Is a ~25% discrepancy between CME T&S vs. EOD reasonable? - Commodities Futures Trading | futures io social day trading
futures io futures trading


Is a ~25% discrepancy between CME T&S vs. EOD reasonable?
Updated: Views / Replies:118 / 5
Created: by Begbie00 Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

 
 
Thread Tools
 

Is a ~25% discrepancy between CME T&S vs. EOD reasonable?

 
Trading Apprentice
New York, NY
 
Trading Experience: Beginner
Platform: NinjaTrader
Favorite Futures: Gold GC
 
Posts: 2 since Jun 2018
Thanks: 3 given, 1 received

Is a ~25% discrepancy between CME T&S vs. EOD reasonable?

In their Time & Sales FAQ, CME notes that there may be differences between their Time & Sales data and their EOD Data volumes "due to the inclusion/exclusion of quantities from certain venues/trade types".

I've purchased the April 2018 corn contract Time & Sales and EOD. For the 4/2 trading day, the EOD reports Globex volume of 449061, whereas the Time & Sales file tabulates to 333127. The error appears across all contract maturities. The same pattern appears for all trading days within April 2018.

Is this a reasonable gap? Can I still use T&S to produce various bars (time, tick, volume, dollar) or is it too incomplete to be useful?

 
 
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
 
Elite Member
Bay Area California
 
Trading Experience: None
Platform: TT T4
Favorite Futures: Futures
 
Posts: 732 since Nov 2011
Thanks: 663 given, 757 received


Yes those numbers seem reasonable. Your Time and Sales data is likely only showing you volume expressly transacted on the April 18 corn contract. While the cme eod volumes include all the volume from the spread products as well.


Sent using the futures.io mobile app

"If I agreed with you, we'd both be wrong."
The following 2 users say Thank You to addchild for this post:
 
 
Super Moderator
London UK
 
Trading Experience: Beginner
Platform: CQG
Broker/Data: S5
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 4,227 since Sep 2015
Thanks: 10,381 given, 8,501 received


Begbie00 View Post
In their Time & Sales FAQ, CME notes that there may be differences between their Time & Sales data and their EOD Data volumes "due to the inclusion/exclusion of quantities from certain venues/trade types".

I've purchased the April 2018 corn contract Time & Sales and EOD. For the 4/2 trading day, the EOD reports Globex volume of 449061, whereas the Time & Sales file tabulates to 333127. The error appears across all contract maturities. The same pattern appears for all trading days within April 2018.

Is this a reasonable gap? Can I still use T&S to produce various bars (time, tick, volume, dollar) or is it too incomplete to be useful?

As addchild suggested, the discrepancies likely is between one figure which reports contract trades only Vs the other which includes: block trades, spreads, swaps, against actuals and anything else exotic.

The following user says Thank You to xplorer for this post:
 
 
Trading Apprentice
New York, NY
 
Trading Experience: Beginner
Platform: NinjaTrader
Favorite Futures: Gold GC
 
Posts: 2 since Jun 2018
Thanks: 3 given, 1 received


xplorer View Post
As addchild suggested, the discrepancies likely is between one figure which reports contract trades only Vs the other which includes: block trades, spreads, swaps, against actuals and anything else exotic.

Re: spreads and swaps - wouldn't those appear as individual trades in two different calendar months (in effect counting the spread quantity once in each calendar month)?

Regardless, I guess the 2nd question still stands: if I have ~333k out of ~449k of the volume, is that enough to build my bars? Or do I need to worry about a more inclusive source (e.g. MBO FIX) to make sure I'm building bars off of all 449k of volume at a tick level?

The following user says Thank You to Begbie00 for this post:
 
 
Super Moderator
London UK
 
Trading Experience: Beginner
Platform: CQG
Broker/Data: S5
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 4,227 since Sep 2015
Thanks: 10,381 given, 8,501 received


Begbie00 View Post
Re: spreads and swaps - wouldn't those appear as individual trades in two different calendar months (in effect counting the spread quantity once in each calendar month)?

I think it depends on how each platform reports the various volume aggregates.

For example, I use CQG and I typically look at Crude Oil (CL). These are the daily volumes reported as of last Friday's close:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


You will see on the top right corner of the DOM that a final volume of 671666 is reported for last Friday. But if you look at the bottom right corner of the chart, the reported total volume for the day is 1061606.

A similar discrepancy is replicated across all days and across all products.

When I asked CQG, they explained that, depending on which setting you use, you are either looking at the pure contract volume or at the daily volume including other months and other types of trades which may not be necessarily included in the pure contract volume. Probably different providers include different data.



Quoting 
Regardless, I guess the 2nd question still stands: if I have ~333k out of ~449k of the volume, is that enough to build my bars? Or do I need to worry about a more inclusive source (e.g. MBO FIX) to make sure I'm building bars off of all 449k of volume at a tick level?

I don't know for which purpose you need to understand the discrepancy but simplistically speaking I would say it does not matter which figure you pick, as long as you are consistent, i.e. if you exclusively use either the smaller or the larger figure to build your bars then you will have a consistent picture.

The following 2 users say Thank You to xplorer for this post:

 



futures io > > > > Is a ~25% discrepancy between CME T&S vs. EOD reasonable?
Thread Tools



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Journal Challenge $1600 in Prizes & Free Journalytix for all participants!

February
 

Trading Resolutions for 2019 - Avoiding Mistakes w/GFF Brokers

Feb 19
 

3 Excellent Entries, and How To Automate Them w/Kevin Davey

Feb 21
 

The Driving Force Behind the Market w/Earn2Trade

Mar 5
 

TBA w/Stage5 & iSystems

Mar 12
 

TBA w/John Grady @ No BS Day Trading

Mar 19
 

Day Trading Oil Futures: Reducing Risk & Increasing Profits w/DTN IQFeed

Mar 26
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Historic EOD S&P 500 A/D Issues & U/D Volume taes7t Emini Index Futures Trading 3 October 5th, 2017 06:12 PM
Oil volume discrepancy between CME, data feeds and bar types josh The Elite Circle 22 March 26th, 2012 10:34 AM
locate a reasonable priced NT coder philkurin NinjaTrader Programming 4 June 16th, 2011 05:03 PM
Big discrepancy 6E/@EU# vs. EURUSD spot Laurus12 Currency Futures 7 June 9th, 2011 09:12 PM
Plot Value "Data Window" / Programatic discrepancy WolfieWolf MultiCharts 6 June 6th, 2011 06:12 PM


Tags
amp, block trades, cl, cme, commodities, cqg, crude, crude oil, data, data issue, dom, futures, globex, patterns, spread, spreads, t&s, tapatalk, tick, time and sales, trading, volume

All times are GMT -4. The time now is 09:00 AM. (this page content is cached, log in for real-time version)

Copyright © 2019 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432 WhatsApp Business, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2019-02-16 in 0.20 seconds with 14 queries on phoenix