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Direct MessagesDate/Time: Sat, 27 Apr 2024 15:46:17 +0000
Post From: denali dom
| [2019-08-09 04:28:24] |
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You can do all of the comparisons you want and you do not have to trust us. The market depth data we provide is accurate. You are never going to convince us otherwise. That is straight off of the CME multicast feed . The only potential variation has to do with the merging of implied depth at the first two levels. But you see a difference at level 3. The others are just simply wrong especially when you are looking at levels 3 through 10 and up. In regards to the second screenshot, the reason you see some variation when you are looking at CL with data feeds that break up the summary trades into the individual sub trades is because there is variation in the algorithms used to generate the sub trades. When this was looked at back in 2017, CQG was always the outlier as compared to various other feeds we would compare to. So CQG is not consistent with how everyone else is doing this. They are wrong once again. And for proof, look at this comparison of data for CLU19 for August 8 from another trusted source: IQ Feed: Thu 2019-08-08 00:00:00.000 Begin Time Region 1 QCLU19 1 Day #1 () Price Chg: -0.15 Open: 52.58 High: 53.06 Low: 51.94 Last: 52.43 Volume: 483242* # of Trades: 338783* OHLC Avg: 52.50 HLC Avg: 52.48 HL Avg: 52.50 Bid Volume: 242857 Ask Volume: 240385 ----- Denali Exchange Data Feed: Thu 2019-08-08 00:00:00.000 Begin Time Region 1 CLU19 1 Day #1 () Price Chg: -0.15 Open: 52.58 High: 53.06 Low: 51.94 Last: 52.43 Volume: 483242* # of Trades: 338786* OHLC Avg: 52.50 HLC Avg: 52.48 HL Avg: 52.50 Bid Volume: 242863 Ask Volume: 240379 The key is to look at the total volume and the number of trades and that validates all of the data that goes into Numbers Bars because this is an Intraday calculation, and the values across the Numbers bars for the entire day will equal the volume total shown above. As you can see our data feed matches IQ Feed exactly with volume. You will see consistency though most likely with futures markets like ES when comparing to CQG. Also make sure that you are using a 1 Tick intraday data storage time unit: Tick by Tick Data Configuration Thank you for demonstrating how substandard the CQG data feed is. And one final note about CME market depth is that we follow the CME specification where depth is not transmitted out or considered valid until all of the depth updates in a message are processed. You also need to understand an order for us to provide CME data, we have to complete their certification and we passed their tests. And they run through multiple iterations where we have to submit to them, the actual depth values received off of the multicast feeds. The other type of validation that we do is we will compare the volume at each price level like you see in this chart image: http://www.sierrachart.com/image.php?Image=1565331990835.png We compared to IQ Feed and there was a 100% exact match for 2019-08-08. We consider IQ Feed a reference data feed. We normally do not use CQG for reference purposes. 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: 2019-08-09 10:04:56
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