BidAskVolume EFS clarifications

[FibbGann]

Has anyone else noticed that this efs total miscalculates the
ES #F contracts?

[ACM]

FibbGann
FWIW I have been running the efs in real time on ES #F 1 minute chart and so far I am not seeing any miscalculations.
I also tried it on the DAX futures (see second image below) which are more active at this time and even in that case the values match the total volume
You may want to post an example of the discrepancies you are seeing
Alex

[FibbGann]

After further reveiw I found that the issue resides in the "volume" not counting all the contracts executed as show in the time and sales.

The last bar shown was for 23:19 EST. The volume only shows 3 contracts traded as does the BidAskVolume efs shows.

[FibbGann]

If you look at the Time and Sales it shows 105 contracts going off at the "Ask" and 30 going off at the "Bid". So, I correct myself and come to the conclusion that the volume is not grabbing the correct contract amounts being traded. That can surely be misleading when using a volume and price analysis during trading.

I can't remember if this issue was mentioned before or not?

[ACM]

FibbGann
That is a different issue and is related to how an efs executes in minute based charts with some electronically traded contracts (such as ES and NQ). Under those conditions an efs will execute only when
- Current trade price is different than the previous trade price.
- Current trade price is at the bid and previous trade was at the ask or vice versa. The two trade prices can be the same in this instance.
FWIW this issue has been mentioned before by JasonK and the solution is to use tick based charts such as for example 60S in lieu of 1 minute. In this case an efs will execute on every trade.
Alex

[FibbGann]

Thanks ALex.

[trapper]

Alex

Do you have a link to JasonK's post about this?

Thanks

[ACM]

trapper
Sorry I don't. I just know that it has been discussed before.
Try running a search through JasonK's posts
Alex