Wrong trade size data for CBOT markets

M

mtzianos

If you take a look at the attached time&sales of ZN (10yr Note), you'll
notice that trade size is reported cumulatively for consecutive trades
at the same price. When price changes, size is reset to 0 again. As a
result, all studies involving volume are totally incorrect and
misleading.

I have been receiving wrong trade size for CBOT markets (via eSignal,
but I am pretty sure it's NOT eSignal's fault) for MONTHS.

Can someone verify that trade size of e.g. CBOT notes via other feeds is
also wrong? If so, how can a major exchange get away with this kind of
crap, in our date and time, is beyond my comprehension.

Regards, M

PS: I've reported on this same issue 2 weeks ago. Since that time,
mini-Dow (YM) volume seems to have been fixed, but the rest not...
 

Attachments

Hi mtzianos,

There is an issue at the CBOT and I'm pretty sure it does impact all vendors. We briefly removed the trade sizes on a/c/e altogether and then recently put them back after numerous customer requests. CBOT reports they'll have all the issues resolved by year end or close to it.

Here's the announcement on eSignal Central that discusses this topic. We'll update the thread on Central when we see the CBOT changes are in place.

Thanks.
 
Try using the X-Trader Platform.

Not only is it the most powerful and robust, yet stable execution platform out there for Bonds, but the maket-depth feauture ( ladder ) also gives you a Stadelmayer type MARKET PROFILE feature from tabulating ALL of the volume that is traded at each price.

As a result, you get a very nice histogram that grows off of your "ladder".

Very cool feature.
 
I use X-trader as well and it is very nice. All of the contracts traded at one price are available as well as the contracts being traded on every trade
 
Quote from eSignal Support:

There is an issue at the CBOT and I'm pretty sure it does impact all vendors. We briefly removed the trade sizes on a/c/e altogether and then recently put them back after numerous customer requests. CBOT reports they'll have all the issues resolved by year end or close to it.
More...
No more a/c/e after Dec 31, 2003.

No more problems after Dec 31, 2003.

www.cbot.com/ecbot

:D
 
You must log in or register to reply here.
Back
Top