eSignal - Futures Volume

eSignal - Futures Volume

What is the volume that is displayed for futures? 

Quote Window
In a quote window there are two main options for volume; Electronic and Total Volume. Electronic Volume is only for electronic future contracts (such as ES #F, 6E #F or 6J #F) and will update in real time. Total Volume is for anything that trades in open outcry sessions or in the pit (i.e. non-electronic), such as SP #F or CL #F. Official volume on futures is sent one day late and only updates once a day after the main session ends. If you are looking at the Total Volume field during market hours it will show you yesterdays official volume for that instrument.

Some data sources now offset the official exchange volume so it aligns with the day that volume actually occurred. We currently only perform that offset w/in our FutureSource Workstation product on daily charts. All other offerings will still display the traditional method of volume being late by one day. If you are comparing futures volume data with other sources, it's important to keep this fact in mind. If the other source does an offset, their volume for say July 8th will match our volume figure for July 9th (one day later).

*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.

Advanced Chart Window
When looking at any electronic futures symbol on an intraday time frame the volume study will show you the actual contract volume being traded. If you are looking at any non-electronic futures contract in an intraday interval it will show you tick volume (tick volume is the number of times the price has changed in a given interval). If you are watching any futures symbol on a daily interval the volume shown will be yesterdays closing volume.

Time and Sales window
The Time and Sales window reports real time volume for any electronic futures contract. Sizes are not reported with non-electronic futures.

For a complete list of symbols and formats, please visit our Symbols Guide.

Note: For an explanation of how we handle the #F rollover, click here