eSignal users - Important! Please read if you use the Eurex data! Huge inaccuracies!

Discussion in 'Data Sets and Feeds' started by Anson, Sep 18, 2007.

  1. Anson


    I have been investigating suspected huge discrepancies between the Eurex intraday volume data and the Eurex official website's volume figure and even eSignal's own e-Volume figures. This is something I have found true for both the DAX and Eurostoxx50 futures contracts both front and far months. (ie. Sep07 and Dec07)

    More often than not... the E-Vol figures on your quote screens are correct and match the Eurex website's. For example, this was around 800k+ on the ET Z7-DT yesterday. If you looked at the advanced charts however, and total-ed the volume by adding up the volume bars on an hourly chart... you would end up with less than 150k total volume. That's a difference of more than 650k!!!

    I also did a similar comparison for the ET U7-DT contract and the EVol/Eurex figure for the contract yesterday was close to 2 million. The intraday volume added up, however, only came to approx. 1.2 million! That's a difference of close to 800k!!

    I have looked at today's volume figures and again the intraday volume DOES NOT match the EVol/Eurex figures! This has gone on for a few days at least. Possibly more!

    Let's look at the DAX right now.

    The AX U7-DT is currently quoted by EVol at 70k and the Eurex website which is delayed shows 66k. This confirms the Evol figure as it's 15mins delayed on the website.

    Now open a chart of the AX U7-DT and add up the volume bars on a 60mins advanced chart. It comes to approx. 50k. A difference of 20k.

    On the AX Z7-DT, the Evol figure is 25k and on Eurex, the delayed volume is 21k.

    If you add up the 60min volume bars on a AX Z7-DT chart, it comes to a total of approx. 3500. That's a 21k difference.

    I will attach a few pics here for simple references but I would request all of you who subscribe to eSignal's Eurex data to check your intraday volume accuracies. I only checked these 2 Eurex products. I would welcome those who monitor the other Eurex products to post if their intraday volume data is accurate.

    To conclude... the intraday volume data for both Sep07 and Dec07 on both the DAX and the DJ Eurostoxx50 have a huge gulf in between! I would advise everyone who uses the volume at all in any way to contact eSignal and let them know of this problem. You can also post to the thread I have started on the eSignal forum which has not seen any response.

  2. Anson


    Let's hope this is resolved asap.
    eSignal has responded thus:

    Hey Anson,
    Thanks for you post, our Data Department is aware of the volume discrepancy in the intraday charts and is making every effort to find the problem and get it resolved.

    Once we have a resolution in place we will post back to this forum.

    eSignal Support