Intraday real time volume question

[50 cent]

I watch ES/NQ/YM intraday, and I have noticed that when there is increased activity in the market, the software does not receive all the trades.

For example - after 1 minute of increased market activity, the 1 minute bar of the ES M5 has for example 5000 contracts volume. But when I refresh the chart (ctrl+OK on the cursor window), this bar now has for example 7000 contracts volume.

I guess this means that the data manager did not receive all the trades in real time - 2000 contracts worth of trades did not come through.
Once the chart is refreshed - the data is re-read from the servers, rather than taken from what the data manager collected in real time. And then, the full volume is shown.

I noticed that some volume is often missing, as I described, but price changes are never missing. I therefore assume that the data manager hurries to receive the price change, on the expense of trades at the same price.

This of course makes a lot of sense, since timeliness of price change is more important than volume accuracy, at least to me.

However, I was wondering if there is any trick to optimize the software on the client side (on my computer) to receive as much volume as possible. Other than "buying more memory and more cpu power", if that one is at all relevant.

Thanks for any input
50 cent

[eSignal_JasonK]

Hello 50 cent,

This is a known issue. It is in our eSignal Developer's List as EDL# 587. The work-around is to use a tick based interval. Try using a 60S interval instead of 1 minute.

[50 cent]

Thanks for that info.

[50 cent]

JasonK,

Apparently the tick charts are no different. They show the exact same volume that the minutes charts do, and when I refresh the minutes chart (ctrl+ok in cursor window), the volume increased significantly.

If there are any other ideas how to improve the problem on the client side (on my computer), then please help.

Thanks
50

[50 cent]

JasonK,

It seems that i might have not explained myself correctly.

I understand that the 1min bars don't update the volume with each tick that passes, but rather the full volume is assigned to them only when the minute is complete.

However, even once the whole minute has passed, I still get significantly less volume for that one minute bar, than after I refresh the chart (using ctrl+ok).

For example, a completed 1min bar that showed volume of 5000 contracts on the ES, can show 7000 contracts once I refreshed the chart. This is especially true when there is increased market activity. I conclude that trades simply don't come through.

Any ideas?
Thanks again
50

[eSignal_JasonK]

Hello 50 cent,

I think the issue you're describing is related to the discussion in this thread. Please review and let me know if this is the same issue.

[50 cent]

Hi JasonK,

thanks for the reference.

i think the issue i am referring to is slightly different.

in my case, a 1min ES bar can have 6000 contracts volume, and they turn into 8000 after I refresh the chart. the bars next to it do not have 2000 volume extra (i.e. the volume is not assigned to adjacent bars due to the slightly mismatching time stamps and so on). this phenomena usually happens when there is increased market activity. a 'refreshed' 1min ES bar can show as much as twice the volume comparing to the way it was when it was received in realtime. i also doubt that it relates to interventions by the exchage, since i refresh the chart immediately after the bar is complete.

however once again, while volume is many times missing when there is increased market activity, price is never missing (i.e. eSignal always shows ALL price changes). it's as if the data manager skips trades at the same price when there is a lot of action in the market.

if it was a problem on my computer and random trades simply don't come through, then prices would be missing as well.

still puzzled here..

thanks
50

[brianb]

Does this thread describe what you are seeing?

http://forum.esignalcentral.com/showthread.php?s=&threadid=2587

[50 cent]

not exactly. AFTER the 1min bar is finished, the chart already moved on, that 1min bar shows for example 6000 contacts volume. then i refresh the chart (ctrl+ok in cursor window), and that bar now shows significantly more contracts (say, 8000). this is especially true when there is increased market activity.