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Hello omega-list,
I try to figure out how data that i use (eSignal) correspond with
GLOBEX data.
I parse GLOBEX Time and Sales datafile (ftp://ftp.cme.com/pub/gtime/gx031114.zip)
and got 54653 T&S records. Then i sum up volume from all records and
got total 630640 contracts (i compare just day session 9:30-16:15 ET).
I opened 1 tick chart in TS and inserted Volume indicator and export
data to file. I parse file and got 109185 records then sum up all
volume from all records and got 622679 contracts (day session).
Now question is why the difference in number of records between GLOBEX
T&S file and tick file from TS (with eSignal) so big (54653 vs 109185)?
Volume about the same 630640 and 622679.
Or maybe i use a wrong method to compare data?
TIA
v
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