I am trying to filter the gomi volume based on trades of certain size, but it appears that something is different between my broker's tick data and what the gomi indicator is reporting. I redownloaded the broker data, and it still appears to match what it had before when it was streaming it.
Is there some setting I need to change? I am using the Binary File Format to save the data. The volume in the gomi file appears to be in much smaller trade sizes than the volume reported in the ninjatickfile.
I also made an indicator to sum gomi's volume and the my broker's volume and they match, but the total size of the tick volume for each trade is completely different.
In the image below, the blue line on the VOL indicator is set at 90, so anything above that is a trade that should show up in the GomCDPrice indicator. The GomCDPrice indicator is just counting the number of trades that are greater than 90 contracts. In the 1st second of the day, I count 5 trades that were greater than 90 contracts in the ES yesterday.