Support Board
Date/Time: Mon, 08 Sep 2025 16:28:50 +0000
Post From: Denali Incorrect Intraday Volume on CL, NG, Treasury Futures
| [2025-08-22 02:10:21] |
| TonyCipriani - Posts: 47 |
|
Hello, I'm on the Denali Data Feed and the intraday volume on CL, NG, and Treasury futures (ZN, ZB, ZT, ZF) are off by ~50%. I'm looking at the front-month contracts with the highest volume. I've checked Sierra Chart's daily chart volume on these products which are correct and match CME's numbers on the front-month. I'm calculating the total cumulative intraday volume by going on a timeframe like 15-minute chart, and using the Chart Calculator Tool from prior day at 18:00 (6:00pm) to next day at 18:00 (6:00pm) which is a full market day. It's always consistently off by ~50% from the daily volume. What's interesting is that on products like ES, NQ, YM, RTY, GC, 6E, the total intraday volume on Sierra Chart correctly matches the daily chart and CME reported volume. For example, today on August 21, 2025, the daily chart on SC shows volume of 235,592 contracts but the CL intraday chart has total cumulative volume of 135,355 contracts. |