Thank you peugeot, Pushing hard is a tactic that can produce results, but leave both parties feeling less than satisfied. And less than loving. Perhaps it is possible that I have so many perceptual filters about my communications with esignal that at this point I'm not seeing the reality of their efforts. If this is the case, my apologies to esignal for any mis-statements on my part. Every single word I have posted is my perception of reality of what has happened. I will admit my perception may be less than fully accurate. The issues still stand though, and only time will tell the outcome. I will thank Andy, in advance, for posting information on volume types that will go a long way toward helping understand issues with volume data.
I want to update you all on the question of our volume reporting for the S&P contract. First, it's important to note that we receive the data directly from the CME and post the figure that they give us. We do not make changes in any way to the data they provide us. The data they provide us is considered by the CME as the "official" volume traded for the reported period and includes both RTH and night time session. Click here for the link to the CME page reporting volume information that we receive. Should anyone see a difference between this number and what we provide, please let us know, then indeed we have a problem. Below is a snap-shot of that window. The volume is listed under the column titled, "Prior Day" and is indeed the previous day's volume. The reason why we display the data one day off is because we don't receive the information until the next day. If you bring up a chart of SP H4 in eSignal and check the volume figure for 1/21/04, you will see the figure of 45,896. Bundlemaker, you site this address for volume on the SP H4 and noted it compares to another source. In reading the CME site where this address is found, it states, "New! Now view CME volume by price data in the market profile style through the Volume analysis application". This is the source of confusion for us and why the delay in responding to this post earlier. We have a request into CME as to what this volume number comprises and the difference between this number and the "official" numbers they transmit to us daily. I have not heard back yet on our request for information, when I do, I will post that here. During the course of this exercise, I've met with our FNET Director and discussed the handling of volume information that we provide. He assured me that from the last time the topic arose about inserting the volume figures within it's proper day, that this was placed on the development list and is being planned for future release. He also asked me for feed back on which volume figures most traders reference in their trading style. He pointed out to me that at this address you get reporting on just the RTH (regular trading hours) session volume. So now we see three different volume numbers quoted on the CME, which do traders refer to most? And why? In my own search as to what comprises the volume number in the Volume Analysis report sited by Bundlemaker, one area that stands out is the figure for Spreads/EFP's. This figure is not part of the "official" volume reported to us by the CME. We are questioning them about this as well. I did find a pdf file on EFP's, but didn't get a whole lot out of the 11 page document, perhaps someone here can elaborate on what Spreads/EFP volume data is??? I hope this information helps all to understand what our/CME volume number represents. Would love to hear feed back on which volume users would want to trade from and why. Lastly, I would encourage you all that when you have questions relating to topics such as this about what eSignal does and provide, please post that over at eSignal Central. We do give priority to our site and will by default handle questions and discussions there in a more timely manner. Regards, Andy eSignal Support http://forum.esignalcentral.com/
Andy, thanks. I've just spent some time sorting it out as best I know how. The result is mostly a big headache. Let me share with you the best guess I've come up with to explain it all. I say guess, because the CME doesn't tell me everything I'd need to be sure. Maybe this post will be of use when you guys speak to the CME. Ok, here goes: First off, we need to remember that volume can be reported by timeframe, it can be reported by trade type (spread, exchange for physical, or a regular trade) and lastly by reporting either 1 volume unit per contract or 2 units per contract. The 2 units per contract represent both sides of the contract. This is useful and necessary when reporting volume by customer type in what is known as a liquidity data bank type report. The figure shown is Esignal is delayed one day(45,896). It is the total volume for the day and the globex session. It includes regular trades, spreads, and exchange for physicals. The figure from the CME Volume Analysis page(http://www.cme.com/dta/hist/cva.html?var=SP0304040120&var1=S&P 500 (SP)&var2=1) (77,698 minus 11,177 for a figure of 66521 sans speads and EFP) shows volume from 8:30-3:00 Chicago time, but shows the 2 volume units per contract volume figure. In other words it's counting both sides of the trade toward the volume figure.I won't get into exactly why that's done here, ask later if interested. The figure from the CME in the graphic in the above post(45,896) is indeed the same as the esignal figure. It is total CONTRACTS traded in the 24 hour period. Regular session, globex, spreads, EFP, the whole enchilada. Finally, the figure from the CME page headed by "Market Data" (http://www.cme.com/dta/hist/bulletin.html?bullnumber=2004012&pagenum=11&seq=0-19-2004) is slightly differnent (39,963). It reports only regular hours and regular trades and "cash-for-futures". It doesn't mention spreads. Now, here's where I admit my reasoning becomes a bit specious. Look again at the 77,698 figure. Divide it by 2 to come up with the number of contracts traded (as opposed to the number of sides). That number is 38,849. Doesn't quite match, but, recall that the Volume Analyis number is reporting on trades from 8:30 to 3:00. The 39,963 is the whole regular session, which is actually 8:30 to 3:15! Now, which is most useful? Personally, I'd prefer to see a total volume figure, like we have now, but sans spreads. The speads really don't tell you about the ebb and flow of market particapant sentiment. In a perfect world, you'd like to be able to have separate figures for the day session, night session and total. I realize that ain't gonna happen, not least of which is getting the exchanges to cooperate in this matter. By the way, this situation is not limited to the SP contract or the CME. I briefly looked at Soybeans and the same kind of predicament exists there, on the CBOT. Thank you Andy for your efforts and for the work I know you'll be putting in to communicate with the CME. I'd be thrilled just to get a confirmation to my above guesses.