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Anyone know how the CME calculates final volume for CL?
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Created: by nepenthean Attachments:1

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Anyone know how the CME calculates final volume for CL?

  #1 (permalink)
Trading Apprentice
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Anyone know how the CME calculates final volume for CL?

Hello everyone!

My RTH/ETH NT charts never reflect what the CME states on their site. I am specifically talking about CL.

Can anyone more knowledgeable than I assist me in this?


Thanks in advance!

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  #2 (permalink)
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  #3 (permalink)
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Try this thread it may help:

https://futures.io/ninjatrader/31572-newbie-chart-discrepancies-exchange.html

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  #4 (permalink)
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nepenthean View Post
Hello everyone!

My RTH/ETH NT charts never reflect what the CME states on their site. I am specifically talking about CL.

Can anyone more knowledgeable than I assist me in this?


Thanks in advance!

How far are your numbers off?

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.

Attached Files
Register to download File Type: gz CL_May.tar.gz (1.92 MB, 3 views)
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  #5 (permalink)
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artemiso View Post
because some of it should not be broadcasted.

Thanks Artemiso. Just curious what doesn't get broadcasted?

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