No announcement yet.

volume doesn't add up

  • Filter
  • Time
  • Show
Clear All
new posts

  • volume doesn't add up

    I compared a 1-minute chart of ES M4 with Time&Sales and a Tick chart. None of the volume reported for the same minute agree.

    Sometimes the discrepancy is HUGE!

    So which reported volume is the actual volume that occured during any particular 1 minute of trading? The volume on the 1-min chart, the T&S, or Tick chart?

    Why don't these numbers agree with eachother? I guess I don't mind if they disagree by a dozen or so contracts, but sometimes the T&S disagrees with the 1-min by several hundred, and the Tick seems to report several thousand contracts more than either T&S and the 1-min.
    Last edited by checkraise; 04-19-2004, 01:28 PM.

  • #2
    There is a known problem in the minute-based charts, wherein the charts don't update unless there is a price change. This mostly is seen on the volume study, but also affects volume related studies or EFS formulas. If you switch your chart to a tick-based interval (i.e. 60s, 300t), then this problem does not occur, and the chart will match perfectly with Time & Sales.

    This is something that is on our list to address, however an ETA is not currently available.
    Jay F.
    Product Manager
    Have a suggestion to improve our products?
    Click Support --> Request a Feature in eSignal 11


    • #3
      Thanks for the speedy reply Jay. Please clarify which volume is correct on the following:

      On 4-19-04, the ES M4 10:10 bar on the 60s shows 3,867 volume, the 1-min shows 4,020 volume, and T&S adds up to 3,962 for that minute.

      If the 1-min bar doesn't update until there is a price change, wouldn't the volume reported on the 1-min be LESS than the 60s and T&S?

      And why don't the 60s and T&S match up perfectly?

      I trade a setup which triggers a trade when a 1-min volume bar of more than 4,000 contracts appears, so the volume for me it critical.