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| Author | Topic: e-mini SP futures volume (34 messages, Page 1 of 2) |
 nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Sep 16, 2004 01:53 PM
Msg. 1 of 34
Hoping someone can shed some light. My app takes 2 datafeeds IQFeed and InteractiveBrokers via their API.
I pretty sure they are both running real time, since my code is checking for "perfect" matches between bid/ask and bid size/ask size, and this data matches nicely. On some days IQfeed reports a lower volume than IB feed. Currently, IQfeed is running about 1200 contracts lower (approx 315,000 vs 313,800), and has been for at least a couple of hours. Is volume taken as a report from the exchange, or is the quote provider responsible for aggregating the individual prints (as possible broken trades) to provide volume? Or some other explanation? |
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DTN_MarketData -DTN's Market Data Experts- Posts: 785 Joined: Jul 15, 2004 
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Posted: Sep 16, 2004 02:59 PM
Msg. 2 of 34
The CME does not send volume information for Emini contracts. Each Data provider calculates their own volume based on the trade information sent by the exchange. You are correct about today's Emini volumes differing from other sources. It appears there was a line problem between DTN and the CME that caused the volume problem. We upgraded our data lines from the CME to increase the compacity this weekend. We do not anticipate any further problems since the upgrade and today's problem is an abberation.
Mike |
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Sep 16, 2004 09:23 PM
Msg. 3 of 34
Thanks Mike
That's very useful info to me. It it the same for e-mini DOW on CBOT? And how about stocks on NYSE, NASDAQ, AMEX? |
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DTN_MarketData -DTN's Market Data Experts- Posts: 785 Joined: Jul 15, 2004
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Posted: Sep 17, 2004 09:39 AM
Msg. 4 of 34
Yes, the CBOT sends individual trade volumes and we calculate the total volume. CBOT sends an official volume the next day as well as the CME. NYSE, Nasdaq, and AMEX send us a trade volume as well and we calculate the total volume during the day. At the end of the trading session we receive a summary volume or official volume.
Mike |
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Sep 27, 2004 09:59 AM
Msg. 5 of 34
FYI, IQfeed vol running about 60 contracts less than IB feed today.
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Sep 27, 2004 10:55 AM
Msg. 6 of 34
Can you recheck. We just sent a refresh message out that should take care of the volume field. From our comparisons with Reuters and Qcharts, it looks like we are spot on with Reuters and ahead of Qcharts by about 2 minutes.
Jay Froscheiser DTN Market Access, LLC. |
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Sep 28, 2004 08:11 AM
Msg. 7 of 34
Jay:
Sorry for delay. Had to deal with "day job" yesteday. I added some code to display volume difference between the 2 feeds, "replayed" yestrday's data, and it appears to be back in synch around 11:30 EST. I assume the time stamps on this board are Central time. |
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Oct 4, 2004 08:21 AM
Msg. 8 of 34
FYI, IQFeed volume running 6 contracts behind IB feed this morning.
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DTN_MarketData -DTN's Market Data Experts- Posts: 785 Joined: Jul 15, 2004
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Posted: Oct 4, 2004 08:37 AM
Msg. 9 of 34
We have refreshed this contract for you & the volume should be correct now.
We will have to do some checking with our Quote Development team on this because we did notice our Ticker system was correct, but our Quote System (which feeds IQ feed) did lack 6 contracts in volume. Thank you. |
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Oct 4, 2004 08:45 AM
Msg. 10 of 34
now running about 400 contracts behind....
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Oct 22, 2004 08:22 AM
Msg. 11 of 34
running 6 contracts slow this morning.
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Oct 22, 2004 11:22 AM
Msg. 12 of 34
now running 900+ contracts behind IB feed
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DTN_MarketData -DTN's Market Data Experts- Posts: 785 Joined: Jul 15, 2004
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Posted: Oct 22, 2004 11:42 AM
Msg. 13 of 34
We are currently witnessing this delay on our Ticker & are investigating the cause. We will post more information as it becomes available. Thank you.
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DTN_MarketData -DTN's Market Data Experts- Posts: 785 Joined: Jul 15, 2004
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Posted: Oct 22, 2004 03:00 PM
Msg. 14 of 34
We had to switch over to our backup systems this morning because of technical issues. We believe that while we were on the backup system, we may have dropped a couple of messages. Because the contract is extremely active, we are unable to fix the dynamic volume until the trading stops today at 15:15 CT.
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Oct 28, 2004 08:14 AM
Msg. 15 of 34
running 400+ contracts slow this morning
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DTN_MarketData -DTN's Market Data Experts- Posts: 785 Joined: Jul 15, 2004
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Posted: Oct 28, 2004 08:41 AM
Msg. 16 of 34
This has been corrected. We are going to check into this further with our ticker personnel to determine to root of the problem.
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Oct 28, 2004 08:57 AM
Msg. 17 of 34
Thanks, I confirm it's corrected. Be nice to nip this one for good.
Slight change of topic, I notice when I get a "t" report, the bid/ask size almost never changes, but it's followed by another message reflecting the size change. Just wondering if you guys ever considered consolidating the 2 messages, which would save some bandwidth on both sides.... |
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Nov 11, 2004 08:15 AM
Msg. 18 of 34
running 10 contracts slow this morning
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Nov 11, 2004 08:22 AM
Msg. 19 of 34
caught up now
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DTN_MarketData -DTN's Market Data Experts- Posts: 785 Joined: Jul 15, 2004
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Posted: Nov 11, 2004 08:57 AM
Msg. 20 of 34
Thank you for reporting this problem. We were able to fix the cumulative volume because you reported the problem before the equity market open at 08:30 CT. If you see this happen again, please do report it prior to 08:30 so we can manually fix it.
The root of the problem is still being researched, and it is believed to be telco related. At this time one of our Ticker Development Engineers said: "CME doesn't see any errors on our line. However I believe there is an issue with our CME line as I am not seeing any of these disconnects and message gaps on the EOC line (Emergency Operations Center line)." |
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Nov 12, 2004 08:24 AM
Msg. 21 of 34
7 contracts slow. Sorry for late notice, it's early here...
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DTN_MarketData -DTN's Market Data Experts- Posts: 785 Joined: Jul 15, 2004
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Posted: Nov 12, 2004 08:34 AM
Msg. 22 of 34
I have refreshed this contract b/c I don't see a problem with the volume at this time. We are currently matching competitor sources. Thank you.
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Nov 12, 2004 09:12 AM
Msg. 23 of 34
now I'm see ~400 contracts behind the volume quote from IB
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Nov 12, 2004 11:14 AM
Msg. 24 of 34
still running ~ 400 behind. I plan to add similar code this weekend to watch the NQ & YM futures to see if it's specific to ES.
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Nov 12, 2004 08:08 PM
Msg. 25 of 34
My app closes both datafeeds at 4:11 EST. Last volume prints I have at that time IQ is 432 contracts behind IB feed. 655621 vs 655189.
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DTN_MarketData -DTN's Market Data Experts- Posts: 785 Joined: Jul 15, 2004
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Posted: Nov 15, 2004 07:32 AM
Msg. 26 of 34
In regards to your previous post on YM and NQ, you should not see the problem present itself on YM (as this is on the CBT exchange). You will see it on @NQ and @ES because they are both contracts on CME. The problem is with our CME data line & our Operations dept. is still investigating and working with CME to resolve. Thank you.
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Nov 26, 2004 08:22 AM
Msg. 27 of 34
ES running about 800 contracts slow & NQ about 475 contracts slow this morning.
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Dec 14, 2004 10:26 AM
Msg. 28 of 34
Looks like you might have squashed the bug in the comm line. Things look pretty good the last couple of weeks.
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nsolot -DTN Guru- Posts: 273 Joined: Sep 4, 2004 |
Posted: Feb 22, 2005 10:03 AM
Msg. 29 of 34
Seems to have popped up again. Was OK in pre-mkt. Now running about 800-900 contract slow.
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DTN_MarketData -DTN's Market Data Experts- Posts: 785 Joined: Jul 15, 2004
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Posted: Feb 22, 2005 10:49 AM
Msg. 30 of 34
We are having internal problems with this feed and are working to correct. The number may be behind most of the day, but the values for the future price are correct.
Edited by marketdataservices on Feb 22, 2005 at 12:18 PM |
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