Hello, I've found that the volume for CFI2Z5 and other futures is often different when requesting the historic data subsequently in a short space of time. Is this expected, or could there be another way to request the data so the historic volume remains constant.
I've used the HistoricalPricing-Summaries project in the DotNet_Examples, I have setup the Summaries request as follows:
var response = Summaries.Definition().Universe("CFI2Z5")
.Interval(Summaries.Interval.PT5M)
.Sessions(HistoricalPricing.Sessions.normal)
.Adjustments(new List<Summaries.Adjustments>{ Summaries.Adjustments.RPO, Summaries.Adjustments.exchangeCorrection, Summaries.Adjustments.CRE, Summaries.Adjustments.RTS })
.End(DateTime.UtcNow.AddMinutes(1))
.Count(200).GetData();
Common.DisplayTable("Historical Intraday Summaries", response);
When I compare the returned volumes to the data table of the 5m chart of CFI2Z5, the ACVOL_UNS field often matches the chart values, but also sometimes we get much larger volumes for ACVOL_UNS:
Thanks,
Nick
