Tweet
I am using tick data for volume to track trades > 200 contracts on ES #F intra day
Today there was a huge surge at 12:03 NY time.
During the day the EFS calculated the volume correctly, but after hours when I reloaded the EFS the volume wasn't correct.
I edited the EFS to show the volume(0) at each minute and there only 4 trades >200 at 12:03.
If you look at the T&S you will see hundreds of trades at that time > 200.
Is something awry?
Today there was a huge surge at 12:03 NY time.
During the day the EFS calculated the volume correctly, but after hours when I reloaded the EFS the volume wasn't correct.
I edited the EFS to show the volume(0) at each minute and there only 4 trades >200 at 12:03.
If you look at the T&S you will see hundreds of trades at that time > 200.
Is something awry?