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Incorrect Daily volume for US Futures continuous symbol

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  • Incorrect Daily volume for US Futures continuous symbol

    Dear Sir,

    Today I compared eSignal data with Reuters, I found that every US futures continuous symbol I compared had shifted 1 day to Reuters data. These symbols include ES #F, YM #F, CL #F etc. To make sure my observation, I searched exchange data and found Reuters' is correct and it's the problem in eSignal.

    I switch to manual continuous contract and the result is the same. I change to the latest eSignal 12 version and still make no difference. Such problem had been reported since 2003 in this forum. I cannot believe it is still not fixed after more than 10 years. Can you address this problem?

  • #2
    Hi,

    Sorry about the delay responding.

    We do plan to shift futures daily volume and open interest back one day so it reflects the actual volume and open interest for that bar. It requires a change on the servers ,which has been the delay.

    There is no definite ETA of when this will be implemented yet, but will let you know when I do get one.

    Sincerely,

    Eric

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