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Date/Time: Wed, 04 Oct 2023 10:58:01 +0000

Post From: Eurex feed bid/ask volume

[2014-01-27 10:17:00]
Sierra Chart Engineering - Posts: 104368
There have been some changes with a Sierra Chart EUREX data feed, but it is really very hard to make any conclusive determinations about this.

We really have to get back to basics and make a clear determination as to what the objective here really is.

And what the meaning of bid volume and ask volume is. Our understanding of a trade at the bid is when a market order hits the best bid price which is established by a limit order and there is a trade. A trade at the ask is when a market order hits the best ask price which is established by a limit order and there is a trade. Trying to determine this from a data feed, requires very good synchronization between the bid and ask data and the last trade price data. Unless the exchange, like the CME does, indicates this, determining this from the price feed is imperfect at best.

This is a chart of IQ feed Cumulative Delta for today for the March DAX futures:

This is the Sierra Chart EUREX feed:

The DAX is up on the day from its opening price. Does it make sense that the Cumulative Delta from IQ feed is so negative?

And although IQ Feed has developed a good reputation, the actual calculations of bid volume and ask volume do not come from the exchange, they do not come from IQ Feed, they come from Sierra Chart based upon last trade price data, and best bid and ask price data. There is an algorithm applied to this to make the determination.

Whether Sierra Chart is doing this in the very best possible way with a difficult to work with feed like the EUREX, is not necessarily true as we spend more time looking at this.

This is what makes this whole thing difficult .

Based upon what we are seeing today, with these current charts, those who are putting faith on IQ Feed and the interpretation of the data by Sierra Chart, raises some questions for us. Maybe it is all just perfect. Although can we be sure?

At this point, we really have to analyze the raw EUREX feed and get an understanding from the exchange exactly how that data feed works. So this will require more research time.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2014-01-27 10:21:43