Just wondering if anyone knew where to get minute by minute volume in futures contracts. Specifically VIX futures, which are thinly traded.
Thanks if anyone can help.
I get minute-by-minute data on other futures from CQG and the data includes volume, so I would think that provided they actually can supply you with the VIX futures data, which they probably can, it would include volume. Of course, they are just one of many providers, but I have had no complaints with them.