Support Board
Date/Time: Sun, 24 Nov 2024 16:53:35 +0000
Difference SC CME data-feed vs direct CME data-feed
View Count: 2303
| [2013-11-19 07:38:03] |
| User11942 - Posts: 298 |
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Hi SC, please take a look at the attached charts. I found shape of some candles different (please ignore last bars on each chart). It looks like some data are missing whether in SC CME data or in another CME feed. As well there are differences in trading volumes and market depth between SC CME data and IB data (please find DOM screenshot attached). Nevertheless IB market depth readings are totally in-line with "direct CME" ones. This is the same contract on all screenshots - ECLF14 (NYMEX on Globex Jan crude oil). I deleted all old data and downloaded new one before I made screenshots. SC connected to IB. I'm not sure where the problem comes from. Could you please check the issue and advise for any reasons for the discrepancies? Thank you.
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| [2013-11-19 22:24:53] |
| User11942 - Posts: 298 |
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Hi SC, RSVP please. I've checked also other NYMEX contracts - RB, CL, NG different months. The problem with incorrect market depth figures (bid/ask) in SC CME data-feed persists for me. Thank you.
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| [2013-11-20 03:27:49] |
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There is a lot here. We need some time to review. Should get to it before morning.
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 |
| [2013-11-20 22:02:14] |
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You cannot provide us chart images from one program and expect us to compare them with images from Sierra Chart. Unless we have access to both programs and can interact with them and fully understand the other program and ensure that the building of Tick or Volume bars is identical to Sierra Chart, then we cannot help with this. It is expecting too much of us to be staring at these images trying to figure out the differences and give an answer as to what the difference is from. For accurate Tick or Volume charts, refer to this page: http://www.sierrachart.com/index.php?l=doc/doc_TickbyTickDataConfiguration.php We do know that the Sierra Chart real-time futures data feed is experiencing some packet loss. This issue is being worked on and we suspect this is part of the problem. Also comparing market depth data from one program to another, is very hard. The data is constantly changing. Due to the small packet loss problem there is, this could be contributing to the problem. We cannot spend any further time on this. So please do not post any further images. Please know that the packet loss issue is being worked on. 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: 2013-11-20 22:04:26
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| [2013-11-20 22:51:29] |
| User11942 - Posts: 298 |
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Sorry SC, I believe the problem is going to disappear once the issue with packets is resolved. But I suspect building of Tick and Volume charts is the same everywhere. e.g. every 100 contracts from the opening. As for market depth I was talking about not a split-second change, but a presence of constant difference in a calm market. 1st and 2nd or 2nd and 3rd bids and 2nd and 3rd or 2nd or 3rd asks were constantly different for CL, NG contracts. I didn't find any problem with ECBOT or CME, so NYMEX contracts only. I often trade depth of markets and accuracy does matter there. This is absolutely normal when readings for the same contract from different software/providers match as far as data come from the same exchange (sure it is true for ETP only, not OTC). You could easily find it comparing TT vs CQG vs IB or whatever. Honestly, I have never seen different readings. I do not consider a lagging due to latency etc. PS I really like your product and highly appreciate your efforts to solve technical problems in a timely manner. Date Time Of Last Edit: 2013-11-20 23:24:58
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| [2013-11-21 22:03:25] |
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This problem should now be resolved. We have resolved the packet loss 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 |
| [2013-11-21 22:26:15] |
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Also the question is what is the opening time for the tick and Volume charts, that has to be consistent between programs. 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 |
| [2013-11-22 09:42:15] |
| User11942 - Posts: 298 |
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Hi SC, I'll check out everything once again and I'll be back as soon as I can. My intraday charts always start on 6:00 PM ET.
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| [2013-11-22 12:06:21] |
| User11942 - Posts: 298 |
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Hi SC, I've checked volumes and DOM. Please find screens attached. Areas of interest shown in red in the first screen. I absolutely have no idea... maybe I do something wrong? If so, please advise. PS I'll review Volume and Tick charts later on. |
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| [2013-11-22 22:24:25] |
| User11942 - Posts: 298 |
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Hi SC, any response?
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| [2013-11-22 22:40:02] |
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We will look this over in detail little later. However, what we can tell you is that when it comes to market depth and Volume at Price, we know we are handling it properly and there is virtually no packet loss at this time. We only notice packet loss during one second today. So it is our opinion with what we know now, that we are the definitive reference on depth and volume at price and the others are less than accurate, until this is proven otherwise. Since we work directly with the CME FAST FIX data feed, we can have a high degree of confidence in what we are offering. And whenever there is packet loss, we instantly see it in our log to know the exact time that it happens. 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: 2013-11-22 22:41:05
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| [2013-11-22 22:44:43] |
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One other consideration that you probably already know from what we can tell, is that the Intraday Session Times in Chart >>Chart Settings have to be set correctly according to the exchange times for the Volume at Price data for the day to be accurate.
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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