Volume for Futures Contracts works differently from your typical Equities volume, and to cover how it works and how you will see it, we will review it from the three main window types: Watch Lists, Charts, and Time & Sales.
In a watch list, there are two main options for volume:
The intraday volume on futures.
Sent one day late, and only updates once a day after the main session ends. If you are watching the Total Volume field during market hours, it will show you the prior day's official volume for that instrument.
Some data sources now offset the official exchange volume in order to align with the day that volume actually occurred. It is important to keep this in mind if you are comparing futures volume in eSignal with other sources as eSignal continues to follow traditional futures volume reporting without any offset.
Note: There is also a field labeled Average Volume which is a rolling volume average of the previous 20 days as well as an additional field for a 10-day average volume.
When looking at any electronically-traded futures symbols (ones that require physical receipt) on an intraday time frame, the volume study will show you the actual contract volume being traded. If, however, you are watching any futures symbols on a daily interval, the volume shown will be yesterday's closing volume.
Time & Sales
The Time & Sales window reports real-time volume for any electronic futures contracts. Sizes are not reported with non-electronic futures.
For a complete list of symbols and formats, please visit our Symbols Guide located here.
For an explanation of how we handle the #F rollover, click here.
Additionally, for information on how to format symbols for Continuous Contracts, click here.