Resolve a mistery

[koganam]

I just got an answer from CME and thought to share but im not sure i get what they mean nor if its the right answer.

Here is what the technical team came up with:

Tag 1020 (traded volume) for the last trade of ESZ2 has a value of 1794480 which matches the bulletin. Here is the FIX/FAST market data message:

8=FIXT.1.1^A56=007^A9=XXX^A34=5524895^A35=X^A49=CM E^A52=20120918-20:14:59.959^A75=20120918^A268=2^A1128=9^A22=8^A48 =10113^A83=6317195^A269=2^A270=145275^A271=1^A273= 201459000^A274=2^A279=0^A451=-125^A1020=1794880^A5797=2^A5799=1^A22=8^A48=10113^ A83=6317196^A269=0^A270=145275^A271=198^A273=20145 9000^A279=1^A336=2^A346=32^A1023=1^A10=0^A

Summing up the trade size from the Time and Sales for ESZ2 will not give you the correct Trade Volume unless you include the trade size for spreads that include ESZ2 as a leg. So in saying all that, you would generate a larger volume during role over period, due to traders that might be rolling positions or getting out. Hopefully this has answered your question.


Regards....

Which I guess jibes with what I said: they take into account that some of the volume is from roll-over spread trades, as traders shift into the forward month contract. It appears that they discount all those trades: more or less treating the contract as a continuous contract, so that a spread roll-over is considered an existing position, so not counted.

[frankduc]

Yes you were right.

That suck cause i dont know how i can solve this issue.
When you think about it, somehow its a missing data. CME should change that so it reflect the reality and match their daily report.
I ask them to send me their TS for the day of the 18th to see which one it reflect.