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Anyone know how the CME calculates final volume for CL?
See attached files for the May 13, May 14 and May 15 market sessions (6 PM - 5.15 PM) for all traded contract months. Volumes of each trade and its sequence number is attached. I've divided the files into Globex (1CL**) and OTC trades (2CL**).
A quick sanity check shows that all the OTC trade volumes match those on the website aside for one or two end-of-day corrections, while the Globex trade volumes should consistently be less than the volumes announced on their website because some of it should not be broadcasted.
