Volume Question - SPI

[kid hustlr]

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?

 

[Trembling Hand]

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.

 

[kid hustlr]

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

 

[CanOz]

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

 

[Trembling Hand]

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.....

 

[Trembling Hand]

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.

 

[kid hustlr]

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??

 

[kid hustlr]

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

 

[kid hustlr]

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.

 

[kid hustlr]

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?

 

[Trembling Hand]

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

 

[CanOz]

Also check the session template...

 

[kid hustlr]

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

 

[Trembling Hand]

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?

 

[kid hustlr]

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?

 

[CanOz]

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

 

[kid hustlr]

Fixed

Still doesn't seem to have changed anything



Appreciating the help guys

 

[Trembling Hand]

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.....

 

[kid hustlr]

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-

 

[Trembling Hand]

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

What numbers?