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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »day askv + bidv != day volume
Author Topic: day askv + bidv != day volume (4 messages, Page 1 of 1)

nto
-Interested User-
Posts: 14
Joined: Jan 18, 2016
Posted: Apr 17, 2016 03:32 AM          Msg. 1 of 4
I have been counting the number of ASK and BID contracts exchanged on BD# on 15th of April and the sum doesn't match the total day volume.

day ASK volume : 221597
day BID volume : 229311
day total volume : 471145

Is it normal? Is IQFeed missing some trades?

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006
Posted: Apr 17, 2016 08:11 PM          Msg. 2 of 4
You cannot count volume of a future by the ticks on the underlying only, many other factors come into play in that number, such as the various spread trades and implied trades that the exchange includes in the final totals.
This is normal behavior.

Tim

nto
-Interested User-
Posts: 14
Joined: Jan 18, 2016
Posted: Apr 22, 2016 12:32 PM          Msg. 3 of 4
So does your answer imply that day ASK volume and day BID volume are computed based on outright transactions only, whereas day total volume includes spread trades and implied trades? If yes, does this also imply that spread trades do not appear on the tick-by-tick time&sales?

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006
Posted: Apr 22, 2016 12:35 PM          Msg. 4 of 4
Correct. And yes, spread trades will not appear on the underlying contract's time and sales.

Tim
 

 

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