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Date/Time: Sat, 18 Jan 2025 10:16:02 +0000



Post From: Jumpy & Laggy Market Replay with CQG Connection

[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?
What Sierra Chart is providing is definitively correct with what you see during real-time updating. When you start a replay of market depth, it may not be correct until up to 10 minutes later:
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