Rank: Newbie
Groups: Registered, Registered Users
Joined: 8/11/2008(UTC)
Posts: 2
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Hi,
I was wondering if anyone could explain the huge spikes in volume data for the London Cocoa contract on Liffe (e.g. LCCU8)? There are two huge spikes (over 80,000 for volumes usually ranging around 10,000) in the volume data. These spikes do not show up in the data from quote.com. E.g.
16,581 2008-07-14
86,178 2008-07-15
22,473 2008-07-16
whereafter the volume splutters down to less than 10k.
Furthermore, Metastock adds the volume for all currently traded contracts in a commodity I believe, is there any way to change this or is it how the data is packaged?
Is the open interest also collected across contract months?
I'd appreciate any help on these issues.
/V
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 4/5/2006(UTC)
Posts: 129
Location: Norgate Data
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It appears that your data vendor is reporting all of the listed delivery volume into a single delivery.
For example, we published the following volume data September 2008 Cocoa futures contract traded on Euronet LIFFE:
20080715: 23915
Seem here for the actual LIFFE data:
http://www.liffe.com/data/dcfs080715.txt
I'd say that there were a lot of contracts rolled from the July 08 delivery to the Sep 08 delivery on the 15th plus quite a lot of delivery notices provided too, but your data vendor shouldn't be putting all delivery volume into a single delivery.
You should contact your data vendor to find out why they did this.
Cheers,
Richard.
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 8/11/2008(UTC)
Posts: 2
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Thank you for the reply Richard!
After your comments I figured out how to get volume figure for just the one contract I am currently studying. Note that this is for Datalink data. I thought I'd post it here in case anyone tries to search for a solution here as I did.
Just append a #I to the symbol. E.g. LCCU8#I for September London Cocoa with volume taken from just the one contract.
Thanks again Richard.
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