Support Board
Date/Time: Sat, 18 Jan 2025 10:14:22 +0000
Jumpy & Laggy Market Replay with CQG Connection
View Count: 1859
[2018-01-24 03:42:43] |
Logan W - Posts: 28 |
I'm noticing that the market replay feature is very jumpy and laggy when it comes to replaying market depth data. Also, the bid/ask spread will get very out of place for sometimes minutes at a time. Below is a link to a screen recording of the doms during a replay: https://drive.google.com/open?id=14ip0NWMey5lcKUPaor6ouvyv_n5mx0QD Also, attached is a copy of the chartbook being used in the vid. Please advise. |
Bonds.cht - Attached On 2018-01-24 03:37:07 UTC - Size: 1.57 MB - 524 views |
[2018-01-24 03:52:19] |
Sierra Chart Engineering - Posts: 104368 |
Yes this is going to be true when using CQG. We have heard this before. You will need to use the Sierra Chart Exchange Data Feed for properly timestamped data: Sierra Chart Exchange Data Feed Or use your computer system clock for time stamping: Incorrect Date and/or Time Display, Missing Historical Intraday Data, Chart Not Updating: Using Local System Clock for Timestamping There are numerous CQG time stamping problems that we hear about and observe. 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: 2018-01-24 03:53:13
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[2018-01-24 06:41:35] |
Logan W - Posts: 28 |
I saw in a similar post that you had provided the market depth files from the Sierra Chart data feed. I loaded up the files and put a CQG feed DOM (left) and a Sierra Chart feed DOM (right) side by side. As you can see, there is a large difference between the market depth figures being displayed, as shown in the pic attached below. This is not a time-stamp issue because the CQG feed depth figures are Never shown on the Sierra Chart feed DOM. Why is there such a large difference between them? Which one is correct? Also, both data feeds experience the same jumpiness and bid/ask spread issues. No efficiency improvement with the Sierra Chart data feed over the CQG feed during replay mode. Another indication that is is not a time-stamp issue. Date Time Of Last Edit: 2018-01-24 07:34:02
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[2018-01-24 18:05:45] |
Sierra Chart Engineering - Posts: 104368 |
As you can see, there is a large difference between the market depth figures being displayed, as shown in the pic attached below. This is not a time-stamp issue because the CQG feed depth figures are Never shown on the Sierra Chart feed DOM. Why is there such a large difference between them? Which one is correct? https://www.sierrachart.com/index.php?page=doc/ReplayChart.html#UpdateFrequencyOfReplayedMarketDepthData If you see differences compared to CQG data, then the CQG data is not correct. This we know with certainty. We are providing the exact same data provided by the CME multicast data feed. If CQG is building market depth by the market by order data, then inherently it can be inaccurate and we know that from experience with working with that type of data. Also, both data feeds experience the same jumpiness and bid/ask spread issues. We never saw any evidence of the last trade price being out of sync with the bid and ask prices with the data provided by the Sierra Chart Exchange Data Feed. We had thought that is what you were referring to. If you only see a single update within the span of one second this would be considered normal. We do not know what you mean by bid/ask spread issue. Refer to: https://www.sierrachart.com/index.php?page=doc/ReplayChart.html#UpdateFrequencyOfReplayedMarketDepthData (Update Frequency of Replayed Market Depth 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 Date Time Of Last Edit: 2018-01-24 18:08:09
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[2018-01-24 18:33:41] |
Logan W - Posts: 28 |
Thank you for your detailed and honest response. In regards to the bid/ask spread, I mean the price Will be accurate however, the displayed bid/ask will be completely out of sync with price. This will occur many time throughout a replay. I have attached the video from a similar thread that shows what I am referring to. This is not a price accuracy issue, it is how the market depth is displayed and when it is displayed. If the market depth is not at least 99% accurate with the live-data, including timing, than it is unusable for market depth scalpers to practice on. Below is a link to a video of a Sierra Chart user comparing his replay DOM to a live recording of the market. As you can see, his replay is Very accurate and runs very smoothly. He is also using CQG data. https://www.youtube.com/watch?v=DOC4_Qevm44&t=12s Please compare my recorded replay video from my initial post above to the one shown at that link. They are very different, yet we have the exact same settings. Please advise. |
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[2018-01-25 22:22:36] |
Sierra Chart Engineering - Posts: 104368 |
Letting you know this is still pending review.
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 |
[2018-01-28 19:57:39] |
Sierra Chart Engineering - Posts: 104368 |
, I mean the price Will be accurate however, the displayed bid/ask will be completely out of sync with price. This will occur many time throughout a replay. This is definitively a timestamp issue from CQG. We will not repeat ourselves.The easiest and immediate solution is to use your local computer clock for time stamping. Refer to: Incorrect Date and/or Time Display, Missing Historical Intraday Data, Chart Not Updating: Using Local System Clock for Timestamping Although this is only going to solve the problem going forward with market depth data. Or you could use the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed 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: 2018-01-28 19:58:46
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[2018-02-04 21:41:18] |
Sierra Chart Engineering - Posts: 104368 |
We need to make a correction. In this particular section: https://www.sierrachart.com/index.php?page=doc/ReplayChart.html#UpdateFrequencyOfReplayedMarketDepthData It said: At the time you start a replay which involves market depth data, you are not going to see the accurate and all market depth data at that moment.
This is actually not fully correct. There is no inaccuracy issue at all. That is not even technically possible. The only limitation is that you may not see the full depth usually 10 levels, immediately. It could take up to a minute or so. It has been reworded to say: At the time you start a replay which includes market depth data, you will not see all of the market depth levels at that moment. It can take a few seconds or a minute or so to for them to fill in. The levels which are displayed are 100% accurate.
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: 2018-02-04 21:42:04
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