I use the Sierra Charts historical data service for this and adjust the volume numbers each day to match those posted on the CME website. For the ES contract, the difference is usually in the 10K to 20K range. On 28th May, the SC volume was 2,091,551 and CME was 4,176,679 contracts. I waited for the 5 day window that the numbers are up on the website to see if there was a revision and there was none. For 11th June, the SC volume was 2,587,869 and CME website shows 5,176,948 contracts. Not only are the differences huge, the CME numbers are unbelievably higher than the norm so I am hesitant to incorporate them into my analysis. Can someone with a different but generally reliable data feed tell me the volume numbers for the 2 dates so that I can compare? For now I am using the SC numbers, better to be out by 20K than 2 million.
eSignal ... ES 06-13 volumes ... 28/May - for the 1425-minute bar starting at 16h30 EST on 27/May and finishing at 16h15 EST on 28/May --> 1,937,074 contracts 11/June - for the 1425-minute bar starting at 16h30 EST on 10/June and finishing at 16h15 EST on 11/June --> 2,434,283 contracts
Thank you. From your information, I believe the numbers on the CME website are wrong by a huge margin. Surprising, given that the daily volume for NQ and YM typically matches perfectly.