# Volume Question - SPI



## kid hustlr (5 January 2013)

Hey guys, this is probably really simple but if someone could help me out it would be much appreciated.

I'm using IB data as my data source and ninjatrader as charting software.

Chart below shows the SPI data as per the sfe website: http://www.sfe.com.au/content/prices/rtp15sfAP.html





This chart is my daily data for the SPI March contract. This includes both day and night sessions (chart looks exactly the same on IB).




I'm confused as to why the volume has such a large difference? Is it something to do with only showing the front month contract vs all contracts?

Could someone check their data for the SPI and see if it corresponds to mine?


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## Trembling Hand (5 January 2013)

Contract rollover. All open contracts have to be sold in the expiring month and bought in the new contract. Normally happens in the last week. So a whole three months of long term trades get rolled. Thats the extra vol at expiration.


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## kid hustlr (5 January 2013)

Trembling Hand said:


> *Contract rollover*. All open contracts have to be sold in the expiring month and bought in the new contract. Normally happens in the last week. So a whole three months of long term trades get rolled. Thats the extra vol at expiration.




Yeah I figured that but I still wasn't sure if the volume data I had was correct.

tks TH


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## CanOz (5 January 2013)

Trembling Hand said:


> Contract rollover. All open contracts have to be sold in the expiring month and bought in the new contract. Normally happens in the last week. So a whole three months of long term trades get rolled. Thats the extra vol at expiration.




I wanted to reply with the same answer, but the volumes i could not explain...was waiting for you to provide some clarity as i don't have any data for the SPI other than IB.



CanOz


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## Trembling Hand (5 January 2013)

actually having another look at it I would guess that your rollover date in NT seem to be a bit early. there shouldn't be a dip before the increase in vol. It should slowly increase. I would check them. I'm not turn on my trading comp until Mon.....


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## Trembling Hand (5 January 2013)

Trembling Hand said:


> Contract rollover. All open contracts have to be sold in the expiring month and bought in the new contract. Normally happens in the last week. So a whole three months of long term trades get rolled. Thats the extra vol at expiration.




Oh and for further clarification. All longs are "sold in the expiring month and bought in the new contract" where all shorts are the opposite. The broker does this for you when you instruct them.


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## kid hustlr (5 January 2013)

Trembling Hand said:


> Contract rollover. All open contracts have to be sold in the expiring month and bought in the new contract. Normally happens in the last week. So a whole three months of long term trades get rolled. Thats the extra vol at expiration.




Still confused.

http://www.sfe.com.au/Content/reports/EODWebMarketSummary130103SFT.htm

The daily trading report for 03/01/13 shows total traded volume of 28,727 whereas my chart only shows trades of 15,263

Any ideas??


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## kid hustlr (5 January 2013)

Just saw your reply's, if you could have a look on Monday that would be much appreciated. I'll investigate the rollover volume now


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## kid hustlr (9 January 2013)

1 min chart of the open this morning.

Do these volume numbers match up with what you are seeing? (They seem low to me?)

IB is taking forever to get back to me.


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## kid hustlr (9 January 2013)

Now the data has completely changed??

Compare this chart to the one above.




Are there delayed orders on an exchange which get reported 'after the fact' so to speak?


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## Trembling Hand (9 January 2013)

kid hustlr said:


> Now the data has completely changed??
> 
> Are there delayed orders on an exchange which get reported 'after the fact' so to speak?




That would more likely be something to do with NT. Have you "reloaded Historical data". I'm showing 36 for the same bar


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## CanOz (9 January 2013)

Also check the session template...


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## kid hustlr (9 January 2013)

Session template should be all good. I've put in the session times for the contract.




Weird about the difference in volume I still see 37 for that bar. Maybe I just need to click reload historical data every few mins.

As an aside I adjusted the contract rollover data to the 20th (as per the ASX website) and it didn't have any effect.

Talk about a wild goose chase


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## Trembling Hand (9 January 2013)

kid hustlr said:


> As an aside I adjusted the contract rollover data to the 20th (as per the ASX website) and it didn't have any effect.
> 
> Talk about a wild goose chase




Huh?


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## kid hustlr (9 January 2013)

http://www.asx.com.au/products/futures-options-expiry-calendars.htm

Changed it the 20/12 as per the website

Edit: Am i missing something?


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## CanOz (9 January 2013)

Try the 13th Kid, sometimes the participants have more say when the contract rolls...as per THs date.


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## kid hustlr (9 January 2013)

Fixed

Still doesn't seem to have changed anything




Appreciating the help guys


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## Trembling Hand (9 January 2013)

kid hustlr said:


> Still doesn't seem to have changed anything




Ha.... Actually the 20th and the 13th is wrong. I have changed it to when the actual volume rolls from one contract to the other. Its not unusual for NT to have it wrong and the ASX only list the *last *day of trading not the day that people roll to the new contract, which is normally a day or maybe two before expiry, See the vol on my chart,




i never trade this sh!ty contract that why I didn't have the settings right.....


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## kid hustlr (9 January 2013)

lol well there you go.

Your volume chart is the same as mine which just leaves me as confused as ever as the numbers just dont match up with the ASX trading report

-insert pics of hot women here to thank your for helping me-


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## Trembling Hand (9 January 2013)

kid hustlr said:


> as the numbers just dont match up with the ASX trading report




What numbers?


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## kid hustlr (9 January 2013)

Trembling Hand said:


> What numbers?




http://www.asx.com.au/sfe/daily_monthly_reports.htm

Says there was 28k futures traded Tues 28th and 24k traded the day before.


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## skyQuake (9 January 2013)

kid hustlr said:


> http://www.asx.com.au/sfe/daily_monthly_reports.htm
> 
> Says there was 28k futures traded Tues 28th and 24k traded the day before.




Can only see up to 31st Dec for me

Anyways I have 16413 for 28th Dec and and 9650 for 27th Dec


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## kid hustlr (10 January 2013)

skyQuake said:


> Can only see up to 31st Dec for me
> 
> Anyways I have 16413 for 28th Dec and and 9650 for 27th Dec




Ya I'm not sure whats going on, I'm obviously missing something because the futures traded according to the ASX website don't match either mine or TH's data.

go figure.


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