Hi,
I am not getting the March contracts in my continuous symbols. The continuous symbols should roll after the close Wednesday so my indicators are smooth at the open on Thursday of rollover. Did I miss something to do on my end?

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John

John, these data come like a hurrican, I just demanded @ESH6 and @YMH6 / 5 Min / 2 days just for test, I gave in the symbol, pressed enter and 5 seconds later I had the chart

Klaus Cologne Germany

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klaus

Thanks for the input Klaus. I do use the contracts you mentioned but I also use @ES#, @ER2# and @NQ# which are continuously connected contracts that should roll to the next contract when the volume shifts. These continuous symbols are important to my method.

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John

Our servers didn't propogate the roll of the front month contracts, so it will be done between sessions tonight.

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Jay Froscheiser
DTN - Trading Markets

Thank you Jay. Would it be helpful to post a heads up on the forum to check the servers the day before rollover in March?

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John

Well, since we always seem to have issues with this, it definately can't hurt to post a "reminder" on the forums. However, you 'shouldn't' need to. This is something we need to get hammered out and make it work as it should...

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Jay Froscheiser
DTN - Trading Markets

Ok, I understand.

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John

Hello tech support,

Just a friendly reminder to please confirm that rollover is set for tonight in all stock index futures continuous contracts. The June contracts become top step as of the day session open tomorrow. Thank you.

John Marsh

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John

Would someone please acknowledge the above post to confirm this action? Thank you.

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John

Sorry, I forwarded your previous post to IQ Development

Hi,

Just a note to say tonight is the night once again to roll stock index futures for continuous contracts. Last quarter went well. Thank you.

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John

Hello, Is there anyone there? What happened to rollover for ES# etc?

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John

Whoops sorry, my mistake, didn't realize the selloff was so strong, and the rollover went well. I just got back to my screen after the kids got out of school for the summer. Thanks again for a great product!

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John

Reminder if needed: tonight is the night once again to roll stock index futures for continuous contracts since tomorrow will be the Thursday after the first Friday of the new quarter. Thank you.

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John

Thank you for the heads up. If any are missed feel free to contact us here or at 800-397-7000 and we will be happy to investigate and correct any issues that arise.

Tim Walter
DTN Customer Service

JAY,

I'm using QT for charts. The futures contracts data, (a specific example:@ESZ6/@ESU6) is returning what appears to be bad numbers for the accumulated volume. It is way off from the estimated numbers from CME and from my broker IB. This is causing charting issues with QT.

This has NOT occured to this degree before. Was the problem you mentioned above the reason? Could you explain further? If not what is the issue? When will the data be corrected?

On another note....people are talking about the continuous contract data...is this data now available for use?

I checked with the market data team and they are aware and working on these issues. The reasons for the discrency are not known in full at this time, once it is reported to me and corrected I will relay that here.

The work on continuous contracts is continuing and recent steps have been made, we will announce it in more detail once we are confident that they are working as we intend. I am sorry, but I can still not put a definative ETA on this other than when they are done.

Here is the information that was relayed to me from the data team.

We only calculate our volume for the mini symbols based on the trades of the futures contract alone. We don't add in the spread trading, EFP's or block trading. That volume is added at the end of the day by the exchange with the volume message they send out.

Hopefully this helps.

Tim

Tim Thanks.

I am not clear on the response. There is a huge discrepancy today that is not a usual occurance. I've actually never experienced such a large discrepency in all the time I have used your data.

As I understand it, accumulated volume as calculated by individual data providers from the data received from the exchange during the day...this is what I am talking about ...not the settled data at end of day. IB's accumulated volume matches CME's current approximate volume and has all day. Your accumulated volume is off on the magnitude of 20%.

Could you please invesitigate it further, I am not confident with the explaination given, as it implies this is a daily/normal occurance, which in my experience it is definitely not.

At 14:52 ET :

IQ returned @ESZ6 vol at 700,184

IB returned 957,108

CME returned returned approx. 888,000 as of 14:30ET
http://www.cme.com/dta/del/delayed_quote.html?ProductSymbol=ES&ProductFoiType=FUT&ProductVenue=G&ProductType=idx

This differential has been apparent all day.

We spoke CME and their explaination is that they are including Spreads, Block trades, and EPP in their daily volume. EPPs and Block trades are not significant at all but the Spread Trades are quite significant. For example, yesterday the Emini Spread volume was around 190,000 which would account for the 20% difference when comparing CME website or Interactive Broker vs DTN. By the way, DTN volume is inline with Reuters, CQG, as well as Futuresource...Interactive Broker appears to be the only vendor accounting for Spreads in their volume. If you have any further questions, please let us know.

Thanks,

DTN Market Data Services.
Edited by marketdataservices on Sep 7, 2006 at 02:23 PM

It might be important to note that ALL the globex contracts accumulted volume data are off to pretty much the same percentage of total volume...

the CBOT YM contract is seems to be pretty close to the CBOT numbers...

CBOT delayed data shows @YMZ6 approx vol to be 74413 as of 15:00ET
IQ backfill data shows 77660 as of 15:11ET

Again, I have not noted this behavior in the past...except to some degree during rollover problems...never to this degree in my memory.

Thanks for any further help, clarification and response.

thanks marketdataservices....I was drafting my last response as you posted yours.

I do not spread trade and am not familiar with that type of position trading and its strategies...

Because the spread trading volume is obviously becoming very large, especially at contract rollover time...you might well consider including it in your volume totals...it materially affects the trading and charting of the issues involved obviously more so at rollover.

Having such a potentially large block of trade activity not included in the data is a concern strategically, and in my case practically due to the charting problems involved. Possibly due to its evolution in magnitude, it now needs to be considered as a more critical component in the accumulated volume.

Possibly Reuters or other services aren't particularly focused on the critical aspects of the data specifically needed and utilized by futures traders for TRADING.

Thanks for any consideration.

Still can't get any response from IB concerning this issue. Thanks again for your responses.

It feels like it is a IB issue, as it usually is.

Could you confirm that you have not changed the way you calculate the intraday accumulated data for CME products? You pointed out that your numbers match the traditional reporting calcs of Reuters and CQG, but it wasn't clear if there had been a change or not.

I guess the reporting of the spread volume is essentially "wash", simply because it is movement in the same issue...but I can't help but thinking with these huge numbers, and the huge arbitrage effect now, this data might be of value in the understanding of the movement of the issues....

I'm assured by your timely responses and appreciate your conforming to standard feeds and practices. Now if I could feel the same about my broker IB...lol.

Thanks again for any help in understanding this issue.

I double checked with the market team to be sure, but the way we calculate the numbers on our end has not changed in any way.

Hope this helps isolate the issue for you.