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Studying the Time & Sales data vs the tick data from eSignal, I get different values for ticks and volumes.
For the SPI on the 14/7/09, I get the following volumes from these sources:
30411 - ASX website
30310 - T&S from AB
28876 - AB daily volume
28926 - eSignal daily volume
The Time & Sales matches fairly well with that from the ASX, and AB and eSignals match well also which makes sense.
My question is why the volume in AB and eSignal doesn't match the Time and Sales volume also coming from eSignal? Is the price/volume data feed from eSignal separate to the Time & Sales feed? So AB doesn't create ticks/bars from the Time & Sales data?
This isn't of any major importance, just curious.
Regards,
Julian.
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