Thanks for that Richard, 30411 is exactly the value shown on their website also, which matches nearly perfectly with the Time & Sales volume, but is more than the realtime feed accounts for.
The Time & Sales for that day also showed 1500 (~10%) more trades than there were ticks in AB, which makes sense now if it includes that extra trade info. I use T&S just to chart buy/sell pressure so I don't suppose the difference matters an awful lot. Regards, Julian. --- In [email protected], Richard Dale <rich...@...> wrote: > > 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 <gro...@...> > 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" <juliangoods...@... > > <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. > > > > > >
