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Scott,
Alright thanks. I think we're finally getting somewhere with this.
The interesting thing is that today's intraday volume as confirmed by esignal's time and sales for the ET Z7-DT is close to 80% of the total reported daily volume. This is a huge change from the previous 20-30%!
My gut feel tells me that these OTC negotiated trades will be most prevalent during the initial rollover period of the first few days making up to 80% of day volume and probably slowly pan out to allow normal traded volume to become the higher percentage.
This makes sense but also means that there's a whole bunch of volume (3 to 4 million this time) the first few days that completely eludes any scrutiny.
I will be having a look at another vendor's intraday volume anyway and update here regardless of whether it does or doesn't match eSignal's. This would be a final confirmation that the issue is completely OTC-driven.
If so... I will also be fair and update my thread on Elitetrader.com as the title would be somewhat misleading.
Thanks again Scott and ahodgee.
Alright thanks. I think we're finally getting somewhere with this.
The interesting thing is that today's intraday volume as confirmed by esignal's time and sales for the ET Z7-DT is close to 80% of the total reported daily volume. This is a huge change from the previous 20-30%!
My gut feel tells me that these OTC negotiated trades will be most prevalent during the initial rollover period of the first few days making up to 80% of day volume and probably slowly pan out to allow normal traded volume to become the higher percentage.
This makes sense but also means that there's a whole bunch of volume (3 to 4 million this time) the first few days that completely eludes any scrutiny.
I will be having a look at another vendor's intraday volume anyway and update here regardless of whether it does or doesn't match eSignal's. This would be a final confirmation that the issue is completely OTC-driven.
If so... I will also be fair and update my thread on Elitetrader.com as the title would be somewhat misleading.
Thanks again Scott and ahodgee.
Originally posted by 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.
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.
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