Hi,

How does the total volume calculated in iqfeed ?
Using the TCP/IP historical API I found about 10 inconsistency between Last Size tally with Total Volume every day on ES.

For example:

HTT,@ES#C,20110715 123700,20110715 123706,,,,1,,
2011-07-15 12:37:00, 1308.75, 6, 1552707, 1308.75, 1309.00, 25370537, 0, 0, C, 0
2011-07-15 12:37:01, 1309.00, 1, 1552708, 1308.75, 1309.00, 25370594, 0, 0, C, 0
2011-07-15 12:37:01, 1308.75, 1, 1552709, 1308.75, 1309.00, 25370612, 0, 0, C, 0
2011-07-15 12:37:03, 1308.75, 3, 1553061, 1308.75, 1309.00, 25370622, 0, 0, C, -349
2011-07-15 12:37:03, 1308.75, 2, 1553063, 1308.75, 1309.00, 25370623, 0, 0, C, 0
2011-07-15 12:37:03, 1309.00, 1, 1553064, 1308.75, 1309.00, 25370628, 0, 0, C, 0
2011-07-15 12:37:03, 1309.00, 1, 1553065, 1308.75, 1309.00, 25370632, 0, 0, C, 0
2011-07-15 12:37:06, 1308.75, 1, 1553066, 1308.75, 1309.00, 25370699, 0, 0, C, 0
2011-07-15 12:37:06, 1308.75, 2, 1553068, 1308.75, 1309.00, 25370703, 0, 0, C, 0
2011-07-15 12:37:06, 1308.75, 5, 1553073, 1308.75, 1309.00, 25370704, 0, 0, C, 0
2011-07-15 12:37:06, 1308.75, 4, 1553077, 1308.75, 1309.00, 25370705, 0, 0, C, 0


2011-07-14 17:15:25,9260,1306.75,17 -1
2011-07-14 20:03:51,40295,1306.25,1 -1
2011-07-14 20:33:58,47656,1306.75,1 -2
2011-07-15 06:12:17,177135,1308.50,1 -8
2011-07-15 09:23:01,361335,1312.50,3 -1
2011-07-15 12:36:20,1552110,1308.50,1 -1
2011-07-15 12:37:03,1553061,1308.75,3 -349
2011-07-15 13:54:09,1677340,1306.75,1 -250
2011-07-15 14:30:48,1772066,1305.00,1 -100
2011-07-15 15:59:10,2119628,1312.00,1 -100
2011-07-15 15:59:15,2120203,1311.75,1 -70
2011-07-15 16:09:25,2260962,1315.25,6 -25
2011-07-15 16:13:43,2278425,1314.75,78 -1

Should we relied on Total Volume ?
Which is correct the Total using Size Tally or the Total Volume ?

Tony
Edited by thariman on Jul 17, 2011 at 03:20 AM

Sorry for the delay in responding. It appears the forums weren't sending notices of new posts..

This is a fairly common question we receive. The reason for the difference is that the exchange periodically will send volume adjustment messages throughout the day. Most of the time these volume adjustments are reporting spread volume that doesn't get reported as trades in the stream.

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Jay Froscheiser
Telvent DTN