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»Forums Index »NEW IQFEED FORUMS »Data Questions »Opening volume
Author Topic: Opening volume (3 messages, Page 1 of 1)

496841
-Interested User-
Posts: 1
Joined: Mar 27, 2021


Posted: Mar 27, 2021 06:03 AM          Msg. 1 of 3
Hi,
When calculating an interval bar at any other time throughout the day the total volume can be reconciled by summing the incremental volume. However, this isn't true of the open. The opening cumulative volume starts with a number that doesn't include any trades that can be seen. Where does this initial volume come from?
Thanks,
Dave

DTN Todd
-Interested User-
Posts: 74
Joined: Mar 24, 2010


Posted: Mar 28, 2021 11:05 PM          Msg. 2 of 3
Hello

We can have our data team look into this. Can you supply us some additional details such as what is the symbol you are seeing this activity for and a specific date. Are you utilizing our API?

Thanks
Todd DTN Support

DTN_Gary_Stephen
-DTN Guru-
Posts: 400
Joined: Jul 3, 2019


Posted: Mar 29, 2021 11:19 AM          Msg. 3 of 3
For some commodity types, not all volume included in "Total Volume" statistic exists in ticks. Implied trades and block trades are types of trades where this can happen. They don't have their own ticks, but the volume of these type of trades is included in the total volume of the session. The exchange sends the total volume with each trade message, so you may see increases in volume that the ticks alone don't account for.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist
 

 

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