Support Board
Date/Time: Thu, 26 Dec 2024 12:13:43 +0000
RT Exchange Data Feed status poorly reflected; feed impacted by trade service connection
View Count: 1361
| [2016-02-11 04:42:14] |
| AC92209 - Posts: 1 |
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I recently purchased a separate direct Sierra Chart and Sierra Chart Real-Time Exchange Data Feed subscription for more reliable futures data (independent of that received from AMP/TTNet) but have unfortunately hit a couple of issues: 1) The Sierra Chart Real-Time Exchange Data Feed status seems to not be accurately reflected in either the Sierra Chart Status Bar or Sierra Chart DTC Relay Server messages. 2) If the trade service connection breaks, the Sierra Chart Real-Time Exchange Data Feed gets interrupted whenever the trade service connection re-establishes. I am currently using Sierra Chart 1366 and have tested the feed with and observed these issues with both IB and TD Ameritrade live account trade service configurations (qualifying for full CME Group nonprofessional data). When the connection to the TRADE service goes down, the Status Bar turns yellow and no longer shows the DF, ST, and BR stats for monitoring data feed status, even while the DATA feed connection remains good and market data continues to flow. Also, a MARKET_DATA_FEED_STATUS MARKET_DATA_FEED_UNAVAILABLE message arrives via the Relay Server (which, with the market data in fact still coming, led to some major confusion initially...). When the connection to the trade service is finally re-established, for whatever reason Sierra Chart then DISCONNECTS the Real-Time Exchange Data Feed. Ironically, it is around this point that a MARKET_DATA_FEED_AVAILABLE message arrives via the Relay Server! (Also ironically, I was considering the Sierra Chart Real-Time Exchange Data Feed for a data feed independent of the broker going down... clearly not the case here with the dropped broker connection resulting in the subsequent disconnect of this data feed.) When the Sierra Chart Real-Time Exchange Data Feed connection goes up or down, there appears to be no clear indication, and certainly not via the Relay Server. For example, at 2016-02-10 00:54 UTC the data feed briefly stopped. Reviewing my Sierra Chart Message Log after the fact, I found the "SC Data - All Services" disconnect and reconnect operations logged, but the Relay Server had given no corresponding MARKET_DATA_FEED_STATUS messages, nor did I happen to notice any change in the Status Bar at that time. Actually, around the time of the Sierra Chart Real-Time Exchange Data Feed dropping out, my main indication on the Relay Server side that something was amiss was receiving a number of MARKET_DEPTH_UPDATE_LEVEL_COMPACT messages, which I normally don't see with the Sierra Chart Real-Time Exchange Data Feed running (with no market depth subscription). With the Sierra Chart Real-Time Exchange Data Feed down, is Sierra Chart quietly reverting to using the trade service provider's data feed? If so, it brings about another concern: ascertaining which feed (Sierra Chart Real-Time Exchange Data Feed or the trading service's data feed) is actually providing data at a given time for a given symbol. Particularly with the lack of correct feed status reporting, having lower-quality data from the trade service quietly get used when the higher-quality feed drops out is risky in that it leads to potentially unknowingly and mistakenly basing real-time trading decisions off that poor data. Otherwise, the feed itself seems quite good as to data accuracy and latency. Hopefully the above may be addressed, for the Sierra Chart Real-Time Exchange Data Feed to better meet needs and for me to be able to continue to use it. |
| [2016-02-11 19:06:27] |
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Give us a few days to read this over and implement some solutions.
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 |
| [2016-02-18 05:02:24] |
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We have read this over. Your understanding of how this works is mostly correct except for the part where you thought the trading service data feed was being used if the SC Exchange Data Feed reconnects. Overall what you are seeing is a special case when using the Sierra Chart Exchange Data Feed with a trading service. There are technical and legal reasons why it works the way that it does. We do not agree with the legal reasons but this has to do with easy, cost-effective, and reliable compliance with CME rules which are wrongful to begin with. What we are going to do is add support for this message: https://dtcprotocol.org/index.php?page=doc/doc_DTCMessages_MarketDataMessages.php#Messages-MARKET_DATA_FEED_SYMBOL_STATUS So you should use this message rather than messages indicating the entire data feed is available or unavailable. Whenever the data feed becomes unavailable for a symbol and then later available at that time you need to make a historical price data request. Here is the documentation for that: https://www.sierrachart.com/index.php?page=doc/doc_DTCServer.php#HistoricalPriceDataServer Other than adding support for this message, no other changes are planned. We will see if we can improve upon this: 2) If the trade service connection breaks, the Sierra Chart Real-Time Exchange Data Feed gets interrupted whenever the trade service connection re-establishes. With the Sierra Chart Real-Time Exchange Data Feed down, is Sierra Chart quietly reverting to using the trade service provider's data feed?
No. There is an automatic switchover to our next available server. This happens in about two seconds. What you noticed was the result of us updating the software on one of the servers. We would also recommend that you switch from the relay server to just a normal client that requests market data for the symbols that you need. 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: 2016-02-18 05:05:00
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