Support Board
Date/Time: Sun, 24 Nov 2024 03:32:37 +0000
Futures Spreads: CBOT Denali -- Missing Data
View Count: 198
| [2024-07-04 19:25:49] |
| User198125 - Posts: 38 |
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Hello, I am trying to retrieve symbols for instruments listed within, 'Futures Spreads - CBOT Denali', but the data seems sporadic and inaccurate. Some of the examples of the Symbols I am trying to download are: BOB~.FUT_SPREAD.CBOT FOB~.FUT_SPREAD.CBOT NOB~.FUT_SPREAD.CBOT TUT~.FUT_SPREAD.CBOT Are these instruments available please? I was managing to retrieve the spreads BUT they have huge data missing are ie. FOB 03-01 U24..FUT_SPREAD.CBOT has data missing: from 8.35 to 10:01 (Eastern time) from 10:01 to 10:53 (Eastern time) from 10:53 to 11:19 (Eastern time) The US treasury curves from which this FOB is created was moving during these periods so it should have been updating during these times. Thank you. |
| [2024-07-04 20:57:16] |
| Sierra_Chart Engineering - Posts: 17154 |
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Yes data is provided for those spreads. Contact the exchange with your question. We cannot answer it. There is no missing data from our side. 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 |
| [2024-07-04 23:09:30] |
| User198125 - Posts: 38 |
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Surely as data providers, it is in the interest of your subscribers for you to ensure the feeds are not missing hours worth of data? You say you have no data missing yet for instrument ie. FOB 03-01 U24..FUT_SPREAD.CBOT, the below data is missing? Date: 04-July-2024 from 8.35 to 10:01 (Eastern time) from 10:01 to 10:53 (Eastern time) from 10:53 to 11:19 (Eastern time) Have you checked t confirm what I am saying is true? If so, why are you not checing with the exchange? Do you have a contact at the exchange you liaise with to check? Date Time Of Last Edit: 2024-07-04 23:10:55
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| [2024-07-05 12:23:13] |
| Sierra_Chart Engineering - Posts: 17154 |
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We are sure there is no missing data. But it is best you ask the exchange so you can get confirmation. We have no reason to check with the exchange because we know there is no problem. You need to check with the exchange so that you can get the information from an authoritative source. We do not know who to contact there. Spreads do not update, even if the underlying is trading. There has to be a trade in the actual spread contract itself. This is what we see for that chart: https://www.sierrachart.com/image.php?Image=1720182332379.png Looks fine to us. That is all the trading that occurred. For July 4 we see no trading at all other than 2 trades in the early 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-07-05 12:27:34
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| [2024-07-05 14:31:55] |
| User198125 - Posts: 38 |
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So you are saying the spreads only update when there is a trade? Then this data is pretty useless to chart as if a trade was done 2 days ago, yet the underlying's have moved since then, then the chart does not represent current spread levels. How are we supposed to trade from it if we wish if it does not represent current levels? HOWEVER: I will write to the exchange to confirm if they only send data when there is a trade or if they send data that ties in with movements in the instruments that make up the spread irrespective of whether a spread trade has been done or not. I will get back to you once I have heard from them. Thank you for your patients. |
| [2024-07-05 17:47:04] |
| User198125 - Posts: 38 |
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Hello, Please see below reply I received from the exchange - they are stating that implied prices should be present and are not dependent upon trades being done so there should be no gaps. Their replay is below: ============= Hello M Patel, Thank you for contacting the CME Global Command Center (GCC). Checking for market data updates on the relevant MDP channel for example instrument BOB 02-01 U4 - T-Bond vs. Ultra T-Bond, we see numerous implied Bid and Offer updates disseminated, which would suggest the updates are not limited in the market data to trade summary updates only. However, we cannot say conclusively whether this is the market data feed that the vendor you refer to is consuming - perhaps you could clarify this with them. We're also attaching for your reference an information sheet that describes broadly the pricing calculations for Treasury ICS products. If you'd like to know more about the pricing methodology itself, you can also reach out to the product specialist team at InterestRates@cmegroup.com. If you have any further questions, please call the GCC in the U.S. at +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010 or email at GCC@cmegroup.com. Note: Due to an upgrade to our email system, we now require that a new email be sent for all new requests. Customers should not re-use old email threads for new requests. Thank you. Regards, ============= |
| [2024-07-05 18:09:52] |
| Sierra_Chart Engineering - Posts: 17154 |
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Charts only contain trades. They do not contain bid/ask updates. Unless it is a cash Forex market. But you can use one of the recording modes to also include in the chart Bid and Ask updates: Data Recording Modes You might want to use this one but it does not affect historical data in the chart: Data Recording Modes: -BAAVG 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: 2024-07-05 18:11:44
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