Volume in Chart vs. Volume in Time&Sales?

[dawdler]

Hi,

i just noticed a volume discrepancy between the volume on my charts and time & sales window. the charts are showing a lower volume than t&s. I confirmed this by using a 1440minute chart and comparing several prevous day's volume to the the volume on CME site, they were all lower.

this seems to be happening with NG (Natural Gas Futures) and not 6E and...
-The template i am using is NT template: Nymex Metals / Energy ETH which shows the entire days volume
- using same contract month

I don't understand, why is the volume on my chart lower than the volume on time&sales windows (plus CME site). What could be going wrong?


thanks for your time in advance

[NinjaTrader_Matthew]

dawdler,

Thank you for your post.

Can you please clarify for me who you connect to for data?

I look forward to assisting you further.

[dawdler]

Mirus/Zen-fire

p/s: the difference b/w volume on charts and volume on t&s window increased to about 20,000 right now, an hour ago it was only 8,000.

[dawdler]

volume difference between t&s and 1440m are happening to other futures as well. note: all charts are plotting with the entire trading hrs.

my PC clock is about 20 seconds slower than time in t&s window. could that be a problem?

[NinjaTrader_Kyle]

Hi dawdler,

Thanks for bringing that up - PC clock syncing can result in a variety of issues.

Please shut down NinjaTrader, sync the PC's clock, then restart and check to see if the same issue occurs.

You can sync your PC clock by double clicking on the clock in the lower right corner of your desktop. Once you have done that, click on Internet Time tab and then click Update. Your PC clock should now be updated.

[Radical]

I noticed this problem a while ago with zen-fire on CL. I spoke with zen-fire about it and was told that it was a problem with ninja, not with zen.

Edit: and as far as I can tell my T&S time and PC clock time are synced exactly.

[NinjaTrader_Matthew]

Hello dawdler,

Thank you for your patience while I gathered more information on this issue.

It is expected to see a discrepancy between the volume in real-time trade sizes and compared to the cumulative volume coming from your data provider(s).

This is because the T&S/real-time feed is not going to report any non-qualifying trades that come through, but the volume will be recorded on a data provider servers. Since this data does not come through the streaming data, there is no way NinjaTrader can catch it and aggregate it into real-time daily volume.

There are a number of factors that are used to determine if a trade is qualifying or not and different providers will use different methods to determine if a trade is valid. Because of this, the data you see stored in a single daily bar pulled from a server and the real-time daily volume data you see in the T&S will differ. You will notice when you first pull up the chart and compare to the T&S, the volume will be similar, however given enough time you will see a discrepancy.

The difference between the two values will equal the number of shares traded via non-last-qualifying trades.

For example, at 10:00:33 (EST) today, there was an Average Price Trade for AAPL for 342,000 shares which does get counted in volume but does not get sent out in the feed as a trade. You would have gotten an update from the server with the incremental volume but without a last price or extended last price.

[JoshDance]

Thanks for the info Matthew.

Can you provide some more information or resources on what criteria is used to determine a "qualifying" or "non-qualifying" trade?

As my issue pertains to CL volume, I did some research , and found this in a brochure from the CME group: "Whether you trade live on the floor, electronically on CME Globex or clear privately negotiated trades through CME ClearPort, your credit risk is virtually eliminated as CME Clearing becomes the buyer to every seller and the seller to every buyer."

So, it seems on the CME exchange there are essentially 3 ways to clear a transaction: globex, pit, and clearport.

This link shows ClearPort volume:

http://www.cmegroup.com/trading/otc/index.html?FilterOn=41&#sortKey=9&sortOrder=descending&SortType=number&FilterOn=//lcpcProductTO[cpcproduct/product_group + 'Energy' and cpcproduct/sub_group + 'Crude Oil' and( cpcproduct/sub_category + 'Outrights' or cpcproduct/sub_category + 'Spreads')]&PageStart=1&vertindex=5

It gives a volume of 30K today on crude oil, not enough to account for the difference.

This link is where I verify daily volume totals and has the total volume of all transactions:

http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_quotes_settlements_futures.html

Unfortunately the following report does not have a WTI crude oil volume report, if anyone could find something similar I would be very interested in seeing it, but it does have other products:

http://www.cmegroup.com/daily_bulletin/preliminary_voi/VOIREPORT.pdf

So, that leaves pit volume, and any other private party-to-party transactions, such as those here (block trades)--whether these are cleared through ClearPort I have no idea, but I suspect they are:

http://www.cmegroup.com/clearing/trading-practices/block-data.html?id=3#contractTypes=FUT&exchanges=XNYM&assetclass=7

It appears that the emini s&p contract does not clear through ClearPort, and there is also no physical pit, SO that may account for the near identical volume totals found on that contract, which is essentially only globex. Whereas contracts which have a physical pit, and private block trades, will have non-globex volume and thus a larger discrepancy. This is my theory.

This should be easy to find out and I will try to make some calls to verify this at some point, perhaps next week.

Either way, the important thing is that these orders are cleared separately from the globex platform which we all use, and that the volume does not have any effect on our own orders, or how we see the data. In other words, we are in our own "sandbox." This is the most important thing to me.

This is all just what I can deduce from the information available, and would love to hear any information any of you have.

[JoshDance]

As an update to my prior post, I managed to find this report from the CME for crude oil and other energy products, hidden under the report titled "PG61" near the bottom (http://www.cmegroup.com/tools-inform...=dailybulletin ).

For Wednesday July 20, 2011, my kinetick daily bar shows 295669 for the volume. The good news is that according to this report, this is accurate (as I expected it to be of course from a good data source like DTN). The open outcry (pit) volume is 5266, privately negotiated volume is 9047 (through ClearPort and perhaps other PNT), and globex volume is 281356, and the sum of these is exactly what the kinetick bar shows.

The bad news is that the globex volume is still far higher than my 1395m bar for that day of 215729. This essentially disproves my theory, that the pit volume and ClearPort volume would account for the difference.

Any other ideas?

[JoshDance]

Here is an example of volume appearing and not being shown as a transaction. On this video, fast forward to around the 0:50 mark. Wait until there's a "flash" and you see the volume at the top as 184990, and immediately pause. Now, after the next few ticks come in, pause the video immediately again--you'll see that 7 contracts traded (2,1,2, and 2 all at the bid), yet the volume jumps to 185020, 30 contracts higher than before. 23 contracts were reported as volume yet not shown as transactions. This is the "phantom" volume which I'm searching for answers to. It's not a data synchronization issue either, because immediately after this, a 1-contract transaction occurs at the bid at .69, and the volume counter ticks up by 1 to reflect this. Everything is in sync.

http://www.youtube.com/watch?v=2nUJ0dh-mRw&hd=1

(I would recommend full screen and choose the size "Original" if it's available)

[NinjaTrader_Matthew]

JoshDance,

Great research and information here -

You are correct that the effect of this is magnified on NYMEX products like the CL since there are 3 separate ways to clear, however a product like the ES is primarily traded electronically. The daily volume you receive from DTN should match the volume data you see on the CME as you are reporting.

However the non-last- qualifying trades I mentioned are not a result of the 3 separate clearing methods and do not account for the discrepancy alone. There are many types of orders that data providers do not report in real-time. I'm not able to find the same documentation on the CMEGroup, but the NYSE has a great reference for these non-last-qualifying trade types that are possible with any exchange:

http://www.nyxdata.com/Data-Products/Custom-TAQ/Field-Definitions

You'll see there are many types of "non-qualifying trades" that may not be reported by your provider. For example, the only non-last-qualifying trade that DTN reports is Form T Trades. No data provider is going to report the same type and some data providers do not report any at all.

All of the other types that you see listed are not reported in real-time from the data provider, but is calculated in the Daily bar volume.

In addition, you will not see the cumulative minute bar data match since this is real-time data and does not include all of the non-last-qualifying trades.

This is similar to the discrepancy you may see between the closing value of the Daily bar and the closing value of the minute data as DTN reports the adjusted settlement price in the Daily bar, rather than the last tick of the day as you see with minute data.

Please let me know if you have additional questions.

[JoshDance]

However the non-last- qualifying trades I mentioned are not a result of the 3 separate clearing methods and do not account for the discrepancy alone.

...

No data provider is going to report the same type and some data providers do not report any at all.

Matthew, thank you very much for your information and help.

So different data providers may have significantly different volume data for a 1440m bar? That has not been my experience, but I have not looked at a lot of different data providers. I have no doubt what you're saying is correct, but I would love to hear something from CME regarding this.