Support Board
Date/Time: Tue, 26 Nov 2024 00:21:14 +0000
Post From: iqfeed, implied trades, volume and tick based bars
| [2014-03-14 21:59:31] |
| User83837 - Posts: 8 |
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I've discovered with iqfeed that Sierra ignores ticks from implied trades when building a chart. This can be seen in the volume study, as well as tick based bars (which I use to trade from). In heating oil and natgas (perhaps other energy futures as well, that's just the 2 I trade), this is a significant amount of ticks (approx. 50-60%). It's not as big a percentage in the other contracts I checked (~20% for soymeal, ~15% gold, ~1% T notes, ~2% $5-Dow) I have a few questions about this. 1-Does Sierra throw away the ticks compleletely (that is, not store them), or just ignore them for building a chart? 2-Do other data feeds have this issue? And if no, do the other data feeds send the implied trades at all, or send them and not differentiate? 3-Can we get an option on chart settings to include implied trades when building a chart? Sorry if this has already been answered... the closest prior thread I could find said something about ignoring implied trades from iqfeed for some DTC C# purpose (not something I'm familiar with there). Thanks |