01:36 PM          Msg. 1 of 4
I pulled the hourly prints for the second front month contract for ICE US Cocoa Futures (CC*2 and, currently, the May 23 expiry) from the getHistory API.

I noticed that the volume for daily traded contracts is different from what I see on my Bloomberg terminal. If I sum up the hourly volumes traded, I come to ~12,000 contracts traded on Feb 1 (Wednesday) and if I compare this to Bloomberg, I see ~23,000 contracts traded. I don't understand why these volumes would be different when the prices seem to match?

DTN_mark_e
-Interested User-
Posts: 49
Joined: Sep 25, 2014


Posted: Feb 6, 2023 07:54 AM          Msg. 2 of 4
Hello, we see no issue with the volume value for the hour bars for 2/1 on @CCK23. We show 22719. You can verify this by using the IQFeed Time & Sales app (found in the IQFeed Applications folder on your desktop). Perhaps on your data pull you aren't counting the implied trades.

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DTN_Gary_Stephen
-DTN Guru-
Posts: 396
Joined: Jul 3, 2019


Posted: Feb 6, 2023 08:26 AM          Msg. 3 of 4
By "getHistory", do you mean the legacy COM objects that start with reqHistory, as described at http://www.iqfeed.net/dev/api/docs/docs52/HistoricalviaCOM.cfm ? Or are you using the modern TCP/IP history requests, like HIT or HID?

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

sanjayqdt
-Interested User-
Posts: 2
Joined: Feb 5, 2023

Smithers!


Posted: Feb 6, 2023 09:14 AM          Msg. 4 of 4
getHistory is actually internal code, I apologize, I misunderstood what a colleague's code was doing.
I see now that the values match. Thanks for the quick response.
 

 

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