Joined: Jun 12, 2018
Posted: Jun 12, 2018 09:22 AM
Msg. 1 of 2
I have IQFeed API licence and I am seeing this issue in your tick by tick data: cumulative volume and total volume (as released purely by your application) are not the same.
Let me explain myself better: by getting historical future contract tick by tick data using IQFeed API designed function (i.e. HTX,[Symbol],[MaxDatapoints],[DataDirection],[RequestID],[DatapointsPerSend]<CR><LF>) progessive summation of last size tick is not equal in many case to the value you provide inside Total Volume column, why ?
Please, find attached ES futire contract tick by tick data so that you can replicate the issue: the issue is into the "DELTA" column when the value in it is different from zero !!!
Thank you for reading and let me know please
File Attached: ES_tick_data.zip (downloaded 115 times)
Joined: Apr 25, 2006
Posted: Jun 18, 2018 08:03 AM
Msg. 2 of 2
The intraday values are whatever we had at the time of the trade. It is not indicative of any final values. Corrections are sent out by the exchange that add or remove volume throughout the day, adjustments or not applied to the cumulative volume numbers.