I’m paying monthly for this data feed, but it is not accurate at all. Please see the following image. Once the contract rollover took place a couple of weeks ago in June, the volume data from the previous contract is completely inaccurate(red circle). It only takes into account the current contract and ignores the previous, but somehow calculates volume from other earlier contracts.
Secondly, in the blue circle you can see that this data is incomplete. It appears to start to get inaccurate in March and then gets really bad in January.
A few notes:
I use 24 hour candles via the custom time (1440 minutes) option for candles, not the day preset. My candle data needs to start at 5pm CST, not midnight, because that is how the futures markets operate. The day preset has the same volume problem as well anyway.
I use TAS Market Profile for volume analysis. The built in Volume Profile indicator suffers from the same problem. This is not a problem with the TAS indicators.
I’m filing this under a feature request because I don’t think this was a consideration at all. I don’t think it’s a bug.