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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Eurex: Wrong Volume for Bund Future?

Author	Topic: Eurex: Wrong Volume for Bund Future? (13 messages, Page 1 of 1)
FGBL07 -Interested User- Posts: 41 Joined: Sep 8, 2011	Posted: Nov 28, 2012 07:44 AM Msg. 1 of 13 Hi, I'm using Sierrachart as charting software. Since two days I see very high volume figures reported for intraday charts of the Bund Future - BDZ12. The continuous contract - BD# - shows only about 50% of this volume. The latter figure is confirmed by the figures shown in IB's TWS. In my experience the smaller number is correct. File Attached: SNAG- 28.11.2012 14.39.00.png (downloaded 1408 times)
DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011	Posted: Nov 28, 2012 08:17 AM Msg. 2 of 13 Hello FGBL07, I see your two daily charts of BD# and BDZ12 and the different volume figures. I checked the data in IQFeed and the daily volume figures match for both contracts so I am not sure why the software is not displaying the data correctly. You may want to ask Support@Sierrachart.com for more help on this. If it helps, IQFeed's daily volume figures for BD# are: 641010 for 11-27 446478 for 11-26 477506 for 11-23 298305 for 11-22
FGBL07 -Interested User- Posts: 41 Joined: Sep 8, 2011	Posted: Nov 28, 2012 08:24 AM Msg. 3 of 13 I'm sorry, I have been misleading. When I look at daily charts for BD# and BDZ12 they indeed show the same volume. But the screenshot of the BDZ12 chart I have shown you is a 840-minute chart, that equals to one Eurex trading day. All three charts should display the same volume figure.
DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011	Posted: Nov 28, 2012 08:42 AM Msg. 4 of 13 Hello, I have two questions - Has the volume of your 840 minute charts been matching the daily volume data until just recently? What day did they first diverge? Does the price data of your 840 minute chart match the price data on your daily charts? Thanks.
FGBL07 -Interested User- Posts: 41 Joined: Sep 8, 2011	Posted: Nov 28, 2012 08:53 AM Msg. 5 of 13 The price data match except for the close: BD# will show the settlement price while BDZ12 daily will show the real close. That's the reason why I use different charts. The volumes never are exactly equal - but that is be expected. The large differences started at this Monday. My suspicion: calender spread trades are reported twice: once for the normal order book and once for the spread order book. I just took a look at time and sales and some entries look suspicious. File Attached: SNAG- 28.11.2012 15.47.11.png (downloaded 1385 times)
DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011	Posted: Nov 28, 2012 09:11 AM Msg. 6 of 13 FGBL07, The screenshot that you provided of the time and sales was helpful. I have attached a picture of IQFeed's time and sales data for the same time period. Notice how your time and sales shows double entries that we do not see in IQFeed. This is puzzling and it may be time for Sierra charts to take a look? File Attached: bdz12.png (downloaded 1506 times)
FGBL07 -Interested User- Posts: 41 Joined: Sep 8, 2011	Posted: Nov 28, 2012 09:14 AM Msg. 7 of 13 Many Thanks. Yes, I think it's time for Sierrachart Support to do some work.
FGBL07 -Interested User- Posts: 41 Joined: Sep 8, 2011	Posted: Nov 28, 2012 01:08 PM Msg. 8 of 13 I have posted the problem in the SC support forum. SC support has looked into the problem. Please take a look at post #4: https://www.sierrachart.com/supportboard/showthread.php?p=228005#post228005
DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011	Posted: Nov 28, 2012 01:19 PM Msg. 9 of 13 Thank you FGBL07 and Sierra Charts - we will take a look at this and get back to you here.
DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011	Posted: Nov 29, 2012 09:20 AM Msg. 10 of 13 FGBL07, Late yesterday, we were able to identify the problem with one of the DTN servers and that was corrected before this morning's Eurex open so the Eurex data going forward is now sending correctly. When you log into IQFeed, you are randomly assigned to either server 148 or 156. Until we get the past Eurex data corrected on 156, you will want to log in until you get server 148. The IQFeed Connection Manager (double-left click the dtn icon by the computer clock) will show which server you are connected to in the IP address at the top. Thank you again for letting us know and I will let you know when the tick data has been repaired on 156.
FGBL07 -Interested User- Posts: 41 Joined: Sep 8, 2011	Posted: Nov 29, 2012 09:24 AM Msg. 11 of 13 Many Thanks for your prompt help. When I logged in this morning I obviously was lucky because I got server 148. I could repair my data and everything looks fine today.
DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011	Posted: Dec 3, 2012 10:31 AM Msg. 12 of 13 FGBL07, The Eurex tick data has been corrected on the 156 server. Thank you again for letting us know.
FGBL07 -Interested User- Posts: 41 Joined: Sep 8, 2011	Posted: Dec 3, 2012 10:37 AM Msg. 13 of 13 Many Thanks. Currently I'm using the 156 server. The data are ok.