volume on daily chart and intraday chart different

[uktrader]

Can someone please explain why a daily chart for ES#F shows a volume of 1,266,237 for 4th Jan 08 and a 60 min chart with a 24 hour template shows a cumulative volume of 2,168,761 for the same date? Why the large difference? I cannot seem to correlate volume on an intraday chart with the daily charts.

Thanks

[uktrader]

On further searching of the knowledge base, it would appear that volume on a daily chart of ES#F is the previous day's volume. However, this doesn't explain why the cumulative volume for ES#F was 2,756,500 on 12/12/07 and the daily chart shows only 285,364 for volume on the 13th.

[ACM]

uktrader
I believe that is because on December 13 the ES #F contract rolled over to the March 08 contract so on that date eSignal reports the Volume of the prior day of ES H8 which was 285,364 whereas you are calculating the cumulative Volume on the intraday data of December 12 which is based on the ES Z7 contract
Alex

Originally posted by uktrader
On further searching of the knowledge base, it would appear that volume on a daily chart of ES#F is the previous day's volume. However, this doesn't explain why the cumulative volume for ES#F was 2,756,500 on 12/12/07 and the daily chart shows only 285,364 for volume on the 13th.

[shortandlong]

uktrader is right - daily volume is on the WRONG day! This is a glaring bug and I would report it to eSignal as such so it gets fixed.

Daily volume for ES should be added up from 6:00pm EST the previous day to 5:30pm EST for the day of the daily data.

Since this also appears to be the case for SP and NQ, I suspect it is a general problem, regardless of symbol.

eSignal, when can this be fixed?

[habi]

I was searching for the same problem in different areas. I found the following article in the knowledge base:

Advanced Chart Window
When looking at any electronic futures symbol on an intraday time frame the volume study will show you the actual contract volume being traded. If you are looking at any non-electronic futures contract in an intraday interval it will show you tick volume (tick volume is the number of times the price has changed in a given interval). If you are watching any futures symbol on a daily interval the volume shown will be yesterdays closing volume.

http://kb.esignalcentral.com/display/2/index.asp?c=12&cpc=40O2r6eeyG0Jfuy2sd5gAr4LG2c3&cid=1&cat=&catURL=&r=0.499325

I have some problems to understand, why it's not possible to add all the intraday volume and then plot it in a daly chart. If I look on a daly chart during the trading session, it seems to me, that it's a mix between volume of the last trading day and the actual traded volume. The volume changes, but its more than the cumulative volume for the current day.

[ACM]

Brad
As explained in the KB article indicated by Peter (habi) the Volume reported on daily charts of futures is the prior day's Volume. You may also want to see this post by Scott Johnson on the same subject;
If you would like to submit a suggestion to change this you can do that by selecting Customer Support-> Make A Suggestion in the main menu of eSignal
Alex

Originally posted by shortandlong
uktrader is right - daily volume is on the WRONG day! This is a glaring bug and I would report it to eSignal as such so it gets fixed.

Daily volume for ES should be added up from 6:00pm EST the previous day to 5:30pm EST for the day of the daily data.

Since this also appears to be the case for SP and NQ, I suspect it is a general problem, regardless of symbol.

eSignal, when can this be fixed?

[ACM]

Peter

If I look on a daly chart during the trading session, it seems to me, that it's a mix between volume of the last trading day and the actual traded volume. The volume changes, but its more than the cumulative volume for the current day.

I believe that the issue you are describing is due to a bug in version 10 r3 (build 859) which as far as I know has been fixed in version 10 r4 (build 1086) together with the issue of the double Volume (see this thread for the details regarding build 1086)
Alex

Originally posted by habi
I was searching for the same problem in different areas. I found the following article in the knowledge base:

Advanced Chart Window
When looking at any electronic futures symbol on an intraday time frame the volume study will show you the actual contract volume being traded. If you are looking at any non-electronic futures contract in an intraday interval it will show you tick volume (tick volume is the number of times the price has changed in a given interval). If you are watching any futures symbol on a daily interval the volume shown will be yesterdays closing volume.

http://kb.esignalcentral.com/display/2/index.asp?c=12&cpc=40O2r6eeyG0Jfuy2sd5gAr4LG2c3&cid=1&cat=&catURL=&r=0.499325

I have some problems to understand, why it's not possible to add all the intraday volume and then plot it in a daly chart. If I look on a daly chart during the trading session, it seems to me, that it's a mix between volume of the last trading day and the actual traded volume. The volume changes, but its more than the cumulative volume for the current day.

[uktrader]

It seems very strange that esignal users should have to put up with such a glaring error when looking at futures daily charts. I have made the suggestion to customer support. Perhaps a few others might do the same

[shortandlong]

Alex and habi, thanks for the references explaining the issue. However, while I understand the legacy reasons for this, it no longer applies to electronic futures. (Legacy reason being daily pit volume was/is not reported until the next day and intraday volume was/is unknown during the day. However, pit trading is almost dead.)

The real problem is that long ago eSignal made a poor decision to put the daily volume for futures on the wrong day in it's database. It's now come back to haunt them. What should be an easy enhancement (daily futures volume available the same day) instead requires changes to their historical database. Both charts and historical data retrieval need to be changed to have volume matched to the day it occurred.

eSignal should total up intraday volume during the trading session and use it as the daily volume until the exchange reports the official daily volume. This should be done regardless of whether it's officially reported the same day or the next.

For consistency, this change should be made for ALL futures, pit and electronic. If the daily volume for a pit future is zero (unknown), that's what should be returned by eSignal until it is known. Mixed pit/electronic futures like CL can be handled by either reporting zero until the official volume is available, or reported a running total of the electronic-only portion until the official pit+electronic volume is available.

If eSignal chooses to leave the current day's volume on a daily chart as static (zero) for now until the end of the day's session, that's fine. Getting the database and daily chart price/volume alignment fixed is more important to me, provided a running total of the day's volume is available in a quote window or elsewhere. Daily chart volume could always be made realtime/dynamic later.

Alex, I couldn't find your reference to Customer Support-> Make A Suggestion. The closest thing I found was a place to email eSignal for Technical Support. However, this is an enhancement request and/or bug report. It should go to the development team or product manager. Any ideas how to get the request to them or did I just not find it?

[habi]

Originally posted by Alexis C. Montenegro
Peter

I believe that the issue you are describing is due to a bug in version 10 r3 (build 859) which as far as I know has been fixed in version 10 r4 (build 1086) together with the issue of the double Volume (see this thread for the details regarding build 1086)
Alex

Alex

Yes, you are right, thanks. I installed the new version last saterday. Today's daly bar was plotted with friday's daly volume with no change in volume.

@shortandlong

I agree with your statement, at least the electronic traded futures should have the correct volume.

I tried to create a formula (first time), which is shifting the daly bars back. Volume is green, when it's higher than yesterday and red, when lower than the day before.

Hope, it helps a little bit

Peter

[habi]

Here is a YM chart example. As you can see, the volume for January 4 with the "Volume -1 day" shows now the correct volume for this day.

Peter

[shortandlong]

Looks better, but for me what I make decisions on is the last day's volume, and this seems to be missing or messed up (cumulative of yesterday's volume plus todays as you mentioned).

Bottom line is that eSignal's daily volume is only useful in examining the PAST, but not making trading decisions for today (or the next day's opening).

I believe this bug breaks ALL daily indicators that use price and volume. For example, OBV (On Balance Volume) doesn't work properly because of this. The bug makes eSignal's daily volume almost worthless.

[uktrader]

This is esignal's response from tech support:

"Volume is not real-time from the futures exchanges. It is only reported once or twice per day; after the market is closed. Any chart, no matter what the software, can only keep a count of the number of updates, at best. And each update could be for any number of contracts; that information is also not sent by the exchange. "

So how come I can follow ES emini volume on intraday charts?? It would seem that esignal is incapable of adding up intraday volume and displaying it on a daily chart. It would be nice if they could do this in real time but it would also be a vast improvement if they could do it once a day at the close of the ES market and display volume on the CORRECT day. This is IMPORTANT to those of us that rely upon using volume.

[uktrader]

Originally posted by shortandlong
Alex, I couldn't find your reference to Customer Support-> Make A Suggestion. The closest thing I found was a place to email eSignal for Technical Support. However, this is an enhancement request and/or bug report. It should go to the development team or product manager. Any ideas how to get the request to them or did I just not find it?

Suggestions for this to be changed should be sent to:

[email protected]

[shortandlong]

Wow, the response you got back from eSignal Support really makes them look bad and totally out of touch with the futures exchanges and their customers. They still seem to think most future trading occurs in the pits (for which there is no volume info).

Volume is fully supported by electronic contracts. Someone needs to tell eSignal that pit trading is on it's way out.

With the dramatic switchover to electronic contracts and the death of the pit things have changed, and eSignal needs to adapt to it.

Regardless, eSignal needs to fix their database so daily volume and price are matched up so customers can use volume indicators.

If you contact them again, I'd refer them to this topic.

I'd like to see the eSignal Product Manager respond to this. At least it would be nice to see that eSignal understands that there is a problem and it needs to be resolved, regardless of when.