Different Volume of historic intraday bars for CFI2Z5

NJH
NJH Newcomer
edited May 20 in Refinitiv Data Platform Libraries

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:

CFI2Z5.jpg

Thanks,
Nick

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @NJH

    Thank you for reaching out to us.

    You need to compare the data from library with the data from the =@RDP.HistoricalPricing function in the Workspace Excel. For example:

    =@RDP.HistoricalPricing("CFI2Z5","HIGH_1;LOW_1;OPEN_PRC;TRDPRC_1;NUM_MOVES;ACVOL_UNS","TIMEZONE:GMT NBROWS:200 INTERVAL:PT5M SOURCE:RFV",,"CH:Fd RH:Timestamp",B2)
    image.png

    Please contact the helpdesk team directly via MyAccount to verify the volume data from the chart app.

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