Support Board
Date/Time: Tue, 26 Nov 2024 02:26:08 +0000
EUREX data feed
View Count: 2442
| [2014-03-10 08:24:40] |
| MichaelS - Posts: 2 |
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I know you already covered bid/ask volume in the sticky/locked thread, but it sounded like there was maybe only a slight discrepancy and perhaps your data was as accurate or even more accurate than IQFeed. Well I activated the EUREX feed yesterday, and I assume it's being used by SC platform because I have the [M] symbol on the chart. I am trying to get SC to replace Market Delta, so I use the number bars as my chart. Unfortunately the quality is shockingly poor. It's literally unusable. I cannot believe I am paying for this data. I have a demo account with another provider and the quality of that free data is far more accurate, to the point where I am watching Market Delta footprint with the demo feed and trading on SC. I don't know if this is the only thing, but as an example: the market is 35 bid 36 offered. 36 is lifted and goes bid, we're now 36 bid 37 offered. But nothing has traded 37 yet. Any further trades that hit the 36 bid are shown as trading on the offer at 36, even though it's bid. And it will continue to do this until 37 trades. It's like it doesn't realise it's now bid, even though it went bid 10 seconds ago. So every other price has inaccuracies, some small, some very large - see screenshot as example, SC shows 536 traded on the 35 offer whereas the demo/accurate feed shows most of that actually traded 35 when it was bid. An I know SC is wrong because I was watching the price as it was bid and SC kept adding to the offer side and I couldn't believe my eyes. So unless you can say you're definitely aware of this and have a plan to fix it, the feed is useless to me. If I am somehow not using your feed but my TT FIX instead then I apologise. |
sc.png| [2014-03-11 01:43:46] |
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This is pending review and we will get back to you as soon as we can. 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 |
| [2014-03-12 00:22:45] |
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The comparisons we have done between the Sierra Chart EUREX data feed and IQ Feed use the Cumulative Delta Bars study. Here is a comparison for today: http://www.sierrachart.com/image.php?l=1394583608794.png (IQ Feed) http://www.sierrachart.com/image.php?l=1394583312848.png (Sierra Chart data feed) To us in these particular charts, the Sierra Chart data feed produces a more "reasonable" result. This is not always the case on different days. Sometimes it looks as though at certain points in the chart IQ Feed looks like it is a more reasonable result. But overall, the two graphs are very similar to each other. Will be providing more details, later in the evening. The main point is that Sierra Chart data feed uses up ticks and down ticks to identify ask traded volume and bid traded volume. We described this in the thread linked below. This is the only 100% stable and consistent method that can be applied to EUREX data. There is another technique we could use and we will comment on that. This is the original discussion thread: Technical Discussion: EUREX Bid Volume and Ask Volume And for the record, what you are talking about is data derived off of the data feed and not actual exchange data. The last trade, bid, ask prices and volume data provided by the Sierra Chart data feed is 100% perfect. It is provided as it is from the exchange and there is no room for any error here. Your comments cannot be considered fair because what you are talking about is data that is derived from the data feed which cannot be reliably done with EUREX. This has been very well established by us in our technical discussion. 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: 2014-03-28 08:01:36
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| [2014-03-12 06:57:50] |
| MichaelS - Posts: 2 |
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SC, whether my comments are fair or not, all I can say is that other data feed providers (e.g. CQG) provide data which quite accurately displays whether a trade occurred on the bid or ask. That is what I need, so I've switched back to CQG.
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| [2014-03-28 08:00:17] |
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We have spent some more time on the EUREX feed. We have deployed the change described below. Your account has been given two weeks of additional usage time and you also still have access to the EUREX feed. It is completely up to you if you want to look again. No worries. We just wanted to follow up on this since you still have access to the data feed. We have deployed a change to the Sierra Chart EUREX data feed where when a trade occurs at the same price as before and exactly matches the latest quoted Bid, then it is considered a Bid trade. If it exactly matches the quoted Ask, then it is considered an Ask trade.
Otherwise, logic is as before, where if the market trades higher or trades at the same price and previously traded higher, then it is considered an Ask trade. If the market trades lower were trades at the same price and previously traded lower, then it is considered a Bid trade. We have been monitoring it this morning and the algorithm works well and has been deployed across all servers. At this point, we think we have succeeded with providing a very good Bid Trade Volume and Ask Trade Volume estimation with EUREX that is sensible. 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 |
| [2014-03-28 08:02:56] |
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and I assume it's being used by SC platform because I have the [M] symbol on the chart.
Yes in this case you are using the Sierra Chart 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 |
| [2014-03-28 08:04:58] |
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I don't know if this is the only thing, but as an example: the market is 35 bid 36 offered. 36 is lifted and goes bid, we're now 36 bid 37 offered. But nothing has traded 37 yet. Any further trades that hit the 36 bid are shown as trading on the offer at 36, even though it's bid. And it will continue to do this until 37 trades. It's like it doesn't realise it's now bid, even though it went bid 10 seconds ago. This is because of the uptick and downtick logic which is used to determine a Bid Trade or Ask Trade. Once the price stays steady you will not notice this with the new algorithm which we deployed this morning. 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: 2014-03-28 08:05:21
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