Support Board
Date/Time: Wed, 15 Jan 2025 17:56:57 +0000
US Treasury inter commodity spreads (ICS)
View Count: 1710
| [2017-09-06 12:32:45] |
| User409029 - Posts: 5 |
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I have been trading the BUB and NOB on sim and everything works well until the daily reset from 4 - 5 CT after which the price resets to 0 as explained here: http://www.cmegroup.com/trading/interest-rates/files/TreasurySwap_SpreadOverview.pdf Unfortunately my position stays the same and so if I was lets say down by 3 ticks, when the market resets to 0 I am up depending on how many ticks the market was from the 0 point prior to reset. For example, yesterday when the market closed I was down 5 ticks (the market was at -19 and I was at -14). I was in a 10 lot approximately -$1500 down but when the market reset and reopened at 5 pm CT to 0 based on settlement price for each leg at 2 pm CT, I was up over +$5000. This is obviously not correct. Unfortunately I have never traded this live but would like to but since the sim environment is not an accurate reflection of what I should expect, I am hesitant to do so. Can this be addressed? Thanks Ned |
| [2017-09-06 16:50:46] |
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We do not see how we can have any control over this. This really depends upon the CQG data feed that you are using. We will see if we observe this with the Sierra Chart Exchange Data Feed. If we do not we will recommend using that. 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 |
| [2017-09-06 23:45:09] |
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Letting you know with the Sierra Chart Exchange Data Feed, we did not notice the last trade price or bid or ask prices go to zero after the closed today. In particular we were looking at this symbol: NOB 03-01 Z17.FUT_SPREAD.CBOT You could use the Sierra Chart data feed, but the problem is there is no mapping of spread symbols between the Sierra Chart data feed and CQG. Eventually that will be done with CTS. But for now you could also look at using CTS instead because we would assume their data feed does not have this issue: https://www.sierrachart.com/index.php?page=doc/CTS_T4.php You also have the ability to automatically list spread symbols when using CTS which is very convenient. 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: 2017-09-06 23:45:47
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| [2017-09-07 00:44:18] |
| User409029 - Posts: 5 |
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I have a follow up question. When I trade the BUB on Sierra Chart I am using the symbol F.US.BUBZ17. When I use F.US.BUBZ7 the DOM values differ between the two. I experimented with ZB and had a similar result F.US.USAZ17 vs. F.US.USAZ7 and in this case, the last traded prices are different between the two. I emailed CQG support and they indicated I had to ask this question here. Which is the correct way to specify 2017 and why do both ways seemingly work but differ as noted above? |
| [2017-09-07 02:53:22] |
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You can use either a two digit year or a single digit year but you must consistently use one or the other. Do not use both at the same time. If you start to mix them you may get some issues with symbol data mapping. These issues are related how the CQG system works and not Sierra Chart.
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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