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Date/Time: Fri, 27 Dec 2024 16:58:42 +0000

Post From: TT vs CQG Bid Ask volume issue

[2016-03-22 20:24:09] Link To Thread - Link To Post [Go To First Post]
Paul.M - Posts: 113
Hello Sierra team, I am comparing the volume prints for S&P500 futures on my TT Sierra instance with the Sierra CQG instance. There seems to be a bug or a data feed issue, where Ask volume is counted as Bid volume or vice versa in the "Current Traded Bid Volume". I cleared the Current Traded Bid (ASk) Volume column simultaneously and after a while took a screenshot of both DOMs. Small differences are normal, but I hope you see the major discrepancies. I dont know if CQG or TT is the culprit. CQG seems to show fewer big Volume blocks (>100) in the T&S than TT. CQG probably slices the Volume differently to TT. I dont know if this is relevant for the above issue - it should not make a difference for the Sum in the Current Ask or Bid column. I hope my screenshots explain the issue. (the same test for BUND/eurex revealed no differences between TT and CQG data feed) TY Date Time Of Last Edit: 2016-03-22 21:54:07


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