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Direct MessagesDate/Time: Sat, 04 May 2024 02:24:28 +0000
DOM's "last price" jumps in fast market, to far prices that do not appear on the Time and Sales
View Count: 1413
| [2014-12-19 14:43:23] |
| avifutures - Posts: 59 |
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Hi Admin, When there is a very fast market the DOM tends to "go crazy" and the "last price" jumps every couple of seconds to far prices that do not make any sense and do not appear in the Time ans Sales nor in the charts bars. I can see these jumpings also in the charts but no price is recorded there. I tried to put a bracket trade with far legs and the jumping price stopped me out though the stopping price was not real and never recorded.. I opened an OEC dom and found that it behaves correctly unlike the SC dom that jumped up and down... I can attach a short video showing this problem if you wish. My SC ver- 1209. trading service - OEC. Please advice. BR, Avi Date Time Of Last Edit: 2014-12-19 16:30:21
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| [2014-12-19 17:56:43] |
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This is an OEC FIX/FAST data feed issue which we cannot solve. The only solution is to look at using another service other than OEC: https://www.sierrachart.com/index.php?page=doc/data.php 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 |
| [2014-12-20 08:58:46] |
| avifutures - Posts: 59 |
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Questions: 1. If it is an OEC issue how come that SC Time and Sales and SC charts don't record these "virtual/fake" prices and can distinguish and record only the real prices ? IF SC can distinguish between "real" and the "virtual/fake" prices then it make sense that SC can also avoid responding to these prices appearing in the DOM so that trades sent will not be affected by them and this will be a satisfying solution. 2. If you still think that it is an OEC issue, can you please be in touch with them trying to resolve this since it is a common problem for many of your customers that are using their service and this should be very important to you to try to resolve. Your call to OEC will be much more powerful that mine.. Here is a link to the video recording showing the problem: https://www.youtube.com/watch?v=TXjYefpaioc Thanks in advance. Avi Date Time Of Last Edit: 2014-12-20 09:41:06
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| [2014-12-20 17:49:30] |
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1. The OEC data feed is an unusual data feed which provides 2 separate data feeds. A trade by trade data feed and snapshot data feed which provides last trade and bid and ask updates at a slower rate. When you notice this, it seems as though the two are out of sync with each other even though they are on the same network connection stream which actually makes this issue conclusively on the OEC side. This there can be no doubt about this as we think through this now. It never made any sense to us from the very beginning, and the way that it works, does not make any sense to us at the present time. It is not a logical design. We implemented a change now where we ignore the last trade price from the snapshot feed if it was initially set, and this should resolve the problem. However, they are still sending out incorrect last trade prices relative to the trade by trade data feed. 2. The last time we had contacted them about technical problems, we had a very negative experience with OEC and the developer there. We think contacting OEC about this will be a futile effort and we are very hesitant to get involved in this. OEC should raise their standards and adopt the DTC protocol: HTTP://DTCprotocol.org More information about this can be found here: DTC Protocol At this time, it is necessary that data and trading service providers need to follow our wishes, common sense, what is best for the industry and most importantly what is best for customers. We embrace open and well engineered protocols that they need to adopt. We are no longer going to give in to something that does not make sense. Even though they use FIX and FAST which are open and standards, the problem is that FIX and FAST are not exact standards and their FAST implementation is not well designed and because of the CPU overhead of FAST, their FAST data feed lags when the market is very active. Additionally FAST is just too complicated. This is recognized in the industry and it is being phased out. 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: 2014-12-20 17:56:06
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| [2014-12-20 19:48:11] |
| avifutures - Posts: 59 |
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Thank you very much for the fix and for the clarifications.
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| [2014-12-20 20:31:07] |
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When we watch your video, we see how the Time and Sales is not closely in line pricewise with the market depth data. At about 46 seconds it is off by three points. Their data feed is simply out of sync. This indicates an underlying fundamental problem with it. The change we made is not going to solve what we are seeing in the video. It will solve the random jumping though. However, not what we describe in the first paragraph. What you can do when you notice this problem is reconnect to the data feed to reset the connection on the server side. This can be done with the Disconnect and Connect commands on the File menu. 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: 2014-12-20 20:34:37
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| [2015-01-26 14:45:56] |
| joshtrader - Posts: 439 |
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avifutures, are you noticing this issue on a consistent basis still?
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| [2015-01-26 17:26:03] |
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We would expect that this is still a problem with OEC when the market is very active.
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 |
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