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»Forums Index »NEW IQFEED FORUMS »Data Questions »Why No Average Volume in L1 Fundamental Messages for Futures?
Author Topic: Why No Average Volume in L1 Fundamental Messages for Futures? (4 messages, Page 1 of 1)

mkvalor
-Interested User-
Posts: 24
Joined: Oct 6, 2020

Keep your tools sharp.


Posted: Jul 24, 2023 12:57 PM          Msg. 1 of 4
Here is a real-time L1 'F' fundamental message for the CME ES futures contract. I requested the watch about 15 minutes before open a few days ago using the @ES# symbol which stands in for the currently active contract (in case that makes a difference):

F,@ES#,22,,,4609.25,3683.50,,,,,,,,,,,,E-MINI S&P 500 SEPTEMBER 2023,,,,,,,,,,,,12,2,,12.42,8,43,07/19/2023,10/11/2022,,,,,,09/15/2023,,,ES,,,18:00:00,17:00:00,USD,50,--H--M--U--Z,0.250000000,,,,

Even though volume is recorded through the day in L1 updates and is available in the historical data, I notice that column 5 here for Average Volume is empty. I wondery, why?

-Mark D. Valor

DTN_Gary_Stephen
-DTN Guru-
Posts: 394
Joined: Jul 3, 2019


Posted: Jul 25, 2023 10:17 AM          Msg. 2 of 4
The average volume is a ticker-generated fundamental value for equities only. @ES# is a future, so it won't have this value.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

mkvalor
-Interested User-
Posts: 24
Joined: Oct 6, 2020

Keep your tools sharp.


Posted: Aug 6, 2023 03:56 AM          Msg. 3 of 4
Well, I hope you will agree with me this is not clear from the docs, since the page for Fundamental Message Format lists the Origin of Data of this field as, "Calculated by DTN".

-Mark D. Valor

DTN_Gary_Stephen
-DTN Guru-
Posts: 394
Joined: Jul 3, 2019


Posted: Aug 8, 2023 03:16 PM          Msg. 4 of 4
I agree, that could use some clarification. A lot of the docs are being update now so I'll make sure that is addressed.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist
 

 

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