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Hello Mr. Richard Dale,
It will be nice, if you please guide what is "exchange for physical".
With Regards
Sanjiv Bansal
--- In amibroker@xxxxxxxxxxxxxxx, Richard Dale <richard@xxx> wrote:
>
> 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@xxx>
> 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
> > <http://forum.esignalcentral.com/showthread.php?threadid=24502>
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "Julian" <juliangoodsell@xxx
> > <mailto:juliangoodsell%40yahoo.com.au>>
> > To: <amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.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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