Daily Volume column on Market Analyzer

[Bidder]

Hi guys, The volume value from the "Daily volume" market analyzer column is way off of the cumulative volume when accumulated from any chart (5 minute, 15 minute etc).
This has been going on since Dec 10 which is the default roll date for ES. Before that date the values would match very closely.

For example, yesterday at the 4:15 ET close of the ES 03-21 the "Daily volume" value was 2,259,987, adding all the volume from a 5m chart for the same period shows 1,359,000. The 5m chart accumulated the volume from 6pm ET on the 13th till 4:15pm on the 14th. Before last week Dec 10th (roll date) these values would match very closely.

Same sort of thing is in progress today.

[NinjaTrader_Heath]

Hello Bidder,

Thank you for your note.

I have done some research on this item and found it to be expected. This would relate to non-last price qualifying trade data, which is not typically included from real time data providers but is provided on historical data.

Both of these values reporting would be correct, but the VOL indicator on the chart would show more "traditional" values that users tend to expect, as it would be the snapshot daily data.

If you would prefer, you can add the "VOL" indicator to the Market Analyzer by adding an Indicator Column, then selecting the VOL as the indicator. More information at the below link:

http://ninjatrader.com/support/helpG...th_columns.htm

Please feel free to write in if you need additional assistance.

[Bidder]

This answer does not account for why the two values were in sync before rollover began. What trades is "Daily Volume" using that do not show up in the "Volume[0]" on the chart bars. ?

[NinjaTrader_Heath]

Hello Bidder,

Thank you for your reply.

I'm seeing some custom column and indicator names for volume in the market analyzer and the chart. Are these third party addons or did you rename the built in indicators/ columns yourself.

Thank you I'll await your reply.

[Bidder]

renamed... the mkt anl column in the graphic labeled "Volume" is the "Daily volume" indicator. The cum volume indicator on the chart just adds up the Volume[0] bar values.

But to the issue at hand....
I have determined that this is a rollover phenomenon that lasts for only 1-2 weeks preceding the rollover event. I would like to know what trades the "Daily Volume" indicator is including that the Volume[0] chart bar data is excluding. Thx

[NinjaTrader_Heath]

Hello Bidder,

Thank you for your reply.

For information on what data is provided in the Daily Volume column you'll need to reach out to your data provider directly to see what information they include.


Please feel free to write in if you need additional assistance.

[Bidder]

Data is coming from Continuum. That's Ninja's feed, correct? So I would think Ninja should be able to provide the answers. Thx

[NinjaTrader_Heath]

Hello Bidder,

Thank you for your reply.

The Daily volume column information is provided directly from the exchange based on the date that you're viewing, as this issue happens around rollover I believe what you're seeing is the difference between the platform reading the volume for the specific contract you're viewing and the data the exchange is calculating based on the date. Remember that the current expiry time is subjective, it's possible the exchange is still reporting 12-20 volume when you're viewing 03-21 in the platform.

I'd like more information on the actual discrepancy you're seeing. Can you let me know what date ranges you see this occurring with so I may investigate further on my end?