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Date/Time: Thu, 18 Oct 2018 06:23:10 +0000



Post From: High Accuracy Spread vs. CQG Intraday Data limitation

[2017-12-13 22:48:41]
ErikT - Posts: 60
What I actually need: A difference(bar) chart accurately plotting the difference between two exchange-traded futures spreads. In case it matters, the exact combination I am trying to make work is (F.US.CLES12Z18 - (2 * F.US.CLES3M18)).

Initial problem: I know how to make this chart with Difference(bar), but the problem is the candles are not accurate. For example, that combination traded as low as .48 today, but right now it's at .61. The daily candle displayed now bottoms at the current price of .61. There is no "tail" or "wick" down to the actual low of the day.

Initial Solution: It appears that this is a known problem and that the "High Accuracy Spread" instructions in the documentation are meant to address it. To some extent, that solved the problem. I modified your instructions and used 1 minute rather than 10 second bars in the sub-charts, because I need to see a full year's data and the 10-second intervals would be too data intensive. Otherwise, I followed your instructions and it mostly worked.

Secondary problem: Ok, this produced much more accurate results in the daily Study Overlay-OHLC graph I created per your instructions. But the problem is, CQG appears to limit INTRADAY data downloads to the last 30 days. For people who spend a fortune on their full charting package, there is an option to pay extra and get intraday data turned on for 3 years. But my understanding is that there is no way to get more than 30 days from the WebAPI product. It does appear that Sierra Chart buffers the downloads so I can "build up my data" over a long period of time, but I need to go back to before I got Sierra and CQG. So far as I can tell that's not possible.

My questions:

1. Is there some other way to get a Difference(bar) chart to accurately display the tails (wicks) on the candles? Oddly it appears to work on some days but not others...
2. Is there some other data service I should consider buying that offers exchange-traded futures spread INTRADAY data that goes back at least 1 year?

Thanks,
Erik