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Direct MessagesDate/Time: Sun, 19 May 2024 08:28:22 +0000
Amp/TTNet CME Market Depth Missing
View Count: 1798
| [2016-01-29 10:55:59] |
| User47643 - Posts: 13 |
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Using Amp/TTNet data/trade service with Requested Market Depth set to Full Book, the market depth data for CME futures has been missing for a few days. Sometimes, especially after hours, it can be difficult for an SC user to get technical problems addressed by AMP Trading; so would SC please notify some appropriate, responsible technical contact at AMP Trading or at Trading Technologies to get this problem fixed? Here's a copy of the message log indicating a "0" market depth level: Software version: 1361 | 2016-01-29 05:40:21 Uses New Spreadsheets | 2016-01-29 05:40:21 Enabled for: Advanced Features. | 2016-01-29 05:40:21 Enabled for: Sierra Chart Historical Data Service. | 2016-01-29 05:40:21 Allow Support for Sierra Chart Data Feeds is enabled. | 2016-01-29 05:40:21 Current selected Data/Trading service: AMP/TTNet | 2016-01-29 05:40:21 Chart Update Interval: 500 | 2016-01-29 05:40:21 Data/Trade Service Settings automatically set. | 2016-01-29 05:40:21 Time Zone: -05:00:00 (EST-05EDT+01,M3.2.0/02:00,M11.1.0/02:00) | 2016-01-29 05:40:21 2016-01-29 05:40:21 Local computer time | 2016-01-29 05:40:21 2016-01-29 10:40:21 Local computer time in UTC | 2016-01-29 05:40:21 2016-01-29 05:40:21 Local computer time in SC Time Zone | 2016-01-29 05:40:21 2016-01-29 10:40:22 Server time in UTC | 2016-01-29 05:40:21 Local computer UTC time and Server UTC time difference: 1 seconds. | 2016-01-29 05:40:21 Program path: C:\SierraChart\ | 2016-01-29 05:40:21 Data Files path: C:\SierraChart\Data\ | 2016-01-29 05:40:21 OS Version Number: 5.1 | 2016-01-29 05:40:21 Locale Information: C | 2016-01-29 05:40:21 Checking for new symbol settings for tt | 2016-01-29 05:40:21 HTTPS connection to www.sierrachart.com:443 (0) | Resolved address sierrachart.com to IP 5.9.8.236 | 2016-01-29 05:40:21 HTTPS connection to www.sierrachart.com:443 (3) | Connected. | 2016-01-29 05:40:21 HTTPS connection to www.sierrachart.com:443 (3) | Starting TLS 1.2 connection. | 2016-01-29 05:40:21 HTTPS connection to www.sierrachart.com:443 (3) | SSL connection established. | 2016-01-29 05:40:22 Symbol settings are up-to-date for tt | 2016-01-29 05:40:22 AMP/TTNet | Connecting. | 2016-01-29 05:40:25 TT FIX Data | Connecting to 12.41.48.53. Port 10501 | 2016-01-29 05:40:25 TT FIX Data socket (4) | Connected. | 2016-01-29 05:40:25 TT FIX Data: Sending the Logon message. | 2016-01-29 05:40:25 TT FIX Data: Connected. | 2016-01-29 05:40:25 TT FIX Trading | Connecting to 12.41.48.53. Port10500 | 2016-01-29 05:40:25 TT FIX Trading socket (5) | Connected. | 2016-01-29 05:40:25 TT FIX Trading: Sending the Logon message. | 2016-01-29 05:40:26 TT FIX Trading: Connected. | 2016-01-29 05:40:26 AMP/TTNet | Connected to data and trading server. | 2016-01-29 05:40:26 TT Gateway Status: Price server for the CME exchange is Open | 2016-01-29 05:40:26 TT Gateway Status: Order server for the CME exchange is Open | 2016-01-29 05:40:26 TT Gateway Status: Fill server for the CME exchange is Open | 2016-01-29 05:40:26 TT Gateway Status: Price server for the Eurex-B exchange is Open | 2016-01-29 05:40:26 TT Gateway Status: Order server for the Eurex-B exchange is Open | 2016-01-29 05:40:26 TT Gateway Status: Fill server for the Eurex-B exchange is Open | 2016-01-29 05:40:26 TT Gateway Status: Price server for the TTSIM exchange is Open | 2016-01-29 05:40:26 TT Gateway Status: Order server for the TTSIM exchange is Open | 2016-01-29 05:40:26 TT Gateway Status: Fill server for the TTSIM exchange is Open | 2016-01-29 05:40:26 HTTPS connection to www.sierrachart.com:443 (3) | SSL connection closed by remote side. | 2016-01-29 05:40:27 HTTPS connection to www.sierrachart.com:443 (3) | SSL object has been freed. SSL state is now disconnected. | 2016-01-29 05:40:27 HTTPS connection to www.sierrachart.com:443 (3) | Shutdown and closed. | 2016-01-29 05:40:27 AMP/TTNet | Starting real-time market data updates for: 6E-201603-CME. ID: 1 | 2016-01-29 05:40:36 Requesting market data for 6E-201603-CME. Depth levels: 1 | 2016-01-29 05:40:36 Intraday data recording state for symbol 6E-201603-CME is set to download 'Pending'. | 2016-01-29 05:40:36 HD Request # 2 | Downloading Intraday chart data for 6E-201603-CME to the file 6E-201603-CME.scid. Service: ttamp | 2016-01-29 05:40:36 HD Request # 2 | Download start Date-Time: 2016-01-29 05:40:08.000 | 2016-01-29 05:40:36 HD Request # 2 | Using server: ttamp.sierracharts.com port 10149 | 2016-01-29 05:40:36 Socket (0) | Resolved address ds3.sierracharts.com to IP 65.182.172.164 | 2016-01-29 05:40:37 Socket (6) | Connected. | 2016-01-29 05:40:37 HD Request # 2 | Sending historical data logon request message. | 2016-01-29 05:40:37 HD Request # 2 | Requesting Intraday data. Start Date-Time: 2016-01-29 05:40:08. Record interval: 1. Symbol: 6E-201603-CME | 2016-01-29 05:40:37 HD Request # 2 | Decompressing data. | 2016-01-29 05:40:37 HD Request # 2 | Receiving Intraday data for 6E-201603-CME starting at 2016-01-29 05:40:08 | 2016-01-29 05:40:37 HD Request # 2 | Timestamp of first Intraday data file record written: 2016-01-29 05:40:08 | 2016-01-29 05:40:37 Socket (6) | Shutdown and closed. | 2016-01-29 05:40:37 The network socket for historical data has been closed. | 2016-01-29 05:40:37 HD Request # 2 | Received 11 records from 2016-01-29 05:40:08 to 2016-01-29 05:40:36 (28.0 seconds) and wrote 11 records for 6E-201603-CME | 2016-01-29 05:40:37 Added 2 Time and Sales records to Intraday data file for 6E-201603-CME after download. | 2016-01-29 05:40:37 HD Request # 2 | Intraday download COMPLETE for 6E-201603-CME. Completion time: 0s. Unique request ID: 1 | 2016-01-29 05:40:37 Removed historical data download ID 1 | 2016-01-29 05:40:37 Real-time Intraday chart data file updates started for 6E-201603-CME | 2016-01-29 05:40:37 Intraday chart data file opened for 6E-201603-CME | 2016-01-29 05:40:37 Requesting market depth updates for: 6E-201603-CME if supported. | 2016-01-29 05:40:41 Requesting market data for 6E-201603-CME. Depth levels: 0 | 2016-01-29 05:40:41 |
| [2016-01-29 11:07:48] |
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The problem is the market depth data is 10 times the actual value for the 6E. You can see this through File >> Open Market Depth Window. We will let AMP and TT know about it again. 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 |
| [2016-01-29 20:03:09] |
| User47643 - Posts: 13 |
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I now see where SC Engineering has mentioned the market depth data for 6E being 10 times the actual value at least four times since around January 11th. I just now spoke with "Chuck" in technical support at AMP trading. He tried changing all sorts of settings in my SC remotely. I asked him why he thought there was nothing wrong with the Fix Adapter and he said he just wanted to check some basic settings first. When I told him that SC Engineering has said it was a TT problem, Chuck told me that there was then nothing we could do until TT fixed it. I told him that AMP needed to request assistance from TT. Chuck suggested I call TT. I told him that I had no way to contact TT and that I was not a customer of TT. I told him that AMP would have to contact TT. He said he would check to see what he could do about it and email me back. In other words, Chuck doesn't have a clue, whatsoever! And Chuck is unwilling to contact anyone at AMP Trading that does have a clue. I even asked Chuck if TT maintains their FIX adapter and he he-hawed around and refused to answer that question. (He probably doesn't know.) I know, from past experience, that I can get this fixed through AMP Trading, but it might take several days and lots of phone calls to different people in order to finally get in touch with someone there that does have a clue about these sorts of things. It would be so much easier if SC would take care of contacting someone to fix this. SC Engineering, surely you know someone, personally, by name, that you can contact to get this issue fixed, no? And I suspect you know whether it is personnel at AMP or personnel at TT that actually, hands-on fixes these type of issues with the AMP Trading FIX adapter, no? |
| [2016-01-29 20:08:38] |
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We heard from the management of AMP this morning and they contacted TT about it again today. We do have direct contact with those who can get this resolved. We are really very surprised why this is not getting resolved as of yet. Our recommendation though is to request AMP to move you over to CQG. Longer-term that is going to be the best solution because TT is phasing out pricing data apparently from their FIX adapter's. So eventually that has to happen anyway. 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 |
| [2016-01-30 19:50:26] |
| User13668 - Posts: 291 |
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SC: re your post #4. 1/ On Friday I posted my own message on the TT Support Forum about this 6E issue. Will be interesting to see if I get a response. Previously I have had responses from TT to messages I have posted on their support forum. 2/ Re your comment "because TT is phasing out pricing data apparently from their FIX adapter's". Do you have a source for this comment? Is it public knowledge? Why would they do this as I thought their business was selling data? Or is it that they are going to stop selling data to traders using 3rd part s/w and instead only supply it for customers using their own software (like their new Cloud solution)? |
| [2016-01-30 20:23:02] |
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2. This is from inside information. We do not think it is necessarily public knowledge. However, this is from information we have indirectly heard, the fact that their new FIX documentation makes no mention about market data, and piecing all of this together to come to a conclusion. So maybe we got something wrong but in general we do not think so. TT's main business we do not think is market data but they are a trading technology services provider. It is known that using FIX for market data is not efficient . We assume this is the reason why they are not doing any further market data development on FIX and they are going to focus only on their proprietary .NET API. We think it is a mistake for them to be going in that direction and that is why longer-term we do not think TT will be used much by our user base because we are certainly not going to use a .NET API. Or any proprietary API. TT really should adopt the open specification DTC Protocol in addition to their proprietary API. We think the best trading technology providers which are broker/FCM independent are going to be CTS and CQG and that is where our focus is. Rithmic is also fine as well but we do not like the fact that they use a proprietary in process API component, too many login issues, and they do not have ICE Europe. 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: 2016-01-30 20:24:59
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| [2016-01-31 05:34:38] |
| User47643 - Posts: 13 |
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It is known that using FIX for market data is not efficient .
We think the best trading technology providers which are broker/FCM independent are going to be CTS and CQG and that is where our focus is.
SC documentation states that the best data connection for SC to CQG is via FIX. 1. What do you think the future holds for data connections to CQG? 2. When would you expect Windows XP to be unusable for SC/CQG? |
| [2016-01-31 08:29:07] |
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SC documentation states that the best data connection for SC to CQG is via FIX.
Sierra Chart does use FIX for trading with CQG. Market data uses what is called the CQG Web API which is not FIX based. 1. What do you think the future holds for data connections to CQG? 2. When would you expect Windows XP to be unusable for SC/CQG? 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: 2016-01-31 08:30:50
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| [2016-02-01 19:36:27] |
| User13668 - Posts: 291 |
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See post #5 Here is response I got from TT forum to my post: "Hi Steve, There is an open production incident for this issue that is still being looked into. Once there is resolution I can update this Forum request with the details. Thanks Adam" https://forums.tradingtechnologies.com/showthread.php?3731-6E-Bid-and-Ask-price-data-is-10x-the-value-it-should-be&p=11599#post11599 |
| [2016-02-01 23:16:38] |
| User47643 - Posts: 13 |
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In post #1 User47643 wrote: Here's a copy of the message log indicating a "0" market depth level:
In further research on the FIX Protocol I have learned that "0" is indicating a market depth type, with type "0" being "Full Book". My assumption that "0" was indicating a market depth of zero was incorrect.In post #4 SC Engineering wrote: We heard from the management of AMP this morning and they contacted TT about it again today.
And in post #9, regarding the TT Support Forum, User13668 wrote:There is an open production incident for this issue that is still being looked into.
So things seem to be moving right along, with TT actively investigating this issue. That's good! I have captured some TCP packets being sent to the SC application running on my Windows XP computer from the TTNet Price Server. In analyzing the captured data I have determined that the TTNet Price Server is transmitting trade prices as five digits with no decimal point when the price ends in "0" and transmitting trade prices as five digits followed by a decimal point and the digit "5" (".5") when the price ends in "5". In December 2015 CME Group announced "Change to Minimum Price Increment for Euro/U.S. Dollar (EUR/USD) Futures" with a change in tag 969-MinPriceIncrement from "1" to "0.5". Although the 969 tag is not available on the TT Fix Adapter and is not included in the TCP packets I captured, my conclusion is that the trade prices being transmitted by the TTNet Price Server are correct. I also determined that the TTNet Price Server is transmitting bid/offer prices as six digits with no decimal point, regardless of whether the price ends in "0" or "5". So the values of the bid/offer prices being transmitted by the TTNet Price Server are, in fact, ten times the values of the trade prices. I would think the bid/offer prices are incorrect. Hopefully, TT will soon get this straightened out and fixed. In post #2 SC Engineering wrote: The problem is the market depth data is 10 times the actual value for the 6E. You can see this through File >> Open Market Depth Window.
The price values in the Market Depth Window are affected by the Real-Time Price Multiplier Chart Setting. When I change this setting from "0.00010000" to "0.00001000" the missing DOM Graph appears on the 6E chart. The Chart Price Axis does not seem to be affected by this change. But the Last Traded Price is no longer visible on the chart. I suppose, although the bid/offer prices from the TTNet Price Server may be incorrect, it would be possible for the SC application to be coded to work properly with the 6E price data as that data is currently being transmitted by the AMP TTNet Price Server. Still, it seems as though TT should have already fixed this problem by now. Perhaps User13668 can pass along my analysis to the TT Support Forum. |
| [2016-02-01 23:21:41] |
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would be possible for the SC application to be coded to work properly with the 6E price data as that data is currently being transmitted by the AMP TTNet Price Server.
No, we would not do that. This does not make any sense. The problem needs to be properly solved at the source. We also do not even know what effect this would have upon order prices.
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: 2016-02-01 23:22:02
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| [2016-02-02 16:17:14] |
| User13668 - Posts: 291 |
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Perhaps User13668 can pass along my analysis to the TT Support Forum.
Done, see: https://forums.tradingtechnologies.com/showthread.php?3731-6E-Bid-and-Ask-price-data-is-10x-the-value-it-should-be&p=11606#post11606 |
| [2016-02-03 17:02:28] |
| User13668 - Posts: 291 |
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Latest update from TT: "Hi Steve, TT plans to clear product tokens across all Price Proxies in the TTNET Environment this weekend as well as all affected Fix Adapters. This should resolve the issues you are currently seeing. Thanks Adam" https://forums.tradingtechnologies.com/showthread.php?3731-6E-Bid-and-Ask-price-data-is-10x-the-value-it-should-be&p=11606#post11606 |
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