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Viewing User Profile for: sanjayqdt
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Joined: Feb 5, 2023 01:19 PM
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sanjayqdt has contributed to 2 posts out of 21185 total posts (0.01%) in 449 days (0.00 posts per day).

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Data and Content Support » SECOND front month contract volumes for Cocoa not matching Bloomberg Volumes Feb 6, 2023 09:14 AM (Total replies: 3)

getHistory is actually internal code, I apologize, I misunderstood what a colleague's code was doing.
I see now that the values match. Thanks for the quick response.

Data and Content Support » SECOND front month contract volumes for Cocoa not matching Bloomberg Volumes Feb 5, 2023 01:36 PM (Total replies: 3)

I pulled the hourly prints for the second front month contract for ICE US Cocoa Futures (CC*2 and, currently, the May 23 expiry) from the getHistory API.

I noticed that the volume for daily traded contracts is different from what I see on my Bloomberg terminal. If I sum up the hourly volumes traded, I come to ~12,000 contracts traded on Feb 1 (Wednesday) and if I compare this to Bloomberg, I see ~23,000 contracts traded. I don't understand why these volumes would be different when the prices seem to match?


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