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Direct MessagesDate/Time: Thu, 25 Apr 2024 13:07:14 +0000
Post From: Jan 1, 2021 Changes to Historical Data: Interactive Brokers, CQG
| [2020-11-27 04:42:24] |
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Users of Interactive Brokers and CQG have been given a link for more than a month now, to this thread in the System Notification message in Sierra Chart. Summary of Changes: ----------------------------------- The following changes indicate changes with historical data when not using either the Denali Exchange Data Feed or the Sierra Chart Exchange Data Feed. Information about these two data feeds is linked below. Effective dates are given below. Interactive Brokers (effective December 27, 2020): Historical Daily and historical Intraday data will now exclusively come from Interactive Brokers. CQG (effective December 27, 2020): Historical Daily and historical Intraday data will exclusively come from CQG. When using CQG data, there will be 5 days of tick by tick data and 1 Minute data for the prior time period and for current contracts only. It is necessary to update to version to 2204 or higher, sometime before this date to be able to use CQG historical data. There have been important changes and improvements to properly support the CQG data. Instructions: Software Download: Fast Update Rithmic (effective April 1, 2021): Historical Intraday data will exclusively come from Rithmic only. Rithmic provides data for current contracts only. Gain Capital (no date set): Historical Intraday data will exclusively come from Gain Capital and they provide over FIX/FAST data for approximately the last 3 to 4 hours only. We will be providing no technical support for historical data from these services. We cannot help with any problems you will encounter. ----- How to use Sierra Chart Historical Intraday and Real-time data rather than the problematic historical data from the above services: For CME/CBOT/NYMEX/COMEX you need to use the Denali Exchange Data Feed: Information and set up instructions: Denali Exchange Data Feed Update (2021-01-09): We are working on new Sierra Chart service packages which will include the Denali Exchange Data Feed. This should provide an overall better value. There is no release date of these set. For other exchanges you need to use the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed To use both of these data feeds, refer to: Real-Time Exchange Data Feeds Available From Sierra Chart: Using Both Denali Exchange Data Feed and Sierra Chart Exchange Data Feed These data feeds also provide historical *market depth* data for the CME/CBOT/NYMEX/COMEX and EUREX exchanges. This is a service that is not available with any of these other external trading services above. If you decide to use the Denali exchange data feed, and you are using a service like CQG or Rithmic and trading the CME group and/or EUREX, then we would recommend changing to the Teton Order Routing service: Sierra Chart Teton Futures Order Routing The page linked above explains all of the advantages of using that service. And you will also have a reduced cost of 10 USD per month for the Denali Exchange Data Feed. ---- Why are the changes being made? 1. In some cases there is a combination of the data from the external service (Interactive Brokers, CQG, Rithmic or Gain Capital) being combined with historical data from our own data services (which has data originating direct from exchanges). There are two separate historical data downloads performed, and this is regarded as a hack, adds code complexity, and additional support burden with advanced technical questions about data being there are two sources of it, and not a very clean structured approach to historical data. It also becomes confusing to the user when there are differences with data quality, as to where the source of the data is and who is at fault for data quality issues. Data will now come either from the external service completely, or come from Sierra Chart provided data services completely including the real-time data. 2. In some cases, like in the case of CQG we have a separate service for maintaining historical data and we do not want to be administering that service any longer. We will only be providing administration for our own market data services. Maintaining large amounts of historical tick by tick data for long periods of time ( 15+ years) for a lot of symbols does take a lot of space, and takes management effort from time to time. Certainly storage drives are quite large these days so the space is not so much of a problem but still this is not an insignificant task to maintain large data sets. And it only makes sense that we maintain one unified source of data with redundant copies, for our users and have that be the very best database that everyone uses. And this is not something new that we are just deciding on now. It has actually been our intention to phase these out since about 2014 but only until in the last couple of years now that we are developing direct exchange relationships, did it have economic viability. 3. We have invested heavily in our own market data services since 2013 and are taking on even more substantial expenses, of 25,000 USD per month and higher, on top of what we already spend which is very substantial, and we simply are no longer willing to subsidize, the above-mentioned services with our own historical data and give the false impression, that the historical data that you are getting from those services actually is coming from those services when in reality the historical data and data delivery performance comes from our own services/servers. Many users, think that the historical data they receive when using Sierra Chart when using those services are actually coming from those services, when all of this time, that is not the case. Although that is not always true, the most recent 10 minutes of historical data, may come from those external services. It depends upon the particular configuration being used. Users will have the choice to rely upon the historical data from those services exclusively, which you are going to find is far below the standard that you have become used to and expecting when using Sierra Chart, or use the historical and real-time data provided by the Denali Exchange Data Feed (soon to offer EUREX EOBI, which is the very best data feed from EUREX and offered by no one else, as well and other exchanges) and/or the Sierra Chart Exchange Data Feed, and have the very best complete and long-term and high-performance historical data and real-time data there is. Finally, we have developed very high quality market data services above and beyond what others provide. When you are using other services for data, we are no longer going to augment, subsidize, and enrich them with our own data, and give a false impression that the data is from them. Those external services need to stand on their own and people need to judge them for what they are. The data feeds that Sierra Chart provides do support integration with CQG and other services: Real-Time Exchange Data Feeds Available From Sierra Chart: Integration with Trading Services So you can choose to use our services, and then in this case both the historical and real-time data come from a single unified source. 4. It will be a requirement sometime in the second quarter of 2021, that EUREX data, both historical and real-time will only be able to be obtained through the Denali Exchange Data Feed and from no other source. 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: 2022-01-25 04:30:01
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