Why does my daily bar and T&S show more volume in @ES than the sum of intraday bar volumes? Daily bar and time and sales currently shows 1.24M, and sum of intraday shows about 780K.

Hello Josh,

There are two data fields for volume in IQFeed - Incremental volume and Total volume -
and they do not necessarily match.

Incremental volume shows the volume of the current trades and is likely the field that you are looking at when you refer to the sum of intraday volume.

The total volume field (shown commonly as daily volume) includes additional data that is not included in incremental volume. One of the main differences in the two fields comes from Implied trades. Implied trades are legitimate trades that come from the exchange and they do not qualify to set a last/open/high/low, but they are counted in total volume. Because of issues like that, the sum of incremental volume does not match the total volume.

Thanks for the reply Todd!

Could these implied trades potentially even be outside of the day's range? And do you know if the volume shown on my T&S, which reflects the daily bar (increased) volume, will update instantly as these trades take place, or are they updated at some interval? I remember now seeing this with CL before but have not looked at this with ES before --that I would see a tick on the T&S, say with a volume of 1, and the total volume on the T&S would show an increase of 5. I suppose this is the same thing you're referring to.

Hi Josh,

Yes, it is possible that the implied trades could take place outside of the day's range. And the implied trades change the total volume figures when the exchange sends out the information. Your example of seeing this happen in crude oil was a good example of that.

I would like to post this reply for anyone with the same question I had, as I have done a little extra stats on the subject and wish to share them.

While the answer Todd gave may be accurate, incorrect conclusions could be drawn from it. The attached image of my spreadsheet shows a small data set, about 50 days, that encompasses two rollover periods in the ES contract.

The data clearly shows a correlation between rollover/expiration period and volume discrepancy between "intraday" volume and volume reported on the daily bar.

A few days before rollover, the differences become apparent. The largest change is rollover day itself, followed by a convergence towards agreement the day after expiration day.

I would expect that if the contract volumes for the old and new contracts at rollover were added, that these would approximately equal that of the daily bar volume, though one would have to verify this himself to be sure.

So in short, there may be differences in volume on "normal" days that account for less than 1% difference from things like implied volume, but the large (5% and larger) discrepancies can be attributed to rollover and expiration.