market replay data feed discrepancy

[Snark]

Hi, I run on MarketReplay connection cumulative sum of MarketDataType.Last volume through the day and observe the increasing difference between this sum volume and MarketDataType.DailyVolume figures for the same period.
The test run on the downloaded data for L2 for ZB 03-15 instrument.
Some daily volume figures appeared without relative 'last' messages.
Is that normal?

[NinjaTrader_PatrickH]

Hello Snark,

Thank you for your post.

It is possible for the update to be for the Bid or Ask instead of the Last. Although, you are referring to the DailyVolume which could come through without a Last update as well.

[Snark]

Thanks Patrick,
Changes in "bid" and "ask" volumes may have multiple reasons and can't be used as a references..
Does what you say mean that it's not possible to know exactly what was the price of the contracts that changed daily volume - without relevant "last" message?

[NinjaTrader_Jesse]

Hello,

I believe what Patrick was referring to was that the DailyVolume is not limited to Last event so this could come with the Ask, Bid or Last events.

There would not be any signifying mark on the data that says this is the value the changed the daily volume, you could in theory store the daily volume as a variable and detect the price of the event when the daily volume increases or is different than the stored value.

I look forward to being of further assistance.