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»Forums Index »Archive (2017 and earlier) »Data and Content Support »EUREX Tick Data incorrect
Author Topic: EUREX Tick Data incorrect (1 messages, Page 1 of 1)

sd_cm
-Interested User-
Posts: 22
Joined: Aug 23, 2004
Posted: Dec 3, 2004 11:06 AM          Msg. 1 of 1
>Originally posted to Developer List with no response. Please respond. There is a major problem with IQFeed tick data from EUREX. Thank You.

If volume of EUREX tick data trades are added up they exceed the reported exchange volume by a factor of nearly 10. For example, on 12/01 EXZ4 has ticks totaling 4,116,149 with the exchange reporting 501,961 contracts traded.

After looking at the tick data I think this may be due to summing the volumes instead of reporting actual trade volume. When a new trade price occurs the volume is "reset", but multiple trades at the same price have their volumes' added together. Is this a DTN error or a EUREX error and how can we fix it?

The enclosed tick stream from EXZ4 demonstrates the problem:

DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 150
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 154 ( actual trade volume=4)
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 162 ( actual trade volume=8)
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 172 ...
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 176
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 177
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 178
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 183
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 184
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 232
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 233
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 237
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 238
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 279
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 298
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 299
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 323
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 332
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2897.0 2
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 4
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 99
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 108
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 128
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 133
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 138
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 159
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 166
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 168
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 181
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 199
DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 200
 

 

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