Support Board
Date/Time: Fri, 22 Nov 2024 17:24:37 +0000
Post From: Jan 1, 2021 Changes to Historical Data: Interactive Brokers, CQG
| [2020-11-27 09:01:22] |
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Information regarding CQG historical data: ===================================================== More information regarding CQG historical data. If you are with AMP our understanding is you do not have to pay for the CQG historical data. This has been confirmed. If you are not with AMP, then if you are just needing historical data for the CME Group or EUREX you definitely will want to use the Sierra Chart Data Feeds for data instead of CQG: Real-Time Exchange Data Feeds Available From Sierra Chart When using the Sierra Chart provided data feeds, you will have access to 10 years of tick by tick history (More in some cases), instead of 5 days with CQG, including expired contracts which CQG does not provide and which are needed by Continuous Futures Contract charts, and have very fast and reliable and smooth data delivery. We would not recommend paying for CQG data if you have to pay for it since there are major disadvantages to using CQG historical data. Therefore, when you are using either the Denali Exchange Data Feed and/or the Sierra Chart Exchange Data Feed, you will no longer need market data from CQG and would need in this case to cancel through your broker, the exchange fees you are paying for market data. CQG in this case would only be used for order routing and not market data. And then you will have overall dramatically better market data from Sierra Chart. We also will be providing a new EUREX data feed with full market depth across all price levels as part of the Denali Exchange Data Feed. This will become available in January 2021. And this will actually be a requirement to use, for all users and CQG users who require EUREX market data, at some later point anyway. ----- These logs show the timing comparison between historical Intraday data downloaded from the Denali Exchange Data Feed and CQG. You can see the Denali Exchange Data Feed delivers data and is processed in 20.8% of the time as compared to CQG. So the Denali Data Feed and Sierra Chart provided historical data is dramatically faster!! ---- Denali data feed (And also the subsidized historical data we provide CQG users now and in the past for CME group and EUREX data): HD Request # 4 | Received 5036503 records from 2020-11-16 15:12:33.374000 to 2020-11-26 12:59:59.477000 (9.9 days) and wrote 5036503 records for ESZ20-CME | 2020-11-26 15:12:58.829 HD Request # 4 | Add time&sales data | Remembered last file record date-time: 2020-11-26 17:59:59.477000 | 2020-11-26 15:12:58.829 HD Request # 4 | Completion time: 25s | 2020-11-26 15:12:58.829 HD Request # 4 | Intraday data download complete for ESZ20-CME. Unique request ID: 3 | 2020-11-26 15:12:58.829 ---- CQG (Historical data from CQG servers, which is not currently used by SC users unless you are using Asian exchanges): HD Request # 9 | Received 5030866 records from 2020-11-16 15:17:26.072000 to 2020-11-26 12:59:59.480002 (9.9 days) and wrote 5030866 records for F.US.EPZ20 | 2020-11-26 15:19:29.005 HD Request # 9 | Add time&sales data | Remembered last file record date-time: 2020-11-26 17:59:59.480002 | 2020-11-26 15:19:29.005 HD Request # 9 | Completion time: 2m | 2020-11-26 15:19:29.005 HD Request # 9 | Intraday data download complete for F.US.EPZ20. Unique request ID: 6 | 2020-11-26 15:19:29.005 Two other things to be aware of with CQG historical data. The processing of this data is done on the Sierra Chart primary thread rather than a background thread which is used for Sierra Chart historical data services, like the Denali data feed uses. Processing of this historical data from CQG on the primary thread will cause Sierra Chart to freeze during the processing of that historical data. When downloading and processing 1 minute data, there really is not any noticeable freezing. In the case of tick by tick data, you would notice freezing during the processing of that data. Normally this would be just a few seconds. So this is a reason to use the Denali Exchange Data Feed for data. To avoid this freezing. Additionally, CQG provides tick by tick data in reverse order. From latest to earliest. So that data has to be held in memory until all of the data is received. This will cause a temporary increase in memory use of Sierra Chart during the processing of this data. And that can be very substantial. It easily could be 100-200 MB or more. Another consequence to CQG providing data in reverse order is there is a risk for downloads that take a long time to complete like two minutes that you could end up missing some data just after the end of the historical data provided and result in a small time gap in the chart. This may or may not be an issue because Sierra Chart will try to fill in this missing data to the extent time and sales data is available for that time period. So these are reasons to use the Denali Exchange Data Feed for data when using CQG. However, if you are satisfied with the historical and real-time data from CQG, then that is perfectly fine. Just continue to use that data. With the problems described above with CQG data, Sierra Chart at most will download 5 days of tick by tick data from CQG. The remaining prior time period will be 1 minute data. Also keep in mind that CQG only provides historical data for current futures contracts. Not expired futures contracts. Since CQG only provides data for current futures contracts, you cannot use the Continuous Futures Contract feature in Sierra Chart with CQG. It is unsupported. So therefore you will need to use the Sierra Chart data feeds for data for this feature (Denali Exchange Data Feed, Sierra Chart Exchange Data Feed). Information we provided one broker: CQG simply does not provide the market data capabilities that Sierra Chart requires. It does not make sense to promote this any longer. Now that we offer historical market depth data, and soon market by order data, and with the incompatible market depth data they have, and unacceptable historical data, there just is no point even promoting Sierra Chart with CQG data. Sierra Chart's market data needs are very specialized. For those who want to use CQG for order routing that is perfectly fine. Although our TT based order routing is a safer option due to server-side bracket orders.
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: 2021-01-05 09:33:34
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