Eurex intraday volume - HUGE difference from Daily and Exchange reported volume

[Anson]

See charts attached.

I have been speaking to Trevor of Marketdelta.com and he had this to say

"Anson,
I am seeing same thing, for the Footprint and candlechart. It seems the eSignal data is messed up in some way when it comes to retrieving the tick data and it is not a calculation problem within MarketDelta."

Please look at the intraday volume bars on ET Z7-DT ... add them all up... and compare them to the Daily reported volume. I believe this is also a problem on the ET U7-DT but it's much easier to total the volume on the Dec contract so it's much easier to compare.

The current ET Z7-DT daily volume or Evol is reported as 800,000+. This is confirmed by the Eurex official website. A simple count of the volume bars on an hourly chart adds up to 100,000+. That's a difference of 600,000+. Could anyone at eSignal tell me why this HUGE gulf exists?





I did a similar comparison on the ET U7-DT contract and arrived at similar discrepancies. Intraday volume bars add up to roughly less than 1.2 million volume but the daily / eVol is reported as close to 2 million.

I have no idea if the Time and Sales is accurate or if its similarly "off". Can someone please have a look at this major issue? This affects anyone using Marketdelta on the Eurostoxx on eSignal and anyone using volume at all! Thank you.

PS. This isn't the only day. I had noticed this same problem on the ET Z7-DT for the last 2-3 trading days. I'm using eSignal 8.0.1

[Anson]

A response please?
eSignal support ticket # 5889201.

Posted more details on elitetrader.com now for more to see.

http://www.elitetrader.com/vb/showthread.php?s=&threadid=104215

[eSignal_AveryH]

Hey Anson,
Thanks for you post, our Data Department is aware of the volume discrepancy in the intraday charts and is making every effort to find the problem and get it resolved.

Once we have a resolution in place we will post back to this forum.

AveryH
eSignal Support

[Anson]

ahodgee,

Thanks for your response. I hope that this fix can be in place asap. Right now, all volume dependent methods are pretty much useless with this issue.

I have also tested the Time and Sales data by exporting it and totaling up the traded contracts and it has the same problem as the intraday volume. I guess this was to be expected but wanted to be sure.

I am sure that many more Eurex traders on eSignal do not check this forum and thus may not be aware of the issue.

Thanks again. Looking forward to a fix soon!

Anson

Originally posted by ahodgee
Hey Anson,
Thanks for you post, our Data Department is aware of the volume discrepancy in the intraday charts and is making every effort to find the problem and get it resolved.

Once we have a resolution in place we will post back to this forum.

AveryH
eSignal Support

[eSignal_AveryH]

Anson,
Sorry for the delay in posting.
According to the Eurex Exchange this is the method in which they report volume. The electronically traded contracts such as ET Z7-DT messages are sent out as trades with trade volume, time of trade and price in which it occurs. This make it possible to plot on chart and display in time and sales.

All OTC (Pit Traded Contracts) reported messages are disseminated as volume increases and will periodically be reported throughout the day. The volume increase will be add to the Total Volume to keep an accurate count of volume for that trading days.

Without pertinent information such as Price, Time of trade, and number of contracts traded the eSignal application can not plot this on a chart or display it in the Time and Sales.

Since this is the procedure of the exchange, eSignal has no plan to change the way it processes or displays it in the applications.

AveryH
eSignal Support

[Anson]

ahodgee,

I'm a little confused. Are you saying that all those other contracts not shown in the intraday volume are all non-electronic traded?

IE. The intraday volume being shown by eSignal is correct as it is and displays all Eurex electronically traded volume... and all those extra (which I don't see in the intraday charts) under eVol is basically pit traded etc?

I thought I had read that Eurex was fully electronic? At least, I thought the DJ ESTX 50 was?

I don't quite get the picture.

[ScottJ]

Hi Anson,

I think we were a little surprised as well but we looked at the raw feed and there are clearly large blocks of volume reported without a specific price or time so we have no way to properly post them on a chart. I've looked at the Eurex site a little bit but I haven't found anything that clarifies this further.

Please let us know if you find anything of interest (either way) and we'll keep poking around as well.

Thanks.

[RedDuke]

Eurex is fully electronic. There is no pit.

I currently looking at another application chart and t@s for DAX December contract, and the volume reported is 32,150. Eurex website (15 minute delayed) is 28,847. So the volume reported is consistant.

[Anson]

Originally posted by RedDuke
Eurex is fully electronic. There is no pit.

I currently looking at another application chart and t@s for DAX December contract, and the volume reported is 32,150. Eurex website (15 minute delayed) is 28,847. So the volume reported is consistant.

Redduke,

Great to see another user finally read this thread!

Would it be too much trouble to post a screenie of the vol bars on a 60min chart so that it can be compared to eSignal's? Now or EOD would be good.

Even better yet would be if you could export all the T&S trades for all sizes for today. The more ideal would be at the end of the Eurex session. This can assist eSignal in 2 ways.. direct comparison of day's volume breakdown by trade. And perhaps more importantly... to see if the T&S matched volume matches their intraday vol on another provider and eSignal's.

I'm trying to get someone else to help me capture some data on another provider too so we can compare the data streams.

Thanks alot!
Anson

[ScottJ]

We checked another competitor and we confirmed that our intraday volumes basically match, as do our total volume figures. Here's a quote from a contact at the Exchange:

yes, the increase of TOTAL_VOLUME is correct. We do not disseminate OTC
trades, but they are included in the TOTAL_VOLUME.

If you discover otherwise, please let us know. For now, we'll assume the data is accurate as it's delivered from the exchange.

Thanks.

[Anson]

Scott,

Could you please elaborate on what counts as OTC trades if there isn't any Pit trading? I'm trying to understand the issue and what's going on behind the volume as I'm quite confused. Thanks!

Anson

Originally posted by ScottJ
We checked another competitor and we confirmed that our intraday volumes basically match, as do our total volume figures. Here's a quote from a contact at the Exchange:



If you discover otherwise, please let us know. For now, we'll assume the data is accurate as it's delivered from the exchange.

Thanks.

[ScottJ]

I think your best bet is to review related information on the Eurex website. I did a search for the term OTC and got lots of interesting references.

Thanks.

[Anson]

Following your link... I did find some information on these OTC trades. They seem to be primarily negotiated trades between 2 parties done off the electronic system.

Kind of like the Negotiated Large Trades at the old Simex (now SGX) clearing house. Seems like Eurex used to require 1000 lots size for these but now only 250 lots to qualify.

So you guys are saying that Eurex said that this OTC volume is accounted for in the Daily reported volume but is not included in the intraday volume. The intraday volume only reports volume done on the electronic system the normal way. Am I right on this?

Originally posted by ScottJ
I think your best bet is to review related information on the Eurex website. I did a search for the term OTC and got lots of interesting references.

Thanks.

[Anson]

Are these large blocks of volume without price or time the OTC volume?

Originally posted by ScottJ
Hi Anson,

I think we were a little surprised as well but we looked at the raw feed and there are clearly large blocks of volume reported without a specific price or time so we have no way to properly post them on a chart. I've looked at the Eurex site a little bit but I haven't found anything that clarifies this further.

Please let us know if you find anything of interest (either way) and we'll keep poking around as well.

Thanks.

[ScottJ]

You have it exactly right. The volume info is sent so vendors can update the total volume but it doesn't come as a transaction (with a price, time traded, etc) so you'll never see that volume reflected in an intraday chart or T&S. This should hold true for any market data or broker's system you look at.

Thanks for the info.