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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »EUREX Tick Data Problem: actual trade volume or summation?

Author	Topic: EUREX Tick Data Problem: actual trade volume or summation? (4 messages, Page 1 of 1)
sd_cm -Interested User- Posts: 22 Joined: Aug 23, 2004	Posted: Dec 1, 2004 05:02 PM Msg. 1 of 4 If volume of EUREX tick data trades are added up they exceed the reported exchange volume by a factor of nearly 10. For example, on 12/01 EXZ4 has ticks totaling 4,116,149 with the exchange reporting 501,961 contracts traded. After looking at the tick data I think this may be due to summing the volumes instead of reporting actual trade volume. When a new trade price occurs the volume is "reset", but multiple trades at the same price have their volumes' added together. Is this a DTN error or a EUREX error and how can we fix it? The enclosed tick stream from EXZ4 demonstrates the problem: DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 150 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 154 ( actual trade volume=4) DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 162 ( actual trade volume=8) DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 172 ... DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 176 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 177 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 178 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 183 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 184 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 232 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 233 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 237 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 238 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 279 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 298 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 299 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 323 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 332 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2897.0 2 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 4 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 99 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 108 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 128 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 133 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 138 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 159 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 166 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 168 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 181 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 199 DEBUG: onPU: Wed Nov 24 13:00:00 CST 2004 2898.0 200
DTN_Glenn_B -Interested User- Posts: 14 Joined: Nov 24, 2004	Posted: Dec 6, 2004 10:31 AM Msg. 2 of 4 I apologize for not having responded before now. I have been looking into this problem since your post and found it is a problem with our quote provider. EUREX does not transmit a complete quote with it's trade update. They send each piece (volume, bid/ask) separately. Apparently, this confuses their system resulting in the misinterpretation of the data. Please bear with us. We are in the process of replacing our feed source. Glenn Benes Glenn Benes DTN Market Access, LLC.
sd_cm -Interested User- Posts: 22 Joined: Aug 23, 2004	Posted: Jun 23, 2005 07:39 AM Msg. 3 of 4 Has this issue been fixed in 2.3.0.4? Thanks
DTN_Natalie_H -DTN Evangelist- Posts: 175 Joined: May 10, 2004 DTN Market Access, LLC.	Posted: Jun 29, 2005 02:42 PM Msg. 4 of 4 This was a server issue, and is fixed. Thanks! Natalie Hannan DTN Market Access, LLC.