In the futures market, certain trades such as spread trades, exchange
for physical are sometimes shown in time and sales but do not contribute
towards the official volume.
You may also find differences in sessions relating to "All sessions
combined" (ie floor and electronic combined), day session only data etc.).
The other difficulty is that often different sections of an exchange's
web site do not report the same values as the official areas.
Lastly, with futures, you can also get data that is unofficial and
confirmed/corrected the next day.
It's hard to get an apples-for-apples comparison in the futures market.
Most futures data vendors do not provide you with any such detail.
Tread carefully.
For what it's worth, the official ASX volume as provided in their
official data feeds for the SPI 200 Sep 2009 day session on 14 July 2009
was 30411.
Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe, UK & USA -
www.premiumdata.net
-------- Original Message --------
Subject: Re: [amibroker] Time & Sales vs Volume difference
From: Tomasz Janeczko <[email protected]>
To: [email protected]
Date: wed, 15 jul 2009 11:52:08 +0200
Hello,
Most probably because of tick corrections/insertions/deletions:
http://forum.esignalcentral.com/showthread.php?threadid=24502
<http://forum.esignalcentral.com/showthread.php?threadid=24502>
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Julian" <[email protected]
<mailto:juliangoodsell%40yahoo.com.au>>
To: <[email protected] <mailto:amibroker%40yahoogroups.com>>
Sent: Wednesday, July 15, 2009 11:14 AM
Subject: [amibroker] Time & Sales vs Volume difference
> Studying the Time & Sales data vs the tick data from eSignal, I get
different values for ticks and volumes.
>
> For the SPI on the 14/7/09, I get the following volumes from these
sources:
> 30411 - ASX website
> 30310 - T&S from AB
> 28876 - AB daily volume
> 28926 - eSignal daily volume
>
> The Time & Sales matches fairly well with that from the ASX, and AB
and eSignals match well also which makes sense.
>
> My question is why the volume in AB and eSignal doesn't match the
Time and Sales volume also coming from eSignal? Is the
> price/volume data feed from eSignal separate to the Time & Sales
feed? So AB doesn't create ticks/bars from the Time & Sales data?
>
> This isn't of any major importance, just curious.
>
> Regards,
> Julian.
>
