Support Board
Date/Time: Mon, 25 Nov 2024 09:56:20 +0000
bid and ask overlap in BUND futures on EUREX
View Count: 717
| [2023-12-05 13:21:48] |
| User282741 - Posts: 36 |
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Hi. please take a look at the attached screenshot. The symbol is FGBLH24 on EUREX; Service is trading evaluator. I use Denali Data Feed. I compared it with tradovate and their DOM is fine. I use SC 2543 Date Time Of Last Edit: 2023-12-05 13:31:06
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 bund_bid_ask_overlap.png / V - Attached On 2023-12-05 13:21:29 UTC - Size: 28.46 KB - 96 views bund_bid_ask_overlap2.png / V - Attached On 2023-12-05 13:30:58 UTC - Size: 30.24 KB - 85 views |
| [2023-12-05 13:31:51] |
| User282741 - Posts: 36 |
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I just added another attachment. It occured again. And it doesn't happen on tradovate. so it might be Denali problem.
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| [2023-12-05 13:37:16] |
| User282741 - Posts: 36 |
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It also happened on FGBMH24 and FGBSH24.
Date Time Of Last Edit: 2023-12-05 13:37:39
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| [2023-12-05 13:42:53] |
| User282741 - Posts: 36 |
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After updating SC to the current version 2568 problem still persists.
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| [2023-12-05 14:58:06] |
| Sierra_Chart Engineering - Posts: 17172 |
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Updating Sierra Chart will have no effect on this. We do see a few packets lost today with EUREX. This is what will lead to the problem. We will see if there is anything we can do to resolve this.
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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-12-05 14:58:52
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| [2024-03-04 08:14:32] |
| User282741 - Posts: 36 |
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This happens again today on BUND. Take a look at the attached picture. I looked at exchange data from Tradovate and it works well there. No such problems there. Date Time Of Last Edit: 2024-03-04 08:14:50
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| bund_overlap.png / V - Attached On 2024-03-04 08:14:22 UTC - Size: 26.14 KB - 68 views |
| [2024-03-04 08:22:00] |
| Sierra_Chart Engineering - Posts: 17172 |
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We see an indication of this. There is not anything we can do now but we will be looking at this, in the evening to see what can be done. The data feed you are using is the EUREX EOBI data feed. You cannot compare that to another data feed from other providers of EUREX data because they do not use an advanced data feed like this. 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-03-04 08:28:53] |
| Sierra_Chart Engineering - Posts: 17172 |
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We have looked into the issue, and we think we know what can be done to resolve the problem but we do not want to make a change now because making a change is going to disrupt the data feed which could last about 10-20 seconds. We will work on the problem in the evening.
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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-03-04 08:29:02
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| [2024-03-04 22:46:34] |
| Sierra_Chart Engineering - Posts: 17172 |
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We are working on the issue now.
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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-03-06 09:04:47] |
| User282741 - Posts: 36 |
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Just to let you know. It keeps happening. I see it on FGBM0624.EUREX market now.
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| [2024-03-06 10:02:07] |
| Sierra_Chart Engineering - Posts: 17172 |
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We see the reason for this. This is a challenging issue to resolve. We are doing our best with it. Once it happens there is nothing we can do during the trading day. This is an order by order 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-03-06 10:31:22] |
| Sierra_Chart Engineering - Posts: 17172 |
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We are looking at that symbol, and for the last 20 minutes we do not observe the problem: https://www.sierrachart.com/image.php?Image=1709720552236.png We know that the problem can come and go. 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-03-06 14:48:27] |
| User282741 - Posts: 36 |
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It's there now as I am writing this post edit: also on FGBM0624.EUREX - the BOBL Date Time Of Last Edit: 2024-03-06 14:58:03
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| bund_overlap_2.png / V - Attached On 2024-03-06 14:48:21 UTC - Size: 28.75 KB - 63 views |
| [2024-03-07 01:14:07] |
| Sierra_Chart Engineering - Posts: 17172 |
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Next time you see this, reconnect to the data feed with File >> Reconnect. We think this problem is not likely to be encountered from this point going forward. We made an additional two changes. These changes relate to resolving a very minor packet loss issue. This problem is the result of losing some, maybe less than 100 packets out of many millions. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-03-07 01:15:07
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| [2024-03-18 10:00:53] |
| User282741 - Posts: 36 |
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This still happens. I'm on the current release. Reconnecting does not help Symbol is FGBL0624.EUREX; FGBM0624.EUREX, FGBS0624.EUREX Please fix this. I know you have the most advanced data feed. But it's of no use if the DOM your present is totally confusing. And I doubt it's EUREX's fault. I see the DOM on Tradovate and it's correct. No overlaps. Date Time Of Last Edit: 2024-03-18 10:04:24
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| bund_error.png / V - Attached On 2024-03-18 10:00:27 UTC - Size: 55.54 KB - 56 views bund_error_2.png / V - Attached On 2024-03-18 10:03:36 UTC - Size: 88.72 KB - 60 views |
| [2024-03-18 14:30:50] |
| Sierra_Chart Engineering - Posts: 17172 |
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This is actually not something we can fix. It is very difficult/impossible to resolve even if there is just a few packets lost. You cannot compare what Sierra Chart offers to other programs. We actually can fault EUREX for this because they do not provide the best bid and ask prices as a reference point. And I doubt it's EUREX's fault.
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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-03-18 14:37:46] |
| Sierra_Chart Engineering - Posts: 17172 |
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This particular problem was pointed out to EUREX from the very beginning. They need to provide the best bid and ask price for symbol as a reference. They do not do that on the EOBI data feed. The fault does lie with EUREX. That is the only fair thing to say here. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-03-18 14:38:16
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| [2024-03-18 15:11:24] |
| Sierra_Chart Engineering - Posts: 17172 |
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We are going to make one change, which triggers the automatic deletion of overlapping levels, occur with less tolerance.
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, use the Teton service: Sierra Chart Teton Futures Order Routing |
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