volume on chart or T&S

[hegh2000]

hi,

on FESX, when I made the sum of volume of each bar, I have 895 K
on T&s, I have 1871 K (the same number as the Eurex website)

Why such a difference?

there 's a way to fix this?

[NinjaTrader_Kyle]

Hello hegh2000,

Thank you for your post.

1.) Which version of NinjaTrader are you using? (Help > About)

2.) Which data provider are you using with NinjaTrader?

[hegh2000]

NT 6.5
Zen-fire

[NinjaTrader_Kyle]

hegh2000,

Thanks for the clarification.

Please right click in your chart and select Properties.
In the Properties menu, what values do the Session Begins and Session Ends properties use?

[hegh2000]

08:00
22:00

i tried 00:00 and
00:00

the same volume

[NinjaTrader_Kyle]

Hello hegh2000,

Please open a new chart for this instrument (File > New > Chart). In the Format Data Series window, set the template to '<None>'.

In the new chart, apply the VOL indicator and let me know whether or not these values continue to diverge.

[hegh2000]

yes, the same vol.

[NinjaTrader_Kyle]

Hi hegh2000,

Not sure that I follow - the values are now the same, or the values continue to diverge by the same amounts?

[hegh2000]

the same = false

chart = 1151 K
T&S = 2287 K

[NinjaTrader_Kyle]

hegh2000,

Which expiry of FDAX are you using?

[hegh2000]

i use 06/10 for FESX

[NinjaTrader_Kyle]

hegh2000,

Thanks for the clarification.

Are you seeing this behavior on other instruments as well, or just with FESX 06-10?

[hegh2000]

FDAX 06/10 :

chart = 124827
T&S = 191455

[NinjaTrader_Kyle]

Hi hegh2000,

Which interval are you charting in?

The T&S window will be calculating volume based on a 1 tick interval. The chart will be using whichever interval is selected.

Due to this, some divergence in reported volume amounts can be expected if you are charting in, for example, a minute based interval.

[hegh2000]

1 tick result on FESX 06/10 :

chart (1 tick) = 1227442
chart (30 mn) = 1240460
T&S = 2379420

[NinjaTrader_Kyle]

Hi hegh2000,

My development team reports that this is as expected.

The T&S window's volume figure is a Daily Volume that is provided by the data feed itself.

The volume bars within the chart are calculated based on historical and real-time data. This is plain Volume, which is not quite the same as Daily Volume.

[hegh2000]

So, if I have an indicator to separate real-time bid / ask (using OnMarketData), the data are based on bar volume or Daily Volume ?

[NinjaTrader_Kyle]

Hi hegh2000,

This indicator would be using plain volume. (bar volume)

[hegh2000]

Kyle,

thank you for all the replies you've made.