Support Board
Date/Time: Fri, 10 Jan 2025 23:10:15 +0000
Questions on trading LMAX CFDs
View Count: 1840
| [2016-10-13 10:21:30] |
| bob7123 - Posts: 7 |
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Hi, I’m trading CFDs with LMAX. I am finding that they trade in sympathy with, but not exactly the same as the futures contracts they represent. On longer timeframes the difference is minimal, but on shorter time frames, there is divergence. This leads me to ask a few questions: Is it possible to have charts with bars that are shorter than 1 minute, e.g. 15 or 30 seconds? I have 2 instances of Sierra Chart, one which is connected to LMAX, the other to IQFeed. Is it possible to put both the LMAX CFD price and the CME contract price from IQFeed on one chart? That would be very helpful. I understand they are separate processes, but can they communicate in some fashion? Alternatively, the IQFeed client can send data via DDE. Can the LMAX instance receive DDE data? You guys may already know this, but the “spot” prices that LMAX uses are actually a weighted average of the 2 most recent CME contracts. Each day the further contract is given more weight, so when the near one expires, it is not counted. Basically, they are doing a small rollover each day. As an example, their PDF on how they calculate spot oil is attached. Would it be possible to create a “Fair Value” chart that used the calculation in the PDF to determine the Y axis price value? (and perhaps put it on a DoM?) So I can do some external analysis, is it possible to export LMAX’s level 2 data to a text file or database or whatnot? Thanks very much for your help. -Bob |
 Spot Oil.pdf - Attached On 2016-10-13 10:18:10 UTC - Size: 411.13 KB - 415 views |
| [2016-10-13 18:21:27] |
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Is it possible to have charts with bars that are shorter than 1 minute, e.g. 15 or 30 seconds? http://www.sierrachart.com/index.php?page=doc/ChangingPeriodOfBars.php . Is it possible to put both the LMAX CFD price and the CME contract price from IQFeed on one chart?
This can be done by opening a chart from another instance through the File >> Find Symbol window:http://www.sierrachart.com/index.php?page=doc/FileMenu.html#FileFindSymbol If you want to do custom calculations, you can use ACSIL: http://www.sierrachart.com/index.php?page=doc/Contents.php#AdvancedCustomStudySystemInterfaceandLanguage So I can do some external analysis, is it possible to export LMAX’s level 2 data to a text file or database or whatnot? http://www.sierrachart.com/index.php?page=doc/c_ACSILDepthBars.php 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 |
| [2016-10-17 11:27:28] |
| bob7123 - Posts: 7 |
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Thanks for that. I was going to apologize for my first question which was rudimentary, but then things got interesting. When I set the time period to be very short, all the way down to 1 second bars, I noticed that the bars were not printing every 1 second, but rather only when there was a trade in the instrument. So at sort timeframes the chart was effectively a 1 tick chart not a one second chart. I made a short movie (attached) to show you what I mean. Is there a way to fix this so the time of the bars is correct and not dependent on a trade taking place? I doubt I'll be using 1 second bars in practice, but even on longer timeframes this effect has been confusing and distracting. Beyond that I'll have a look at ACSIL. Something I've been meaning to do, now I have a reason. ;) Date Time Of Last Edit: 2016-10-17 18:05:49
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| [2016-10-17 18:05:25] |
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What you see is normal. The only thing that might help you is to enable this option: http://www.sierrachart.com/index.php?page=doc/ChartSettings.html#IncludeColumnsWithNoData We cannot provide any further help with this. 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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