Support Board
Date/Time: Fri, 27 Dec 2024 01:13:08 +0000
TT vs CQG Bid Ask volume issue
View Count: 1854
| [2016-03-22 20:24:09] |
| Paul.M - Posts: 113 |
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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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 combi TT1 CQG1.jpg / V - Attached On 2016-03-22 20:20:41 UTC - Size: 475.83 KB - 423 views combi TT2 CQG2.jpg / V - Attached On 2016-03-22 20:20:59 UTC - Size: 446.79 KB - 363 views combi TT3 CQG3.jpg / V - Attached On 2016-03-22 20:21:32 UTC - Size: 450.39 KB - 384 views |
| [2016-03-22 20:45:11] |
| Paul.M - Posts: 113 |
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The same can be seen on the Times and Sales windows: Some Ask volume is reported as Bid volume - sometimes. Date Time Of Last Edit: 2016-03-22 20:46:19
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| combi TT4 CQG4 T+S.jpg / V - Attached On 2016-03-22 20:44:31 UTC - Size: 197.35 KB - 363 views |
| [2016-03-22 22:32:30] |
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Bid Volume and Ask Volume are inaccurate when using TT. That is well-known and it has no solution. Use the Sierra Chart Exchange Data Feed for completely accurate CME data: Sierra Chart Exchange Data Feed 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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