Volume

[AndyM]

Why is volume for the ES 06-23 for the 9th June 1.4mill with ninja trader daily chart, and with BarCharts and MarketWatch, tasty trade and CME Group volume is 2.09 mill. I'm using Ninja trader brokerage.

[NinjaTrader_RyanS]

Hello,

Typically this is due to how data is filtered by the data provider, which usually increases the discrepancy around rollover. However, I will note this to our development team to look into as the difference is a bit larger than usual.

Thank you for your patience while I investigate this item.

[AndyM]

Any update on this thanks. If volume not accurate how can anyone do proper volume price analysis. Might as well have no volume at all

[NinjaTrader_RyanS]

Hello,

There is no update at this time, though I will update this post with any developments our product team finds.

[AndyM]

So no update forthcoming. I have subscribed to both Kinetick end of day and live data and the volume is completely different to ninjatrader broker volume data. Kinetick data is more accurate when comparing it to the CME`s historical volume. So what gives, what else is inaccurate with ninjatrader data.

I use daily volume, 240hr volume 60 and 5 min volume. Completely useless if I solely use ninatrader data. It should be in a disclaimer that its inaccurate.

[NinjaTrader_RyanS]

Hello,

Our product team have informed me that this is expected due to our data feed connection not including spread volume as part of the daily volume within the platform, while the CME includes this data. This becomes more pronounced around rollover as the spread trading volume increases significantly during this period.