On daily chart the volume for NT connected via mirus is very different then the volume display for Sierra? Sierra seems correct when checking with exchange.
Any known reason volume is different?

Gp

Assuming you are using ZenFire like I do with Mirus.

If so, you need to know that ZF calculates it's Daily data (and volume) from RTH only ie not ETH.

The Close according to ZF will also be the close off the chart data, not the close (settlement price) quoted by the exchange.

This means you can have a situation where the close is actually lower or higher than the 'days' high or low as the 'days' high or low according to ZF daily data will be that which occured in RTH only whereas the Close is normally outside the RTH.

To get accurate daily high/low, close and volume that agrees to the exchange you first need to connect to Kinetick free daily data (this is at least available to NT users) as Kinetick uses ETH for high, low and volume and uses the exchange quoted close (settlement price). Doing this first will populate the Daily data in your historical database (at least in NT) and then while still connected to Kinetick, connect to ZF to get the intraday data, this sequence will ensure ZF does not overwrite the Daily data in your historical data file populated already by Kinetick (at least in NT).

gparkis 

On daily chart the volume for NT connected via mirus is very different then the volume display for Sierra? Sierra seems correct when checking with exchange. Any known reason volume is different? Gp

@gparkis: You can use NinjaTrader with various data suppliers. The daily volume is always shown as supplied by the data supplier, it has absolutely nothing to do with NinjaTrader.

The same applies to other platforms which are broker independent. If you open your chart with Multicharts, Sierra Chart or Amibroker, then your daily volume also depends on the data source.


The daily data sources never match, for example Friday's volume for ES 03-13 is shown as

- Interactive Brokers 1,509,566
- DTN/IQ 1,514,786
- CME (website) 1,509,781

There are various threads in this forum, where someone has tried to reconcile the figures....

thanks guys...

i got another "more accommodating" feed for my volume work.