Anyone know how the CME calculates final volume for CL?

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Updated May 18, 2014

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Anyone know how the CME calculates final volume for CL?

May 14th, 2014, 10:09 PM	#1 (permalink)
nepenthean Phoenix (basically mexico city) Posts: 15 since Oct 2010 Thanks Given: 1 Thanks Received: 6	Hello everyone! My RTH/ETH NT charts never reflect what the CME states on their site. I am specifically talking about CL. Can anyone more knowledgeable than I assist me in this? Thanks in advance!

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May 16th, 2014, 05:28 PM

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sands

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Try this thread it may help:

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Hi there. Hope I am in the correct thread. I am new to this forum and I'm new to using Ninja Trader as well.

I am curious as I have found out some daily chart gaps when pulling out CL 06-14 charts. See attached [NT_IQ_CL_06-14.png]. Now, I am using …

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May 17th, 2014, 07:41 PM

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artemiso

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nepenthean

Hello everyone!

My RTH/ETH NT charts never reflect what the CME states on their site. I am specifically talking about CL.

Can anyone more knowledgeable than I assist me in this?

Thanks in advance!

How far are your numbers off?

See attached files for the May 13, May 14 and May 15 market sessions (6 PM - 5.15 PM) for all traded contract months. Volumes of each trade and its sequence number is attached. I've divided the files into Globex (1CL) and OTC trades (2CL).

A quick sanity check shows that all the OTC trade volumes match those on the website aside for one or two end-of-day corrections, while the Globex trade volumes should consistently be less than the volumes announced on their website because some of it should not be broadcasted.

Attached Files

Elite Membership required to download: CL_May.tar.gz

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May 18th, 2014, 10:28 AM

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SMCJB

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artemiso

because some of it should not be broadcasted.

Thanks Artemiso. Just curious what doesn't get broadcasted?

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Last Updated on May 18, 2014

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