Support Board
Date/Time: Thu, 09 Jan 2025 20:03:38 +0000
Cumulative data large difference on data feeds
View Count: 2168
| [2016-07-30 08:07:21] |
| User560062 - Posts: 100 |
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Hi, I am having issues like others with the bid/ask data issue on sierra on eurex products. When I compare other platforms including TT, Ninja, IRT, delta difference on Sierra seem to be off by too much and I am not trusting it. I did read the following post and the uptick downtick logic makes zero sense to me and it seems like a workaround. Technical Discussion: EUREX Bid Volume and Ask Volume "The main problem is that with the EUREX, trades often occur between the quoted bid and ask prices. This is not common from our observations on the CME." I can't understand why you are saying the above comment. How can EUREX trades occur between the quoted bid and ask prices? Trades either go at bid or at offer, they can never be in between in a central exchange market like futures? I also noticed that T&S on Sierra is always a bit delayed compared to say Ninja 8 T&S on a rithmic data feed. Why is this? Is sierra polling the data at a short interval or is it coming in directly on its own thread? What's the most reliable data feed for eurex products? I need to have these questions answered. You seem to be blaming data feeds all the time but is it really a data feed issue? I have my doubts. |
| [2016-07-30 19:59:39] |
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I can't understand why you are saying the above comment. How can EUREX trades occur between the quoted bid and ask prices? Trades either go at bid or at offer, they can never be in between in a central exchange market like futures? You seem to be blaming data feeds all the time but is it really a data feed issue? I have my doubts. It is primarily related to the data feed, and the fact that the data feeds do not pass through the necessary data from the exchange for accurate bid volume and ask volume determination. There is also the particular algorithm being used to determine the bid volume and ask volume in real time and with historical data. There is a good algorithm which is used with CQG and the Sierra Chart Exchange Data Feed. We definitely do not recommend Rithmic for EUREX because there are too many associated problems with that and we will not go into details on that. It is far too long and complex of a technical discussion. We disfavor Rithmic. You will need to use the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed Or use CQG: CQG Trading Platform Service When using CQG you must update to the latest version of Sierra Chart to use the proper algorithm. 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: 2016-07-30 20:00:38
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| [2016-07-30 22:23:57] |
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Regarding the delay you are seeing, refer to help topic 4: http://www.sierrachart.com/index.php?page=doc/helpdetails4.html You will want to reduce the Chart Update Interval. 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 |
| [2016-07-31 12:14:19] |
| User560062 - Posts: 100 |
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By delayed I mean a few milliseconds. It's not delayed from the data provider because the same data comes in few milliseconds faster on Ninja. Even the order quotes on your Dom sometimes I see them slightly off which is really putting me off. I can demonstrate this if you want to. What's the problem with the rithmic data feed. Bookmap seems to be processing it very good. Are you receiving data as it is sent or you polling for it? Is DTN data feed better than CQG? Why is it not possible to go into technicalities? I need to understand how incorrect can the data be that is coming into Sierra. The logic you are referring to regarding upticks and down ticks to Calculate if order was executed at ask or offer is not making sense to me. Can you go into more details pls? |
| [2016-08-02 07:41:26] |
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We do not know how you are able to detect a few milliseconds difference and that is not something we can help with. Rithmic uses what is known as an in process API component. Our position on those is here: https://www.sierrachart.com/index.php?l=helpdetails76.html Support for Rithmic was added previously when we had more tolerance of those. In order to provide efficient processing of the Rithmic data and not put too much of a burden on the users computer, there is a slight delay with getting the data transmitted into the main Sierra Chart program. And we are not going to spend any further time discussing this. Consider Rithmic unsupported and if you insist on using Rithmic, then discontinue use of Sierra Chart. This is not worth our time. Is DTN data feed better than CQG?
Either one should be fine. We do not think one is better than the other regarding EUREX data.Refer to the documentation here for the Bid Trade/Ask Trade algorithm used for the EUREX: Numbers Bars: Definitions 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: 2016-08-02 08:11:09
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| [2016-08-02 16:18:23] |
| User560062 - Posts: 100 |
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well, I am trying out cqg connection on sierra dom and it does lag compared to other doms.. The difference is not much but it puts me off that I am seeing the differences with my naked eye. I am comparing to cqg dom and bookmap. Are you aware of this issue? Regarding rithmic, I compared the bid/ask on eurex between iqfeed and rithmic and on most days, the bid/ask data is in line to the tick. Yet a friend of mine who is using cqg has a completely different result on bid/ask data. So this is why I am really getting confused. Because on one hand you are saying that rithmic is unsupported but the bid/ask data I am getting is in line with dtn most of the time. And my friend is telling me that his cqg data is off completely compared to DTN. I just don't know how I am getting to the bottom of this issue and what's the best setup in terms of data. I am happy with sierra in terms of charting otherwise I wouldn't be writing these support requests. |
| [2016-08-02 16:23:20] |
| User560062 - Posts: 100 |
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Further to the support request above, I'd like to know if your implementation of cqg execution is good for live trading because from your previous reply you seem to be saying that cqg is better than rithmic in terms of the ways it is implemented. 1) If I use cqg for execution on sierra, would i be able to be informed from cqg of any issues on exchange. On the CQG dom i get warning msgs when there are problems with order routing. How does this work on sierra. Could i end up in a situation where i think my trades are flat and it could still have 1 leg open? 2) Is it possible to use CQG for execution and rithmic for data charting? If not is this possible on IQFeed? Thanks |
| [2016-08-02 19:33:39] |
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For CQG trading, we recommend using the service in Sierra Chart named "CQG FIX Trading". This uses a reliable FIX connection for trading. You will not have any problems with this. 1. Any messages that CQG sends over the FIX or Web API connections, will be displayed in Sierra Chart through the Trade >> Trade Service Log. Just make sure you are on the latest version of Sierra Chart. 2. It is possible to use CQG for trading and use the Sierra Chart Exchange Data Feed for market data. This is explained here: https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php#IntegrationWithTradingServices 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 |
| [2016-08-02 20:15:52] |
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On the Numbers Bars page in the Definitions section, we did add this new documentation in case you did not see it: EUREX Bid Trade / Ask Trade: In the case of EUREX symbols, the following method is how a trade is determined to be at the Bid or Ask price. In the case of exchange traded futures, although a trade must always occur at the Bid or Ask, based upon the transmission of the Bid/Ask data from the EUREX exchange, often there is no synchronization between this data and trades. This is why this special algorithm is used. If the last trade price is the exact same price as previously, then if this price is equal to the current known Bid price, then it is considered a Bid Trade. If this price is equal to the current known Ask price, then it is considered an Ask Trade. Else if the last trade is an uptick or was previously an uptick, then the trade is considered to be an Ask Trade. If the last trade is a downtick or was previously a downtick, then the trade is considered to be a Bid Trade. 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: 2016-08-02 20:18:55
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| [2016-08-03 00:13:44] |
| User560062 - Posts: 100 |
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When you are answering questions please stick to what I have asked. I have never asked to use Sierra chart data feed because I am using multiple connections. Can I use rithmic or iqfeed for data and CQG for trading? Regarding your addition of bid ask data for eurex in support.. you are using the word often which sounds really unprofessional? Do you know how often? Have you tested this ? |
| [2016-08-03 05:38:57] |
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The reason that there was no answer about using IQ Feed or Rithmic in this way is because it is not supported. You can observe the behavior yourself through the Time and Sales window. What you will see is times where the last trade price is either above or below both the Bid and Ask prices or between them. Exactly what you see also depends upon the particular data feed being used. 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 |
| [2016-08-03 09:17:57] |
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In regards to using multiple connections, the Sierra Chart Exchange Data Feed supports up to three connections at a time However, whether using that data feed or any of the supported data or trading services, all of those connections can be shared with other instances of Sierra Chart which also includes trading support. Refer to: http://www.sierrachart.com/index.php?page=doc/DTCServer.php#UsingDTCServerForDataAndTradingInAnotherSCInstance 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 |
| [2016-08-03 11:04:33] |
| User560062 - Posts: 100 |
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When i said multiple connections I was referring to multiple connections in other platforms not just sierra. is this possible? "The reason that there was no answer about using IQ Feed or Rithmic in this way is because it is not supported." What is not supported? Can't I use a datafeed to power charts and another feed for execution? Is this not possible? |
| [2016-08-03 17:37:28] |
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No, this is not supported: Can't I use a datafeed to power charts and another feed for execution? Is this not possible? Although it is planned to be supported with IQ Feed but it is just one of these things that we have not gotten to yet. 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: 2016-08-03 17:37:59
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| [2016-08-03 18:19:09] |
| User560062 - Posts: 100 |
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So in order to get Sierra to execute on CQG and use DTN data I would have to have two instances running? Would I have to pay 2 licenses?
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| [2016-08-03 18:50:39] |
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You will require a direct Sierra Chart account: Direct Sierra Chart Account You just pay for Sierra Chart once. You can use one instance for CQG and another instance with DTN. Refer to: Using Multiple Data and Trading Services at the Same Time 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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