Support Board
Date/Time: Thu, 09 Jan 2025 20:00:43 +0000
Post From: Cumulative data large difference on data feeds
| [2016-07-30 08:07:21] |
| User560062 - Posts: 100 |
|
Hi, I am having issues like others with the bid/ask data issue on sierra on eurex products. When I compare other platforms including TT, Ninja, IRT, delta difference on Sierra seem to be off by too much and I am not trusting it. I did read the following post and the uptick downtick logic makes zero sense to me and it seems like a workaround. Technical Discussion: EUREX Bid Volume and Ask Volume "The main problem is that with the EUREX, trades often occur between the quoted bid and ask prices. This is not common from our observations on the CME." I can't understand why you are saying the above comment. How can EUREX trades occur between the quoted bid and ask prices? Trades either go at bid or at offer, they can never be in between in a central exchange market like futures? I also noticed that T&S on Sierra is always a bit delayed compared to say Ninja 8 T&S on a rithmic data feed. Why is this? Is sierra polling the data at a short interval or is it coming in directly on its own thread? What's the most reliable data feed for eurex products? I need to have these questions answered. You seem to be blaming data feeds all the time but is it really a data feed issue? I have my doubts. |