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Direct MessagesDate/Time: Mon, 16 Sep 2024 19:25:14 +0000
SC DATA for US Equities
View Count: 1576
| [2015-08-18 01:02:36] |
| Neo - Posts: 198 |
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I've just been comparing the SC data feed vs IQ feed, and it appears about half the data is missing. What's the explanation behind this? See attached AMZN SC data feed vs IQ feed |
 AMZN SC DATA FEED.png / V - Attached On 2015-08-18 00:59:42 UTC - Size: 64.23 KB - 314 views AMZN IQ FEED.png / V - Attached On 2015-08-18 00:59:50 UTC - Size: 62.74 KB - 327 views |
| [2015-08-18 01:24:37] |
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Most likely the difference is because IQ Feed may be reporting trading for that symbol on the other exchanges. The Sierra Chart data feed is only going to be reporting trading for this symbol from the NASDAQ. Check with IQ Feed and find out what exchanges they are reporting trading from for that symbol. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-08-18 01:24:52
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| [2015-08-18 02:11:25] |
| Neo - Posts: 198 |
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Yeah that's what it looks like. IQ is true tick data, so it's going to include every trade at the NBBO regardless of where it's come from. I asked on another thread regarding if all exchanges were included in the SC data feed, the reply you got from barchart was "It's just NBBO. We don't send the BBO by sub-exchange"- So shouldn't this service still include all the data traded at the NBBO, regardless of what exchange it's come from? If you're only reporting trades from the NASDAQ/NYSE exchange then it's not really true tick by tick data- and is misleading for anyone looking at volume profiles/ numbers bars. |
| [2015-08-18 03:31:10] |
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We are fairly sure that the Barchart data feed which the Sierra Chart data feed provides is only going report trades directly on NASDAQ and NYSE. And that seems to be confirmed by what they have said and is also confirmed based on the volume data seen. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-08-18 03:31:57
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| [2015-08-18 05:46:17] |
| Neo - Posts: 198 |
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Well if they only report partial data then you can hardly advertise the data service with the following- "This data feed is meant to set a very high standard for market data and be a reference point for other services. If you are looking for a top quality futures and stock data feed for Sierra Chart, then this is an excellent choice. For example, if you are using the Numbers Bars study, for the greatest accuracy you will require the best quality data feed like this one." If bar chart only report trades that have come from a securities native exchange then using a numbers bar study on Equities would be pointless, since you only have half the data- it's hardly a reference point for other services either. Kind of disappointed here since I signed up with the impression that SC data offered the "greatest accuracy" with real tick data. As it turns out it's only a partial data feed, and there's no option to add all the exchanges( eg Arca, Bex) Is there anyway I can get a credit on my account for the cost and have the SC data feed removed? It's of no use to me as an Equities data feed, and I've basically subscribed to it under false pretenses- thinking I was getting the "greatest accuracy" in data feed. |
| [2015-08-18 08:19:05] |
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We disagree with your conclusion but we can issue a refund but we have to contact Barchart about this first. That statement was primarily meant for the futures data feed. It refers to the fact that the data feed is tick by tick, which it is for both futures and stocks and cannot be contested based on its specifications, provides historical tick by tick data, provides historical tick data for at least six months for stocks, provides historical bid volume and ask volume which are used for Numbers bars, has fast hardware and efficient software which is used to deliver the data. The fact that you can get rapid delivery of months of historical tick data for stocks is an indication of the quality. For example, due to historical tick data limitations with IQ Feed, often you will have problems not getting the necessary data for Numbers Bars. The US equities data feed is specified to be a data feed for NYSE and NASDAQ. There is no mention of any other sub exchanges. If those were included, they would be specified. They are not. We will get back to about the refund. Keep in mind exchange fees are usually not refundable and must be paid to the exchange regardless. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-08-18 08:21:44
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| [2015-08-18 17:44:54] |
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We will issue you a refund for the data feed and also the exchange fee. This will be done near the end of the day. This is what Barchart told us about sub exchanges: Yes we are planning to add in sub-exchanges hopefully at end of year when we switch feed formats from DDF to our new OpenFeed format. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-08-18 17:45:50
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| [2015-08-18 18:29:26] |
| Neo - Posts: 198 |
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Thanks alot, really appreciate it. I think if anyone wants to take advantage of the studies you've created in SC then they really need data from all exchanges. Offering data from all exchanges seems to be standard practice for some providers and not others. I'll check out the SC provided data again once barchart can offer a complete package. Cheers |
| [2015-08-24 23:25:42] |
| Neo - Posts: 198 |
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I followed this up with Barchart, their support confirmed that they do account for all trades at the NBBO- the comments regarding sub exchanges are to do with level 2 bid/ask data in the orderbook, which has nothing to do with volumes traded. To confirm they do account for all trades I had bar chart support quote some volume numbers for Facebook today using a 12:15pm* timestamp. Their data had 182k traded based on a 1min chart, and 2556K on a 15min chart( this is basically the same volume numbers I'm getting from IQ feed used in SC). When I look at the same time stamps using the Bar chart feed inside SC, I get around 151k on a 1min chart, and 1990k on a 15min chart- only partial data. Attached is a 5min chart of FB using Bar chart data on the left and IQ feed data on the right. As you can see the historical/ daily volumes virtually match, however the intraday volumes/ number of trades are well off. Can someone please confirm the volume numbers I'm getting from the SC/bar chart feed are what you're also getting, and that it's not some issue with my PC/ connection. If you're getting the same values as me then what's going on? Where's the rest of the volume at when it appears Barchart do actually provide it? Cheers |
| Attachment Deleted. |
| [2015-08-25 00:46:19] |
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We do see what you mean, and we are checking with Barchart about this. It is not a problem on your side. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-08-25 14:31:11] |
| Neo - Posts: 198 |
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Sweet! Let me know how you get on.
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| [2015-08-27 03:41:48] |
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We think we know what the problem is. There are certain types of trades that our system will filter out which is reducing the volume. This is to eliminate price spikes in charts. We are going to make some changes to this filtering which should increase the volume. We will be doing some testing tomorrow. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-08-28 05:30:03] |
| Neo - Posts: 198 |
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How'd the testing go?
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| [2015-08-28 17:47:04] |
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Yes, we did identify "inter market sweeps" as a trade condition on a trade which was being filtered. These will be included, effective at the close today.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-08-28 17:47:29
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| [2015-08-29 21:41:11] |
| Neo - Posts: 198 |
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Haven't noticed any volume changes as of yet, have the changes been implemented ? How'd you go in testing anyway? Were intra day volumes closely matching what Barchart was reporting? |
| [2015-08-29 22:03:47] |
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You will see the change effective Monday. The existing historical data either will remain or we would have to replace it. If we replace it though, then we can only provide 30 days of tick data initially. So this is something we have to decide but at least for the next week or so, the existing historical Intraday data will remain. In testing, we did get a match to the Barchart 1 minute Intraday volume data. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-08-30 17:47:09] |
| Neo - Posts: 198 |
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Ok sweet i'll check it out tomorrow. Since all the current real time tick data is incomplete, it can't really be of much use to anyone accept for those looking at O/H/L/C. So initially only being able to provide 30 days of real time tick data is probably better than any amount of incomplete tick data IMO. You could back fill anything greater than 30 days with your current SC historical data* *Where is the current SC historical data coming from? loading it up now intra day volumes appear correct apart from volume on open & close. |
| [2015-08-31 22:20:37] |
| Neo - Posts: 198 |
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Using the live data today, intraday volumes are correct between 09:30:01 and 15:59:59- However it's missing the opening & closing print cross trade. Re the filtering of inter market sweeps/spread trades, do you know if the bid/ask allocations in SC match the raw bid/ask allocations provided by Barchart? |
| [2015-09-01 05:40:45] |
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However it's missing the opening & closing print cross trade.
We will check on this. do you know if the bid/ask allocations in SC match the raw bid/ask allocations provided by Barchart? Yes, they would have to because this particular data is not filtered.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-09-01 06:39:01] |
| Neo - Posts: 198 |
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Here's an example from today using AMZN. For comparison I've inserted the last 10 trades of the day as per Bar charts trader platform, where you can see the cross trade that went through on the close @15:00 CST. Same sort of thing happens on the open. |
| SCvsBC.png / V - Attached On 2015-09-01 06:36:52 UTC - Size: 26.08 KB - 297 views Attachment Deleted. |
| [2015-09-01 10:49:23] |
| Matt654 - Posts: 73 |
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Hi Support Intraday volume is not working on US30, just in case you don't know.
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| [2015-09-01 11:07:38] |
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In regards to post #21, this is unrelated to the thread. Start a new Support Request about this. However, we see no problem with volume data for US30. Really does not make any sense. And be sure to post an image of a chart showing us what you are referring to. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-09-01 11:07:59
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| [2015-09-04 00:11:05] |
| Neo - Posts: 198 |
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Do you have an update on this? It looks like SC is now recognizing the cross trades on open/close? Do you guys plan to backfill the historical data so it also reflects these trades? |
| [2015-09-04 00:28:19] |
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Yes these have been included. Not sure how soon we can get to the historical data. This may still be two weeks away. It has to be carefully planned. It is a significant operation. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-09-04 00:28:37
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| [2015-09-13 22:13:18] |
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Do you guys plan to backfill the historical data so it also reflects these trades? Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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