Futures Volume

[arvane]

Hi,

For some time now volume has been reported incorrectly when looking at futures markets...

I have worked around this issue for approximately 4 or 5 years...I can no longer do that.

I have had programmed some formulas that take volume into consideration. Unfortunately, since the volume as shown by esignal FOR FUTURES is offset by one day, the program now reports erroneous volume calculations.

The program works fine when looking at stocks...

I have worked around this issue for approximately 4 or 5 years with my charts...this time I can't.

Can you PLEASE PLEASE PLEASE offset the reported volume to the correct trading day ?

I'm begging here....



Thank you taking care of this in advance,
James

[ScottJ]

We're at the point that we have decided that it would improve our offering if we moved the futures volume to align with it's accompanying days pricing data. We are now looking at designing the spec, defining the scope and resources needed and then determining where it can fit in the engineering schedule. This procedure has been in place for over 20 years so there's quite a few touch points that need to be reviewed before we can make the change.

We also need to notify customers in advance in case any 3p's or developers have done an offset on the desktop (and therefore we'd break that offset by moving the vol).

As an overall project, this won't be addressed in the near-term I'm afraid. From a short-term perspective, we are actively working on a EFS that may do the trick for a number of uses. We hopefully will be able to make that EFS available this week for users to take a look. Stay tuned.

Thanks.

[ScottJ]

Try this EFS and let us know what you think. It won't display "today's volume" but the previous days should line-up with the respective pricing data. Still a work in progress....

Thanks.

[arvane]

Hi Scott,

Many thanks for the efs...I have been using something similar for some time now that offsets the reported volume by one day...

The problem we're trying to figure out now is this: I have a small group of guys programming some dll's that look at volume. As you know the reported volume and date don't match up in futures - which causes a bad ouput in the data stream.

Is there a 'flag' of sorts that delineates futures contracts from equity contracts? If such a flag existed then it might be
easier to have the program offset its calculations by one day when dealing with futures...

Thanks for the help,
James

[arvane]

Scott,

Could you please take a look at the Bund contract? I suspect that the volume reported in that contract is correctly reported...

If that is true, are there any other futures markets where the volume reported is done so correctly?

Obviously, this would complicate matters from a programmatic POV...

Thanks,
James

ps. Apologies for responding to my own post.

[ScottJ]

I agree, it appears Eurex is updating the Total Volume column in real-time, unlike how the US futures exchanges report (i.e. "official volume" is reported the following day). This could vary exchange to exchange.

Thanks.

[ScottJ]

Originally posted by arvane
Is there a 'flag' of sorts that delineates futures contracts from equity contracts? If such a flag existed then it might be
easier to have the program offset its calculations by one day when dealing with futures...

Thanks for the help,
James

I'm not sure from a programming standpoint what you would use but in a quote window, you can add a column header called Security Type and that will display Futures, Stock, Indice, etc. So, there are codes that distinguish futures from stocks.

Thanks.

[arvane]

Scott,

I know nothing about how your system collects and dispenses its data so please take the following for what its worth

Most US futures markets (Globex for ex.) also report the volume in a market real-time - exactly what Eurex is doing.

Maybe your engineers can use the real-time volume data as a proxy for today's volume (I already do this as well using a 1440m chart), until the 'official' volume is reported by the exchange the next day. At which point the official volume is offset by your system into the previous day's data field...

I agree, it appears Eurex is updating the Total Volume column in real-time, unlike how the US futures exchanges report (i.e. "official volume" is reported the following day). This could vary exchange to exchange

[ScottJ]

We added the field "electronic volume" to track the intraday values on futs rather than change what the existing "volume" field meant. Making the changes you suggest is what I was alluding to earlier with this:

We're at the point that we have decided that it would improve our offering if we moved the futures volume to align with it's accompanying days pricing data. We are now looking at designing the spec, defining the scope and resources needed and then determining where it can fit in the engineering schedule. This procedure has been in place for over 20 years so there's quite a few touch points that need to be reviewed before we can make the change.

So, yes we may do exactly as you suggest but that's still under design review.

Thanks.