Re: [amibroker] Time & Sales vs Volume difference

[Richard Dale <richard@xxxxxxxxxxxxxxx>]

In the futures market, certain trades such as spread trades, exchange for physical are sometimes shown in time and sales but do not contribute towards the official volume.

You may also find differences in sessions relating to "All sessions combined" (ie floor and electronic combined), day session only data etc.).
The other difficulty is that often different sections of an exchange's web site do not report the same values as the official areas.
Lastly, with futures, you can also get data that is unofficial and confirmed/corrected the next day.

It's hard to get an apples-for-apples comparison in the futures market.  Most futures data vendors do not provide you with any such detail.  Tread carefully.

For what it's worth, the official ASX volume as provided in their official data feeds for the SPI 200 Sep 2009 day session on 14 July 2009 was 30411.

Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
  markets in Australia, Asia, Canada, Europe, UK & USA -
www.premiumdata.net

-------- Original Message  --------
Subject: Re: [amibroker] Time & Sales vs Volume difference
From: Tomasz Janeczko <groups@xxxxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Date: wed, 15 jul 2009 11:52:08 +0200

Hello,

Most probably because of tick corrections/insertions/deletions:

http://forum.esignalcentral.com/showthread.php?threadid=24502

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Julian" <juliangoodsell@yahoo.com.au>
To: <amibroker@xxxxxxxxxps.com>
Sent: Wednesday, July 15, 2009 11:14 AM
Subject: [amibroker] Time & Sales vs Volume difference

> 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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