CQG underreporting volume / skipping ticks?

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Tresor
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CQG underreporting volume / skipping ticks?

Postby Tresor » 21 Nov 2013

Hi,

According to CME http://www.cmegroup.com/daily_bulletin/ ... REPORT.pdf yesterday's (20th Nov 2013) Globex volume on e-mini s&p 500 futures was 2,066,018 for contract Dec2013 (CQG symbol EPZ13).

Multicharts (sessions: 24/7) shows 2,060,833 (on both daily and hourly bars), which is 5,185 less than the official volume.

1. Can someone using CQG check their volume for e-minis on 20th Nov 2013 please?

2. Can someone using other data feeds post their volume for e-minis on 20th Nov 2013 please (with the data feed provider name)?

The reason I ask this favour is I want to determine whether I screwed up with my CQG settings or I should look for another data feed provider.
Last edited by Tresor on 21 Nov 2013, edited 1 time in total.

shanemcdonald
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Re: CQG underreporting volume / skipping ticks?

Postby shanemcdonald » 21 Nov 2013

I cant get a separate reading for oct 20th.
It was a sunday and I don't know how you have your charts set up for the week / session.
Is it a separate day ? does it start at 18:00 ?

The daily bar for that day shows 1,105,000 on rithmic

Tresor
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Re: CQG underreporting volume / skipping ticks?

Postby Tresor » 21 Nov 2013

I cant get a separate reading for oct 20th.
It was a sunday and I don't know how you have your charts set up for the week / session.
I am sorry, it should have been November (not October), the correct date is 20th Nov 2013 (last Wednsday). I have corrected my post.

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CrazyNasdaq
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Re: CQG underreporting volume / skipping ticks?

Postby CrazyNasdaq » 22 Nov 2013

Hi Tresor,

this is what my charts tell me about daily volume from CQG data and IQfeed data on November the 20th 2013

Image

shanemcdonald
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Re: CQG underreporting volume / skipping ticks?

Postby shanemcdonald » 22 Nov 2013

I have 2,065,437 on rithmic
and 2,070,000 on TT

Tresor
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Re: CQG underreporting volume / skipping ticks?

Postby Tresor » 22 Nov 2013

Okay, so the volumes for 20th Oct 2013 on e-minis are:

- 2,066,018 CME Globex

- 2,060,833 CQG (demo) Tresor
- 2,065,251 CQG CrazyNasdaq
- 2,066,306 IQFeed CrazyNasdaq
- 2,065,437 rithmic Shanemcdonald
- 2,070,000 TT Shanemcdonald

IQFeed seems more accurate.


CrazyNasdaq, if you look at the chart you posted the current volume is shown as follows:
- 39,095 CQG
- 36,109 IQFeed
That's a big difference.

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CrazyNasdaq
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Re: CQG underreporting volume / skipping ticks?

Postby CrazyNasdaq » 22 Nov 2013

Okay, so the volumes for 20th Oct 2013 on e-minis are:

CrazyNasdaq, if you look at the chart you posted the current volume is shown as follows:
- 39,095 CQG
- 36,109 IQFeed
That's a big difference.
Don't look at today volume and its difference from CQG. This morning I've stopped the real time quotes from IQfeed (I use IQfeed and CQG on 2 different PC), so the IQFeed volume chart was with a delay while CQG on that PC was in real time. I can't use IQfeed account in real time on 2 different PC at the same time.
CQG was in real time and IQfeed was delayed.

Tresor
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Re: CQG underreporting volume / skipping ticks?

Postby Tresor » 22 Nov 2013

I am playing with CQG settings. I might be close to concluding I screwed up the settings.

I am getting some strange results depending on whether I choose 24/7, CME Futures, Default (different candles, different volumes). The candle times are the same, but the candle shape and the current volume differs.

If someone understands the picture, please let me know.
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