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Search: Posts Made By: Begbie00

Forum: Commodities

December 22nd, 2018, 05:54 PM

Replies: 5

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

Views: 1,046

Posted By Begbie00

Re: spreads and swaps - wouldn't those appear as...

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...

Forum: Commodities

December 22nd, 2018, 01:40 PM

Replies: 5

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

Views: 1,046

Posted By Begbie00

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...

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