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Hello,
this is my first post so please forgive me if I don’t obey all the rules yet, have been lurking around for some months though…
I know these topics have been discussed elsewhere, but I think not my specific question.
I’m currently on an IQFeed trial (with live ICE US data) and also on a Rithmic trial via Optimus. I recorded live market data for Cocoa (CCK12) for Feb 16 and observed differences in the reported trades: Rithmic reported/sent more trades than IQfeed.
IQfeed’s customer service told me that they don’t report every trade, they are not sending “implied trades”, i.e. trades from the internal matching engine. So their total volume field is not 100% explained by the incremental volumes.
For Feb 16, IQfeed tick-based volume (i.e. summing volume over all trades) for CCK12 is 14,419 and Rithmic tick-based volume is 16,521. Both report total volume of 16,523. So it seems to me that the Rithmic feed would be “more complete” and sent probably also implied trades.
The exchange reports total volume for CCK12 on Feb 16 of 17,264 (thereof EFP 406, Block Trade 77 and Spread Volume 4852). Implied trades should be related to the spread volume but I cannot reconcile the figures completely…
Am I missing something? What do you think about reporting of implied trades? Would that make Rithmic more accurate for some kind of volume analysis?
Does anyone know how ICE calculates (or defines) spread volume per (outright) contract?
Thanks in advance for any help!
Can you help answer these questions from other members on NexusFi?
Rithmic provide information based upon implied trades (from spreads). Rithmic also provide information based upon conditioned trades (a block trade may one type of condition) but it would be shown in different fields (the condition trade fields). the volume Rithmic report is the volume that the exchange tells them has traded.
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OK, Rithmic reports trades resulting from implied orders and IQFEED doesn't.
Do you know, whether one can somehow reconcile that difference (in terms of volume) with the "Spread Volume" for that contract as reported by the exchange?
In my case:
IQ-tick-vol=14419
Rithmic-tick-vol=16521
Difference= 2102.
BUT:
Spread Volume for CCK12 as reported by the exchange 4852
Just want to make sure that I unerstand the volume/trade reporting...
I wil try here to do an analysis and comparation on different data feeds and platforms to perfom studies involving bid/ask data, like comulative bid/ask difference or delta bars and footprint like.
