04-20-2009, 11:04 PM
|
#11 |
Join Date: Jan 2007 Location: USA Thanks: 1,912
Thanked 1,789 Times in 895 Posts
| Re: Open ECry Data Feed Email from OEC regarding the issue: Quote:
I have downloaded and read 10Mb EUREX API doc and found that they actually send the total qty for a given price instead of just last traded qty. We verified this with Eurex and this is the way they decimate their market data. So the tick data added up will NOT match the total volume. It seems EUREX is the only one who does it like this, at least that we have encountered.
Please note: For all exchanges we use tick volumes to create all types of bars: minute, hour, even volume bars. An incorrect volume of individual ticks makes our data incorrect.
We have added a workaround for these Eurex contracts that display volume bars incorrectly. This is in the Q&A now and will be rolled out very soon.
Sorry for the confusion and thank you for bringing this to my attention.
| |
| |