SPY 500 Index Future contract

[dhh]

Dear Sir,

I want to query SP500 index futures T&S data. What extra data service I should subscribe? What symbols should I input to get T&S data?

Currently, I subcribe NYSE, AMSE and NASDAQ

Thank you.

[eSignal_AveryH]

dhh,

The S&P 500 Futures Index requires that you be entitled for the Chicago Merchentile Exchange (CME), pricing can be found by clicking here.

The CME can be added to your account through Account Maintenance or by contacting Customer Service in your area.

Symbol Format
The symbol format for future contacts are done as follows; Enter the one or two character contract symbol, a space, month code, then last digit of the year.
Example: SP H9


For a complete list of symbols trades on the CME please click here

[dhh]

Hi, Avery

I tried to get T&S data for "SP H9" and "SP M9", but the Size for each transaction is 0 and the exchange is empty. My format is below:

CString strExchange;
strExchange = B2S(pData.sExchange)

int size = pData.lSize;

Price and time are OK.

Thanks for your help in advance.

dhh

[eSignal_AveryH]

dhh,

The data packets format for the S&P do not include volume, Volume on the large contract is not disseminated until after the close of the trading day.

If you would like to see volume you'll need to change to the E-Mini contract (ES).

As far as the Exchange since S&P does not trade regionally but only on one exchange so they did not add the exchange to the feed either.


AveryH
eSignal Support

[dhh]

Avery,

Thanks for replying.

Actually I like to check transaction volume and Buy/Sell institution such as GS , MS, ML. What kind of services I should subscribe?


Thank you,

dhh

[eSignal_AveryH]

If I understand your question correctly, The Brokers/Market Makers you've mentioned deal primarily in the equities markets (NYSE, NASDAQ, AMEX) not Index Futures such as the S&P500.

For equities you would need to have the above mentioned exchanges as part of your service and for the Market Makers you would need to subscribe to Level 2 data.

I hope this answered your question if not please let me know.


AveryH
eSignal Support

[eSignal_AveryH]

dhh,

I should also mention and I apologize for not informing you before but if you're using the Desktop API in conjunction with eSignal, Level 2 data is currently not available.

AveryH
eSignal Support

[dhh]

Last year, eSignal didn't provide realtime volumn information on SP 500 futures(large contract). Is it provided now or no any change?

Thank you,

dhh

Originally posted by eSignal_AveryH
dhh,

The data packets format for the S&P do not include volume, Volume on the large contract is not disseminated until after the close of the trading day.

If you would like to see volume you'll need to change to the E-Mini contract (ES).

As far as the Exchange since S&P does not trade regionally but only on one exchange so they did not add the exchange to the feed either.


AveryH
eSignal Support

[ondafringe]

It's not that eSig doesn't provide volume on the S&P big contract, it's that the CME doesn't provide volume on the big contract until after closing. As far as I know, that hasn't changed.

I track T&S on the S&P e-mini (ES) using the API. If you need some info pertaining to that...

George

[dhh]

George,

I got ES volume by using API.
Thank you for answering my question of SP big contract.

dhh

Originally posted by ondafringe
It's not that eSig doesn't provide volume on the S&P big contract, it's that the CME doesn't provide volume on the big contract until after closing. As far as I know, that hasn't changed.

I track T&S on the S&P e-mini (ES) using the API. If you need some info pertaining to that...

George