Support Board
Date/Time: Sun, 22 Dec 2024 10:40:33 +0000
Post From: Volume discprepancy - Eurex
| [2015-02-04 08:32:14] |
| Pawel_Szpak - Posts: 48 |
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I'm having a problem with volume. For some reason, sierra is roughly doubling up my volume. Please see attached image. I have a spreadsheet study on a 60m chart, which shows the volume traded. For 04-Feb-15 it has so far accumulated 105,540 contracts, whereas the quoteboard only shows 57,419, or summing up the volume at price on the DOM gives 52,932. Now I don't expect the quoteboard and the tick volume to add up (as quoteboard is usually more), but there is just no way I can have more traded on my charts than total volume on quoteboard. Also, did a quick comparison with another trader - looking at a 5 minute bar 04-Feb-15 08:05:00 - 08:09:59 should have traded 5,109 contracts, looking at my charts, Sierra has it as 10,218 (exactly double). I'm running Sierra and using your Eurex data feed. What the hell is going on here? Log below:(Log removed) Date Time Of Last Edit: 2015-02-04 08:46:07
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 volume mismatch.png / V - Attached On 2015-02-04 08:30:06 UTC - Size: 423.42 KB - 385 views |