Support Board
Date/Time: Sun, 22 Dec 2024 05:12:16 +0000
Volume discprepancy - Eurex
View Count: 1115
| [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 |
| [2015-02-04 08:46:59] |
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This is being looked into. We do see the problem.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-02-04 16:22:17] |
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This has been solved and the existing historical data for earlier in the day on 2015-02-04 which has 2 times the volume, will be corrected after the close.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-02-05 21:00:55] |
| Pawel_Szpak - Posts: 48 |
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It doesn't look like it's been corrected - still seeing around 67k in the first hour after open yesterday - and still showing 10,218 contracts for the 08:05:00-08:09:59 bar. I've done a deleted & download all data from 03-feb-2015 onwards. |
| [2015-02-05 21:24:55] |
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No, it has not been because the backup database also has double the volume for part of 2014-02-04 and we still are thinking about how to solve this. It is not simple. We will at least get some of the data corrected over the weekend. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-02-05 21:25:22
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| [2015-02-14 01:59:27] |
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We have finally reloaded the data for February 4, 2014 so the volume is normal. This has been done for 6 of the most actively traded EUREX contracts for March delivery. You can re-download the data with Edit >>Delete All Data and Download. We do apologize for the delay. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-02-14 02:00:18
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