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Direct MessagesDate/Time: Fri, 26 Apr 2024 20:08:16 +0000
Post From: Announcement: New Sierra Chart Real-Time Futures Data Feed (CME, CBOT, NYMEX, COMEX data)
| [2013-11-25 23:17:35] |
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Today's (2013-11-25) volume totals for the ES December futures Sierra Chart CME data feed: 1095731 IQ Feed: 1095731 There is an exact match to IQ Feed today. Not more than the previous two comparisons. There was 0% packet loss today. One of the servers is still using an older connection and did experience some packet loss and is providing historical data. Therefore, historical data downloaded, may be a little less than 100% completeness with data. This problem is going to be resolved either tomorrow or in the next few days. One user reported a problem with the daily volume numbers. This is now resolved. We have had some questions about the market depth data accuracy based upon comparisons to other programs. Being there is 0% packet loss, and we directly process the CME FAST FIX data feed, and do it properly, we are confident the data provided is accurate. Market depth data is known to be throttled by most data providers. We do not throttle it. It is that throttling by some providers which may account for the differences. We would also like to comment on Cumulative Delta-Volume with this new Sierra Chart real-time futures data feed. The CME data feed provides a field called "Aggressor". We use this field, to identify whether a trade is considered at the bid or ask. We had previously thought that the aggressor field was not provided for the ES. The problem was that we were not passing that data through, but now it is. Using this field is the definitive method to do this rather than comparing the last trade price to the bid or ask. This aggressor field is passed straight through from our server which gets it from the CME data feed, into Sierra Chart. We have noticed that the Cumulative Delta values are slightly different than IQ Feed. The graph appearance is the same. Therefore, what we provide is the definitive reference and is 100% accurate. You cannot achieve any better accuracy than what the Sierra Chart data feed offers. 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: 2013-11-27 07:29:00
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