Support Board
Date/Time: Mon, 10 Mar 2025 20:18:55 +0000
Back Testing Chart DOM Execution
View Count: 635
| [2022-04-01 22:12:08] |
| BHowellNZ - Posts: 21 |
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Hi all, I have had a look online and through some of the previous support messages in regards to getting the trading DOM / price ladder to replay correctly. Currently I can get it to show historical cumulative volume however the ladder does not show historic bids or ask within the ladder. I am trying to replay this firstly with my CQG live data feed, is this possible? Or do i need to switch back to sierra all data services and run my backrests from here? All I am trying to achieve is previous day / historical charts with the Trade DOM showing the bid / ask information so I can backtest a new strategy - If you could guide me in the right direction would be much appreciated Kind regards Brad |
| [2022-04-04 13:51:00] |
| John - SC Support - Posts: 38547 |
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The first thing is to make sure that you have the symbol setup to record the Market Depth data. Refer to the following information related to replaying Market Depth data: Replaying Charts: Replaying of Market Depth Data Next, you need to be aware of the lack of Market Depth data from historical CQG data. It sounds like you are aware of this, but just to make sure, refer to the second bullet point at the following link: https://www.sierrachart.com/index.php?page=doc/Whats_New.php#SCVer2351 And then you need to make sure that the Trading DOM is setup to have the correct number of days to load to cover the time period you are replaying. Refer to the following for how to replay a Trading DOM: Replaying Charts: Replaying Trade DOM Windows For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-04-04 23:56:29] |
| BHowellNZ - Posts: 21 |
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Thanks John, Will work through this again now and see if it fixes it. Looks like at the end of this month I shall be cancelling CQG for good reason and only using Denali. One question, from what I can gather, once this is set up and working correctly as above, it will only record the DOM data whilst Sierra chart is open and connected to the feed. What I find is that if my PC screen sleeps generally my connection feed drops, is there a way around this aside from having my screen on all day / overnight in order to stillbe able to run this backtest? Kind regards Brad |
| [2022-04-05 13:33:35] |
| John - SC Support - Posts: 38547 |
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That is one of the advantages of the Denali Exchange Data Feed. We have historical market depth data, so when you reconnect to the data feed, it will download the missing data. Refer to the information here: Market Depth Historical Graph: Downloading Of Historical Market Depth Data Otherwise, with any other data source, you would only get the information while you are connected live. If the computer goes to "sleep", then you would be missing that data. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-04-05 22:36:20] |
| BHowellNZ - Posts: 21 |
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Thanks John, Just to confirm, I think the current plan Im on (I believe you may have enabled this for me) has the Denali feed to get live Eurex data. Does this also provide live data for Asian markets (Nikkei hang seng) So just to confirm, with Denali if I follow the above instruction I will get market depth data recorded without having to leave my PC on overnight etc? Kind regards Brad |
| [2022-04-06 00:03:54] |
| John - SC Support - Posts: 38547 |
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Just to confirm, I think the current plan Im on (I believe you may have enabled this for me) has the Denali feed to get live Eurex data
Your account is setup to "evaluate" package 12, which gives you the ability to get the EUREX data from your trading service (you need to be on Package 10, 11 or 12 in order to get the EUREX data). This evaluation will last through April 22, 2022, after which you would need to change your package. But, as noted above, this is not the Denali EUREX data. You are getting the data from your trading provider. Does this also provide live data for Asian markets (Nikkei hang seng)
You would need to ask your trading provider if they have the Asian Markets. o just to confirm, with Denali if I follow the above instruction I will get market depth data recorded without having to leave my PC on overnight etc?
Correct. Any missing market depth data will be downloaded when you make the connection to the data feed. ---- Note that the Denali Exchange Data Feed does not have data for the Asian Markets. We do have data for the Hong Kong Futures Exchange (HKFE), but this is through our Sierra Chart Exchange Data Feed. You can have both the Denali Exchange Data Feed and the Sierra Chart Exchange Data Feed and your Trading Service Data at the same time, if that is what you need to do (for instance, EUREX from Denali, HKFE from Sierra Chart and Nikkei from your Trading Service). Note that the HKFE does not have the Historical Market Depth data, that is just the Denali feed that has that ability. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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