Wrong Bar with volume interval for YM#f

[Jeanmark]

Hello
I used to work with 400V interval for YM#f and today there's something wrong, I have only about 7 Bars by hours.
Could you check this ?
Thank you.

[JayF]

Relating to this announcement trade sizes on CBOT a/c/e contracts have been removed. This was done to supress the incorrect trade sizes formally being sent across the a/c/e feed (i.e. they were a running total of that price level.) This change will remain in affect until a/c/e corrects the issue on their end.

[brian51]

Any idea when the CBOT A/C/E trade size problem will be fixed?
It's been a week of this problem

[JayF]

Just to clarify in case it was misunderstood, the dropping of trade sizes for CBOT contracts was an intentional change by us. The problem with the trade volume data is that it was completely erroneous. The CBOT is sending out sizes that are accumulated for each price level, and reset once the trade price changes. We had complaints of this inaccurate data, and based on the recommendation from CBOT we removed the trade volume data. Below is a screenshot of a Time & Sales window from 10/13 showing what this data looked like.



I don't believe CBOT has given a firm time frame for this release yet, but once they make the change, we will revert to showing the Trade Sizes once again.

[MKen]

CBOT Trade Sizes

I understand the reason for eSignal's removal of the CBOT trade sizes, as I have been filled on a Stop at prices never shown for YM. A week without this data, however, has effectively eliminated my ability to trade the Dow E-mini. When individual issues are analyzed using price and volume, and Trade sizes are gone, no one has any volume indicators or oscillators to use to support price analysis. I suppose I could go back to practicing multicolinearity :-)

A week without trade sizes is far too long. Is the CBOT unable or unwilling to work with eSignal to resolve this issue? Are they going to wait until they begin clearing through the CME? Someone really needs to light a fire under these people at the CBOT. For those of us who pay our bills trading E-minis, a daily update on the progress of this serious problem should not be too much to ask.


[QUOTE]Originally posted by JayF
[B]Just to clarify in case it was misunderstood, the dropping of trade sizes for CBOT contracts was an intentional change by us. The problem with the trade volume data is that it was completely erroneous. The CBOT is sending out sizes that are accumulated for each price level, and reset once the trade price changes. We had complaints of this inaccurate data, and based on the recommendation from CBOT we removed the trade volume data.

I don't believe CBOT has given a firm time frame for this release yet, but once they make the change, we will revert to showing the Trade Sizes once again.

[brian51]

Prophet.net seems to have trade volume on the mini dow

I checked the prophet.net web site, and on there chartstream of the mini dow they have what looks like reasonably accurate trade volume. number of trades on this contract is almost useless as an indicator, I'd rather have what might be slightly wrong trade volume than number of contracts. E-signal blames the CBOT but what data is prophet.net getting?

[MKen]

Prophet.net seems to have trade volume on the mini dow

I am getting trade volume through the broker I clear through. I have to assume that brokers and other data providers are receiving the same erroneous data from the CBOT, but the eSignal staff had enough concern for their subscriber base to push the CBOT. I also know that things like this are the reason that eSignal has been rated number one by traders and professionals for over a decade now.

I get the impression that the CBOT is not taking this problem seriously or else it would have been corrected. Maybe the CBOT can't correct it - I don't know.

I grew to like trading the Dow E-mini because I could lower my risk exposure, but I will not trust someone else's volume or trade sizes on CBOT contracts until eSignal once again trusts this data. ...and I can't assume the risk I do if I cannot trust the data.

If the CBOT can't or won't... in the next week, I'm going back to the CME, with data I can trust, and live with the higher tick values and corresponding increase in risk.

[ScottJ]

This Q2 2003 CBOT Vendor Newsletter describes how their system doesn't send each trade with it's respective volume ( they use the term "netting" ) but their new system will be able send each trade and each trade's volume. Current ETA is before the end of the year.

I'm sure there are vendors that have elected to re-transmit the data "as is" but we felt it was better to pull the sizes off until the new system was in place.

Hope this additional information is helpful.

Thanks.

[MKen]

Scott:

Yes - Thank you. The additional information was helpful. This tells me that the CBOT's problem may not find resolution until the CBOT and Eurex dissolve their relationship. Even though that may be longer than preferred, just knowing a solution will happen is comforting.

I can come to the assumption that the problem is probably the BOTCC or the A/C/E network, rather than CBOT specific. This means I will trade the YM again, but will need to set up DJ30 proxies for intramarket analysis and move focus to the CME products for a while. The wondering whether tomorrow was the day to start trading the YM contract again was becoming difficult.

Now I'm rather hoping the overseas products Eurex will begin offering direct access to through the BOTCC next year won't be too attractive ;-)

Ken

[gmathiou]

Missing volume in CBOT futures

Originally posted by ScottJ
This Q2 2003 CBOT Vendor Newsletter describes how their system doesn't send each trade with it's respective volume ( they use the term "netting" ) but their new system will be able send each trade and each trade's volume. Current ETA is before the end of the year.

I'm sure there are vendors that have elected to re-transmit the data "as is" but we felt it was better to pull the sizes off until the new system was in place.

Hope this additional information is helpful.

Thanks.

Dear Esignal

eSignal should re-start transmitting volume info for a/c/e traded instruments asap, even if it isn't broken-down to correspond to each individual trade, due to a/c/e's "netting".

What would be the difference with the DAX futures (which use the same engine) ? Should we expect AX volume to suddenly disappear as well, because they are "wrong" by this definition?

George