Why do the futures trading volumes observed in End-of-Day data not equal the volumes in Tick Data’s “Daily” data files?
Tick Data’s “Daily” files are produced by aggregating the open, high, low, close and volume from a day’s tick-by-tick trade data. Official “End-of-Day” (EOD) data is acquired by EOD data vendors (including online and electronic outlets like Yahoo!, Bloomberg and CSI Data), who receive the official information from exchanges or data wholesalers. Official EOD data includes trades that did not occur on the exchange, such as Exchange-For-Physicals (EFPs) and block trades.
Prior to Jul-1-2011, these off-exchange transactions are not found in our intraday trade data. They did not actually trade on the exchange, but since they must clear through the exchange’s clearing house, they are included in the official figures. From Jul-1-2011 on, these trades are in our data, though they are excluded from output by default. They can be included in the output by checking the “Use Excluded Records in Output” box under TickWrite’s Formatting/Filtering tab.