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Direct MessagesDate/Time: Thu, 16 May 2024 10:32:15 +0000
Post From: Bid Ask Depthbars not being calculated
| [2019-08-08 10:29:28] |
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The last two posts have been deleted. There was too much incorrect information, and we cannot take time answering inaccuracies. This hurts everyone. We will continue to delete posts as needed. The following is the logging showing the behavior of the CQG feed at the time of these "spikes": Message Log: RecordMarketDepthChanges | Num bid levels=281. Num ask levels=347 | 2019-08-08 05:50:17.572 Message Log: RecordMarketDepthChanges | Num bid levels=281. Num ask levels=347 | 2019-08-08 05:50:17.694 Message Log: RecordMarketDepthChanges | Num bid levels=281. Num ask levels=347 | 2019-08-08 05:50:18.069 Message Log: RecordMarketDepthChanges | Num bid levels=281. Num ask levels=347 | 2019-08-08 05:50:18.154 Message Log: RecordMarketDepthChanges | Num bid levels=31. Num ask levels=0 | 2019-08-08 05:50:18.176 Message Log: CQG WebAPI | AskDepthDelete = 400 | 2019-08-08 05:50:18.177 Message Log: CQG WebAPI | BidDepthDelete = 291 | 2019-08-08 05:50:18.177 Message Log: RecordMarketDepthChanges | Num bid levels=140. Num ask levels=0 | 2019-08-08 05:50:18.179 Message Log: CQG WebAPI | BidDepthUpdate = 109 | 2019-08-08 05:50:18.179 Message Log: RecordMarketDepthChanges | Num bid levels=248. Num ask levels=0 | 2019-08-08 05:50:18.181 Message Log: CQG WebAPI | BidDepthUpdate = 108 | 2019-08-08 05:50:18.181 Message Log: RecordMarketDepthChanges | Num bid levels=279. Num ask levels=0 | 2019-08-08 05:50:18.182 Message Log: CQG WebAPI | BidDepthUpdate = 31 | 2019-08-08 05:50:18.182 Message Log: RecordMarketDepthChanges | Num bid levels=283. Num ask levels=66 | 2019-08-08 05:50:18.184 Message Log: CQG WebAPI | AskDepthUpdate = 66 | 2019-08-08 05:50:18.185 Message Log: CQG WebAPI | BidDepthUpdate = 43 | 2019-08-08 05:50:18.185 Message Log: RecordMarketDepthChanges | Num bid levels=283. Num ask levels=174 | 2019-08-08 05:50:18.186 Message Log: CQG WebAPI | AskDepthUpdate = 108 | 2019-08-08 05:50:18.186 Message Log: RecordMarketDepthChanges | Num bid levels=283. Num ask levels=283 | 2019-08-08 05:50:18.190 Message Log: CQG WebAPI | AskDepthUpdate = 109 | 2019-08-08 05:50:18.190 Message Log: RecordMarketDepthChanges | Num bid levels=283. Num ask levels=336 | 2019-08-08 05:50:18.193 Message Log: CQG WebAPI | AskDepthUpdate = 108 | 2019-08-08 05:50:18.193 Message Log: CQG WebAPI | AskDepthUpdate = 9 | 2019-08-08 05:50:18.194 Message Log: RecordMarketDepthChanges | Num bid levels=283. Num ask levels=336 | 2019-08-08 05:50:18.286 Message Log: RecordMarketDepthChanges | Num bid levels=283. Num ask levels=336 | 2019-08-08 05:50:18.287 The short answer, is that this is not a properly designed and proper functioning data feed which is usable for advanced market depth analysis. They are applying some kind of hack in order to try to maintain an accurate book by rebuilding the book every 20 minutes. This is inefficient. The Sierra Chart data feeds do not do anything like this, because it is unnecessary if a data feed is properly implemented. Additionally what we observe is that CQG is not providing full market depth unlike the Sierra Chart /Denali Exchange Data Feeds. Therefore, the depth data it is providing, for the purpose for which you want to use it for, is definitively not completely accurate. So the number of actual levels available is not being sent by CQG. It is about 90% complete though. Just a rough estimate. The data feed is inefficient and not well designed because every 20 minutes it is doing mass deletions of levels and then restoring those. It is this mass deletion and restoring which is causing the imbalances . These actions are spanning more than one message which is difficult to then determine the right point at which to mark to do the calculations. You need to understand Sierra Chart is performing a very accurate calculations now with Bid and Ask Depth Bars. Furthermore, CQG data is processed on the primary thread rather than a background thread with the Sierra Chart data feeds. We have decades of experience trying to work with services like CQG and it is easier and more effective for us to have direct control over issues like these with our data service. And in this particular case it is only possible to do it right ourselves, not using other feeds. If you are looking for quality you should use the Sierra Chart data feeds. CQG is not meeting a proper standard here. We will see what we can do. But any type of fix for this is going to overall affect other types of calculations like pulling and stacking. This is why we said the CQG data feed for CME data is going to get phased out by us. That is going to happen but we do not know the timing. With the Sierra Chart data feeds, there is a flag variable which was recently added which indicates the proper point in time based on the origin CME multicast feed, to do the calculations. This is high precision. With the behavior of the CQG feed, you have to ask yourself whether pulling and stacking data is even accurate. It is not. It just is not. If you want proper market depth analysis then we have a data feed you can use. So at this point our position is we are going to look at what we can do but it is going to be far from perfect. We will also write up some information just like we do with all of these CQG disconnections and refer users to that. We can not answer all of the CQG nonsense anymore. If you want a quality and properly designed data feed, use this one: Denali Exchange Data Feed We are sick and tired of dealing with problems from others out there. And we are not going to put up with this anymore. This thread is now locked and we are going to finalize our position on CQG regarding this issue. If we lose business, so be it. But we are going to give you something better. And that is available now. We will see what we can do on better pricing. But it is already actually a better price than CQG standard pricing. CQG standard pricing is $25 a month through any other broker when you consider the monthly fees, and also historical data. And this "spikes" problem only applies to the CL when using CQG. It does not apply to other symbols. And when you are using our data feed, you can still use CQG for order routing. You just need to contact your broker, and have them cancel the CME exchange fees so you do not pay those twice. And we are also working with AMP to have this data feed available to be paid through your brokerage account. We hoped it would be this month. But this probably is not going to be ready until September. And we will see about what special pricing we can offer you. But for the time being not likely less than 20 USD a month considering the capabilities which is far beyond what CQG 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: 2019-08-08 10:58:43
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