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?
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.
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.
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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?
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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:
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.
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.
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