Joined: Jul 5, 2004
Posted: Jul 7, 2004 06:10 PM
Msg. 1 of 2
I wonder, how can I compare if the total volume traded I recieved from Iqfeed on the e-mini S&P matches the Volume posted on the website of the CME Time and Sales of Globex during a particular day?
Since I dont understand what update different that the t, T, b or a....... is happening with the o caracter? I cannot know whether it could be a real trade or what?
The HH represents the hour of the day in a 24 hour clock. MM represents the minutes of the hour. The character represented by c indicates one of the following:
t - A trade update occured
T - Extended Trade.
b - A bid update occured (an ask update may also have occured)
a - A ask update occured
o - Some other type of update occured
Could it be possible that if the o caracter appears it could mean there was a trade?
Joined: May 10, 2004
DTN Market Access, LLC.
Posted: Jul 19, 2004 02:13 PM
Msg. 2 of 2
The total volume traded should match the volume posted on the website.
The o character could not mean that there was a trade. The most common reason for an o update is a volume update due to a correction. Thanks!
Natalie Hannan DTN Market Access, LLC.