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OEC API > Market Data > Dom/Historical Volume vs Total Volume (Quotes) at end of session
Author Topic: Dom/Historical Volume vs Total Volume (Quotes) at end of session
(4 messages, Page 1 of 1)
Moderators: VPfau
CWeber984
Posts: 226
Joined: Apr 24, 2012


Posted: Dec 12, 2013 @ 08:06 PM             Msg. 1 of 4
Why do the DOM and Historical Volume for a symbol like ZSF4 match up, but the Total Volume in the Quotes list for the symbol does not?

For instance, the DOM at market close, session date 12.12.13, for ZSF4 showed ~70k volume, whereas Quotes Total Volume showed ~130k.

Total Volume matches the CMEGroup's stated volume. Is the DOM expressing the volume that is trading through OEC directly?

CHW
CWeber984
Posts: 226
Joined: Apr 24, 2012


Posted: Dec 12, 2013 @ 08:17 PM             Msg. 2 of 4
Hmm, it may be that yesterdays DOM for ZSF4 was closer to ~96k.

However, I can easily observe the difference between the DOM Volume and the Quote Total Volume using today's open session.

Really, I'm just wondering about the difference between the two.

Thanks,

CHW
CMicciche902
Posts: 320
Joined:


Posted: Dec 13, 2013 @ 08:23 AM             Msg. 3 of 4
The Histogram volume totals does not include trades from option assignments, spreads, or other trades not directly trading the underlying contract.

The Quotes window total is the Exchange total of *all* trades. The Histogram is built on ticks from underlying contract, not from all trades. Therefore, the difference is expected.

Chris M
CWeber984
Posts: 226
Joined: Apr 24, 2012


Posted: Dec 13, 2013 @ 07:44 PM             Msg. 4 of 4
Hi Chris,

Thanks for this, I understand perfectly what you have explained.

thanks again,

CHW