Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"This beats the pants off CQG, I am definitely switching to the ProphetX 3.0!" - Comment from Stephen
"As a past ******* customer(and not a happy one), IQ Feed by DTN is a much better and cheaper product with great customer support. I have had no problems at all since switching over." - Comment from Public Forum
"I was on the phone with a friend who uses CQG and right after the Fed announcement, CQG was as much as 30 seconds behind DTN.IQ. Some quotes were off by as much as 15-18 cents. Your feed never missed a beat." - Comment from Roger
"Thanks for all of your help. Great customer service deserves to be recognized which one the reasons I've been a customer of DTN for over 10 years!" - Comment from Stuart
"My broker in Davenport suggested I give you a try as he uses your service and says its the best." - Comment from Bill via RT Chat
"You are much better than lawyers or the phone company because you answer the phone when I call! I just love your customer service." - Comment from Isreal
"I am very pleased with the DTNIQ system for quotes and news." - Comment from Larry
"I just wanted to tell you what a fine job you have been doing. While *******, from what I hear, has been down and out, off and on, IQ feed has held like a champ this week." - Comment from Shirin
"I like you guys better than *******...much more stable and a whole lot fewer issues." - Comment from Philip
"For anyone considering using DTN.IQ for a data feed, my experience with the quality of data and the tech support has been very positive." - Comment from Public Forum
Home  Search  Register  Login  Recent Posts
Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »day askv + bidv != day volume
Author Topic: day askv + bidv != day volume (4 messages, Page 1 of 1)

nto
-Interested User-
Posts: 14
Joined: Jan 18, 2016
Posted: Apr 17, 2016 03:32 AM          Msg. 1 of 4
I have been counting the number of ASK and BID contracts exchanged on BD# on 15th of April and the sum doesn't match the total day volume.

day ASK volume : 221597
day BID volume : 229311
day total volume : 471145

Is it normal? Is IQFeed missing some trades?

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006
Posted: Apr 17, 2016 08:11 PM          Msg. 2 of 4
You cannot count volume of a future by the ticks on the underlying only, many other factors come into play in that number, such as the various spread trades and implied trades that the exchange includes in the final totals.
This is normal behavior.

Tim

nto
-Interested User-
Posts: 14
Joined: Jan 18, 2016
Posted: Apr 22, 2016 12:32 PM          Msg. 3 of 4
So does your answer imply that day ASK volume and day BID volume are computed based on outright transactions only, whereas day total volume includes spread trades and implied trades? If yes, does this also imply that spread trades do not appear on the tick-by-tick time&sales?

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006
Posted: Apr 22, 2016 12:35 PM          Msg. 4 of 4
Correct. And yes, spread trades will not appear on the underlying contract's time and sales.

Tim
 

 

Time: Fri May 17, 2024 5:08 AM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003