Support Board
Date/Time: Fri, 27 Dec 2024 01:53:56 +0000
Missing intra day tick data
View Count: 1000
| [2016-01-27 00:52:49] |
| User341070 - Posts: 13 |
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Hi there I have had a massive discrepancies with my tick data over the last few months. I believe my broker Anthony Giacomin from S5 Trading has been in touch with your regarding the issue. I have CQG data and run it in NT as a second user. I use volume profile for my ladder in NT and on my charts in Sierra. Every day a number of price levels are slightly off in terms of volume and there shouldn't be a reason for this as my time and intraday data settings are all correct. Anthony recommended that I patch the data via the Edit tab however I can't seem to find the button to do that. Please have a look through my screen shots on the discrepancy in the volume profile for NT and Sierra and also the settings that I have for FESX and data/trade services settings. Would appreciate your support on this. Thanks Date Time Of Last Edit: 2016-02-04 01:37:40
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 sierra fesx.jpg / V - Attached On 2016-01-27 00:50:37 UTC - Size: 360.93 KB - 306 views nt jigsaw vp.jpg / V - Attached On 2016-01-27 00:50:42 UTC - Size: 181.42 KB - 290 views Private File Private File Private File Private File |
| [2016-01-27 06:37:31] |
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In order to help with this, we need to you to follow our instructions. Update Sierra Chart to the current version by following the instructions here: https://www.sierrachart.com/index.php?page=doc/download.php#FastUpdate You are running older versions of Sierra Chart. While in general this is probably not going to make much if any difference, it is important that you are still running a current version. Here is a chart of FESX with a volume profile for 2016-01-26. http://www.sierrachart.com/image.php?l=1453873896683.png Each price level displays the volume. Add a Volume by Price study to your chart set up the same way. Re-download the data in your chart with Edit >>Delete All Data and Download. You should have an exact match with volumes at each price level. We will only help comparing to the data that we have on our servers, which we know is correct and not to any other program. There is no reason to post all of these screenshots that you did. None of those are relevant to us other than the Data/Trade Service Settings window. If you notice any further discrepancies, just simply tell us the symbol, the date, the price level, and the volume at that price level. The trading day needs to be completed so we can compare final values. 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: 2016-01-27 06:37:53
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| [2016-01-27 23:09:39] |
| User341070 - Posts: 13 |
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Hi there I have downloaded the latest software and restarted the program accordingly. The volume profile you posted is not correct on a tick by tick basis, i believe that each volume level there is made up of two ticks. I have deleted and downloaded the data as instructed which has not changed the VP from the 26th. Please can you post a VP from yesterday (the 27th) so I can make a comparison. Thank you |
| [2016-01-27 23:11:25] |
| User341070 - Posts: 13 |
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Please find yesterdays VP here.
Date Time Of Last Edit: 2016-02-04 01:37:12
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| sierra VP 28.01.15.jpg / V - Attached On 2016-01-27 23:11:05 UTC - Size: 319.64 KB - 255 views |
| [2016-01-28 21:19:40] |
| User341070 - Posts: 13 |
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Hi Have you managed to make any progress on this? Look forward to hearing from you. |
| [2016-01-29 05:47:17] |
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We apologize for the delay. In the first Volume by Price chart image we provided, it does include 2 ticks per price level. Although we realize, it does need to be that way in order to see all of the price levels. Here is 2016-01-28 (1 tick per price): http://www.sierrachart.com/image.php?l=1454046232265.png Here is 2016-01-27 (1 tick per price): http://www.sierrachart.com/image.php?l=1454046407490.png Some of the top and bottom price levels are not shown because there is not enough room. I have deleted and downloaded the data as instructed which has not changed the VP from the 26th. 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: 2016-01-29 05:49:52
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| [2016-01-29 06:02:08] |
| User341070 - Posts: 13 |
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Ok thanks guys. The VP from yesterday (28th) matches perfectly with mine as you can see! However the VP from 27th doesn't with some volume missing around the vpoc. What's odd though is that the VP from yesterday doesn't match my VP in jigsaw/NT, there str more contracts at certain prices. It baffles me as they are both running off CQG and your data which I'm assuming is accurate as it matches my VP from yesterday. How can CQG add more contracts to one platform? So bizarre. I'm going to forward this thread onto the guys at S5. I think it's best to direct the conversation over to CQG for their opinion. Unless you have any further thoughts? Date Time Of Last Edit: 2016-02-04 01:36:58
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| sierra vp 28.01.jpg / V - Attached On 2016-01-29 06:01:49 UTC - Size: 260.19 KB - 266 views sierra vp 27.01.jpg / V - Attached On 2016-01-29 06:02:02 UTC - Size: 295.12 KB - 276 views |
| [2016-01-29 07:19:33] |
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We do see the difference of 40 at the POC level on 2016-01-27 but that is considered acceptable. Sometimes those are inevitable. You cannot expect complete perfection. 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 |
| [2016-01-29 07:21:50] |
| User341070 - Posts: 13 |
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It's minimal today, however previously we're talking thousands. That will affect my composite VPs. Some levels on NT/jigsaw VP are hundreds different. I'll contact S5 tonight. |
| [2016-01-29 08:13:17] |
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OK hundreds or thousands is considered unacceptable. As we have looked into this some more, now the problem is quite apparent. Here is the chart from the Sierra Chart Exchange Data Feed: http://www.sierrachart.com/image.php?l=1454054059675.png This matches IQ Feed: http://www.sierrachart.com/image.php?l=1454055128117.png The fact is that CQG has had some really serious problems with their Web API data feed. This is what Sierra Chart is using and this is clearly the source of the problem. This has been persistent problem since the beginning. Every day now we are seeing problem reports with the CQG data feed. There is also a small inconsistency with the CQG historical data among our servers due to how they are configured. This is the reason for the small inconsistencies you are seeing after a re-download of the data. We are going to solve that this morning and make all of them consistent going forward. This is easy. But that is not going to solve the underlying CQG data issue. 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: 2016-01-29 08:19:42
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| [2016-01-29 08:20:50] |
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If you want to use the Sierra Chart Exchange Data Feed and bypass the CQG feed. You can. This is an option available to you with a direct Sierra Chart account. However, effective either in February or March you will not need a direct account any longer. You can just subscribe to it for 40 USD per month. So it will have a 5 USD extra charge over the standard pricing since you have a broker provided account. There is also the EUREX exchange fee for 15.75 USD per month. 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 |
| [2016-02-04 01:33:01] |
| User341070 - Posts: 13 |
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Hi there I will discuss the switch over to sierra chart data with my broker later. Today is downright ridiculous. As you can see there are thousands missing on SC compared to my NT/Jigsaw ladder. Not sure which one is right though. Dax is even giving a total inaccuracy with yesterdays low of 9345.0 on ladder and 9349.0 on the VP in SC, again i have no idea which one is correct. This is totally unacceptable on CQGs part. Date Time Of Last Edit: 2016-02-04 01:36:39
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| dax NT jigsaw VP.jpg / V - Attached On 2016-02-04 01:32:19 UTC - Size: 161.34 KB - 296 views dax SC VP.jpg / V - Attached On 2016-02-04 01:32:25 UTC - Size: 188.82 KB - 302 views NT jigsaw ladder vp.jpg / V - Attached On 2016-02-04 01:32:32 UTC - Size: 186.71 KB - 303 views stoxx SC VP.jpg / V - Attached On 2016-02-04 01:32:48 UTC - Size: 188.91 KB - 302 views |
| [2016-02-04 01:45:15] |
| User341070 - Posts: 13 |
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Having done a comparison with a friend's OEC feed it would seem from today's VPs that the NT/Jigsaw VP is the accurate one. I have passed this information onto CQG for them to address the matter. |
| [2016-02-04 05:29:44] |
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We have done all we can in regards to this. We did verify that Sierra Chart is fully processing all of the real-time trade data from CQG. 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 |
| [2016-03-16 09:47:56] |
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We have looked at the CQG volume data for the March DAX for 2016-03-14 and 2016-03-15 and we get nearly an exact match to the Sierra Chart Exchange Data Feed. This is a different contract than the one discussed in this thread but still a EUREX contract. We did discover a problem about two weeks ago which was contributing to this problem. This has been solved and apparently with connection improvements CQG has made, there is no longer a missing data problem. 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 |
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