Futures Volume question

[GregSchroeder]

I don't know if this is just in the latest version, or is also in other versions....

On the daily chart for continuous futures contracts (YM #F, ES #F, NQ #F, ect.), the volume is shifted forward one day. For instance, the volume shown on 2/9/09 is actually the volume from 2/8/09.

I found this when I was trying to figure out why the volume on 2/10/09 (a flat day) was so much greater than the volume on 2/9/09 (a big down day).

Greg

[ACM]

Re: Futures Volume Bug

Greg
As explained in this article of the eSignal KnowledgeBase the Volume reported on daily charts of futures is the prior day's Volume
Alex

Originally posted by GregSchroeder
I don't know if this is just in the latest version, or is also in other versions....

On the daily chart for continuous futures contracts (YM #F, ES #F, NQ #F, ect.), the volume is shifted forward one day. For instance, the volume shown on 2/9/09 is actually the volume from 2/8/09.

I found this when I was trying to figure out why the volume on 2/10/09 (a flat day) was so much greater than the volume on 2/9/09 (a big down day).

Greg

[GregSchroeder]

Alexis,

I am still not sure why this is reported this way. It gets confusing since I use volume in analyzing chart patterns. I would think the Advanced chart would just not display volume for today until it is available.

Other charting packages (like TradeStation) show it correctly.

Do you know if open interest is also shifted one day?

Thanks,
Greg

[ACM]

Greg
To my knowledge Open Interest is reported in the same way as Volume
Alex

Originally posted by GregSchroeder
Alexis,

I am still not sure why this is reported this way. It gets confusing since I use volume in analyzing chart patterns. I would think the Advanced chart would just not display volume for today until it is available.

Other charting packages (like TradeStation) show it correctly.

Do you know if open interest is also shifted one day?

Thanks,
Greg

[GregSchroeder]

Futures Volume Bug

Who can I contact at eSignal about getting this fixed !

It is very misleading when trying to analyze price and volume on a futures contract. I also invalidates any studies that use both price and volume. If open interest is also affected, then those studies are also useless.

I've attached a screen capture that illustrates just how confusing this is. This is EF #F and was taken at 4:30am PST. The two bars I circled (2/26 and 2/27) both are the volume from 2/25. The blue bar I circle should at least be red since it represents the volume from the prior day when the close was lower than the open.

This is a problem !!!

I know other traders who use Tradestation and MetaStock, and both of these display daily futures volume correctly. I know this can be fixed.

Greg

[ScottJ]

Hi Greg,

I think it's important to start off by saying the issue you are describing is not considered a "bug" in our eyes. It's the long standing traditional way volume on futs is reported. The advent of electronic trading and real-time volume updates have changed the landscape and some vendors have elected to make the change.

We actually get feedback NOT to change it, altough I'll say those voices have declined over time. This is a topic in development meetings and a spec to change is under design. I can't give any ETA nor a firm "yes" we'll change this but I do want to convey that we're well aware of the situation and the voices on both sides of the fence. If it were my quess, you'll see us change at some point, possibly this year.

Thanks.

[GregSchroeder]

Scott,

Thank you clarifying. I did not realize there are other traders who prefer this. Puts you in the difficult position.

I wonder if there is not a workaround using time templates or intervals (like 1440 minutes) since the intraday volume is not offset by one bar like the daily volume.

I also wonder if you could have an option in the advanced chart properties that would allow you to choose which way to display futures volume.

Thanks again for shedding light on this!

Greg

P.S. I am smiling thinking about the old cliché... It's not a bug, it's a feature. In this case it really is a feature!

[arvane]

I would just like to add my 2c here...

This 'feature' is ridiculous.

long ago i went into my volume efs and changed it to PROPERLY reflect the volume for the appropriate day...

i also use 1440m charts to obtain real-time volume on a 'daily chart.

my personal opinion (no way informed) is eSignal copied/pasted the way they handled volume from the stock exchanges over onto the futures side of their offerings