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YM 9-12 Volume Anomoly

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    YM 9-12 Volume Anomoly

    Data feed: Zen-Fire

    I was preparing last night to switch my workspace to YM 9-12, when I saw something REALLY bizarre! The YM 9-12 volume was at least 80% LOWER on 6/7/12 than on 6/6/12. I went into Historical Data Mgr, and deleted the 6/7/12 data for a) minute, b) tick; and let the charts reload. After the charts reloaded, there was no change to the YM 9-12 chart data for 6-7-12.
    I've noticed today, 6/8/12, that the YM 6-12 VOL charts appear to be performing correctly. This will continue to be a concern for the YM 9-12 VOL charts - so I wonder if there's anything else I can do. To demonstrate what I saw, I've attached copies of the YM 9-12 and YM 6-12 15-minute charts.

    I understand that this is probably a data feed (Zen-Fire) issue, and need some feedback on what else I need to do to normalize the 6/7/12 YM 9-12 VOLUME charts.
    Attached Files
    Last edited by ohtrader; 06-08-2012, 09:37 AM.

    #2
    Hello,

    Thanks for the note.

    On 6/7 the YM charts would be auto merged. Meaning we merge the 06-12 data on and back below this date then in the future we plot the 09-12. We have continuous contract charts by default in NinjaTrader.

    Most likely on the 09-12 the volume was still low since everyone have not switched over yet. Today you should start to see the volume pick up more and more as more traders complete the switch.

    -Brett
    BrettNinjaTrader Product Management

    Comment


      #3
      YM 9-12 and ES 9-12 VOL Anomoly on Changeover 6-7-12

      Brett -

      I understand about the contract continuity.

      I'm still concerned about the 6/7/12 data on the YM 9-12 900V chart - and this issue has nothing to do with the trading that is moving from YM 6-12 to YM 9-12. In fact, as I write this I double checked the T&S charts and noted that YM 9-12 has ~1.72X the VOLUME of YM 6-12 (YM 9-12 62K, YM 6-12 36K).

      Please take a look at the attached file that clearly demonstrates that on the YM 9-12 900VOL chart
      on 6-6-12 - less than 1/2 the day's bars > 70 (the full day is much higher)
      on 6-7-12 only 18 bars (where is the rest of the VOL on this day???)
      on 6-8-12 by 11:20 ~70 bars

      What needs to happen so that the YM 9-12 900VOLUME chart has the appropriate number of bars?

      Also, for giggles, I checked the ES 9-12 chart with a 4000V chart. the 6-6-12 chart had 3X the bars as the 6-7-12. I also checked with my husband, who's running CQG, and the same anomalies are present in CQG as well.

      Please advise.
      Attached Files
      Last edited by ohtrader; 06-08-2012, 09:39 AM.

      Comment


        #4
        Hello,

        You said:

        In fact, as I write this I double checked the T&S charts and noted that YM 9-12 has ~1.72X the VOLUME of YM 6-12 (YM 9-12 62K, YM 6-12 36K)
        I do not see the same on my side.

        Please se both attached charts with Merge Policy set to DONOTMERGE. So we are looking at pure contract data here.

        You can see YM 06-12 has 151, 818 volume for the 7th

        YM 09-12 has 27, 373 volume for the 7th.
        Attached Files
        BrettNinjaTrader Product Management

        Comment


          #5
          Originally posted by ohtrader View Post
          Brett -

          I understand about the contract continuity.

          I'm still concerned about the 6/7/12 data on the YM 9-12 900V chart......
          What you are describing sounds like on 6/6 you are looking at the June contract, on 6/7 you are looking at the September contract, and on 6/8 you are also looking at the September contract. That is how it should be, because 6/7 was when you rollover from June to September on ES, and that explains the volume pattern you are seeing. The fact that you see this with two different data sources should confirm this. If you want to see the ACTUAL volume for each contract, you have to use 'Do not merge'.

          FWIW, I am using Zen-fire and I can see what you're talking about, but that is how I would expect it to be. It's not a problem, it's how it should be.

          Comment

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