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Intercommodity Spreads (Energy) with SC Exchange Data Feed

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[2016-09-28 01:23:16] #1 [Go To First Post]
User626121 - Posts: 82
Hi, I'm considering using the SC Exchange Data Feed for Energy IC Spreads (ICE and NYMEX). I looked for the RBOB Spreads (RB-Brent, RB-WTI, RB-HO, RB-Gasoil) with the "SC Data - All Services" feed to check if they are available. But the only IC Spread I found was the ICE Gasoil-Brent spread. So my questions: Do you have the following Intercommodity Spreads available with SC Exchange Data Feed: RBOB-Brent (CME and ICE) RBOB-WTI (CME and ICE) RBOB-Heating Oil (CME and ICE) RBOB-Gasoil (ICE)? If they are available, do you have Bid-Ask traded volume available for these? Thanks in advance Date Time Of Last Edit: 2016-09-28 01:24:06

[2016-09-28 05:26:14] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Certainly RBOB and heating oil inter-commodity spreads are available. Here is one of the example symbols: RBF17-HOF17.FUT_SPREAD.NYMEX For the others, do you see what you want listed in this file?: ftp://ftp.cmegroup.com/fix/Production/ProductSuppData/FuturesProductSuppData.xml If so, just let us know the <GlobexProductCode> and we will add it. 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: 2016-09-28 05:27:18

[2016-09-28 05:28:28] #3 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We are seeing what is available for ICE. 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

[2016-09-28 17:13:12] #4 [Go To First Post]
User626121 - Posts: 82
If so, just let us know the <GlobexProductCode> and we will add it RBB (RBOB Brent Crack Spread) T7K (GAS EURO-BOB OXY (ARG) CRACK) EN (EUROPEAN NAPTHA CRACK SPREAD FUT) The following have no GlobexProductCode, only FloorProductCode (?): RM (RBOB WTI Crack Spread) RH (RBOB GAS VS. NY HRBR ULSD FUT), this is RB###-HO###.FUT_SPREAD.NYMEX you mentioned. Date Time Of Last Edit: 2016-09-28 17:21:13

[2016-09-28 17:50:26] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will start maintaining data for all of those additional symbols. That will become effective after the close today. Although we do not think we would be able to get the data on the floor products. For ICE, all of the requested spreads are available. Here are examples: _S_SP_LGF17_CBF17.FUT_SPREAD.IFEU _S_SP_LGF17_WIF17.FUT_SPREAD.IFEU _S_SP_LGF17_LOF17.FUT_SPREAD.IFEU _S_SP_LGF17_LFF17.FUT_SPREAD.IFEU And bid trade volume and ask trade volume are all available. 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

[2016-10-01 01:45:37] #6 [Go To First Post]
User626121 - Posts: 82
Hi, I updated the symbols settings. ICE Spreads work fine, but CME Spreads won't download (only RB###-HO###.FUT_SPREAD.NYMEX works fine). I noticed that the symbol RBB~.FUT_SPREAD.CBOT is wrong (wrong exchange, it is NYMEX instead of CBOT). I also found the GlobexProductCode for RBOB WTI Crack Spread (RM) on the CME's website (http://www.cmegroup.com/trading/energy/refined-products/rbob-crack-spread-swap-futures_contract_specifications.html ): It is ARE Another question: The symbol format RB###-CL###.FUT_SPREAD.NYMEX for RBOB WTI Crack and RB###-QA###.FUT_SPREAD.NYMEX for RBOB Brent Crack doesn't work like RB-HO. Why? Date Time Of Last Edit: 2016-10-01 02:34:18

[2016-10-03 07:23:24] #7 [Go To First Post]
User626121 - Posts: 82
I really need data for RB-CL (RBOB WTI Crack) and RB-QA (RBOB Brent Crack), both CME Globex, as they have the most volume of all IC spreads. Volume analysis for RBOB spreads is useless without these two. Please make them work. Thank you.

[2016-10-03 08:38:06] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We have already made corrections to the exchange codes and underlying symbols. There is more work we want to do related to this. Allow about another day for the changes to be done. To see the changes so far perform a Full Reset of the symbol settings as explained here: https://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php#FullResetSymbolSettingsSteps Also you need to use the Sierra Chart Exchange Data Feed to be able to list the spread symbols. Refer to: Sierra Chart Exchange Data Feed: Exchange Traded Spreads You do not have to activate any exchanges. 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: 2016-10-03 08:38:37

[2016-10-03 08:46:04] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The symbol for RBOB Gasoline Brent Crack Spread Futures is RBB. Follow the instructions here: Sierra Chart Exchange Data Feed: Exchange Traded Spreads 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

[2016-10-03 10:54:43] #10 [Go To First Post]
User626121 - Posts: 82
I tried RBBZ16.FUT_SPREAD.NYMEX, it loads and says download completed but I only get a blank chart. I see in Interactivebrokers that the Globex traded volume for RB.BZ Dec16 is over 400 contracts, so I assume your spread is not the Globex traded spread, but maybe the CME Clearport traded product (which only has block trades)?!

[2016-10-04 04:35:21] #11 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
That is not the correct symbol. The symbol is RBBZ16. We have added support for this now. Follow the instructions here to update the Symbol Settings: Global Symbol Settings: Update Symbol Settings The data collection only has begun since Sunday. If you are still seeing no data we will need to look into it. 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: 2016-10-04 04:35:47

[2016-10-04 11:46:06] #12 [Go To First Post]
User626121 - Posts: 82
I updated the symbol settings, but I still get no data for RBBZ16. It says "historical download complete", but there is only a blank chart. Same with AREZ16 and AREZ16.FUT_SPREAD.NYMEX etc. When I type in RBBZ16.FUT_SPREAD.NYMEX or RMZ16.FUT_SPREAD.NYMEX or RMZ16 it says "download failed". RBZ16-HOZ16.FUT_SPREAD.NYMEX works fine, as well as all the ICE Spreads. Date Time Of Last Edit: 2016-10-04 11:52:58

[2016-10-05 05:12:37] #13 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We need to look into why there is no data for RBBZ16 and AREZ16 . However, these symbols are clearly invalid: RBBZ16.FUT_SPREAD.NYMEX or RMZ16.FUT_SPREAD.NYMEX Follow the instructions here to list spread contracts and this requires using the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed: Exchange Traded Spreads 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

[2016-10-05 19:33:19] #14 [Go To First Post]
User626121 - Posts: 82
We need to look into why there is no data for RBBZ16 and AREZ16 Any timeframe for this? I really need the volume data for RBB and ARE as they are the most actively traded Spreads. Without RBB and ARE data all other volume data is quite useless.

[2016-10-06 17:29:42] #15 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
In the case of RBBZ16, this is the end of day data that we see: Date, Open, High, Low, Close, Volume, OpenInterest 2016/09/28, 8417, 8417, 8417, 8385, 0, 2870 2016/09/29, 8417, 8417, 8417, 8385, 0, 2948 2016/09/30, 8804, 8804, 8804, 8804, 0, 0 2016/10/03, 8804, 8804, 8804, 9548, 0, 2948 2016/10/04, 8699, 8699, 8699, 8773, 0, 2948 2016/10/05, 9548, 9548, 9548, 8773, 0, 2948 This matches up with what we see here: http://www.cmegroup.com/trading/energy/refined-products/rbob-gasoline-vs-brent-crack-spread-swap-futures.html So as you can see there is no volume. This is what we are getting direct on the CME multicast feed. Are you sure RBB is the contract that you want? We are the process of adding the lesser traded NYMEX contracts. So you will have access to most everything. This will be done before the morning including ARE. 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

[2016-10-06 22:01:29] #16 [Go To First Post]
User626121 - Posts: 82
Hi , I mean the Globex traded spreads. I didn't find anything other than this: http://investor.cmegroup.com/investor-relations/releasedetail.cfm?ReleaseID=558298 These are the Globex only traded spreads. Symbols, as stated in the article, are RB:BZ and RB:CL (and RB:HO, which is already available at SC with the symbol RB###-HO###.FUT_SPREAD.NYMEX)

[2016-10-07 13:54:54] #17 [Go To First Post]
User626121 - Posts: 82
RBB seems to be the CME Clearport product, which only has block trade volume. The Globex traded spread symbol for SC should be RBZ16-QAZ16.FUT_SPREAD.NYMEX for Brent (BZ) Spread and RBZ16-CLZ16.FUT_SPREAD.NYMEX for WTI (CL) Spread?! But they don't work either. RBZ16-HOZ16.FUT_SPREAD.NYMEX is the correct symbol for the Globex traded RBOB Heating Oil Spread (correct volume etc.). This works fine with SC. Date Time Of Last Edit: 2016-10-07 13:59:54

[2016-10-07 20:20:54] #18 [Go To First Post]
User626121 - Posts: 82
I looked at DTN IQ Feed symbols and they also list the Globex traded spreads in the form of QRBZ16-QCLZ16. See here (exchange is NYMEX_GBX): http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=lookup&displayaction=support§ion=guide&web=iqfeed&start=901&maxrows=50&symbol=&searchtype=description&exchange=NYMEX%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20&filter=&securitytype=ICSPREAD%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20%20&displayfield=HTML&alpha=1 So why doesn't RBZ16-CLZ16 work with SC? Why does RBZ16-HOZ16 work?

[2016-10-08 00:46:57] #19 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We apologize for the delay. We are checking on this. 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

[2016-10-08 00:53:51] #20 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The symbols that Sierra Chart tracks are located in this file: ftp://ftp.cmegroup.com/SBEFix/Production/secdef.dat.gz It is a compressed file but you can open it up using a program like 7Z. For QRBZ16-QCLZ16, it would be listed as RBZ6-CLZ6. We do not see it. We are not sure why. Maybe it has a different format. If you can find what it is, we will certainly list it. 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: 2016-10-08 00:54:37

[2016-10-08 02:22:09] #21 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We are going to make some inquiries about this with the CME and Barchart. 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

[2016-10-12 00:13:22] #22 [Go To First Post]
User626121 - Posts: 82
Any news about the inquiries?

[2016-10-12 01:01:41] #23 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The CME never responded to us. We are going to check with Barchart about this. 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

[2016-10-12 01:12:43] #24 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Looking some more into this, we think this is probably what you want: CL:C1 RB-CL Z16.FUT_SPREAD.NYMEX This is a crack spread. Not sure why we did not catch on to that earlier. And you can find this on your own if you subscribe to the Sierra Chart Exchange Data Feed: http://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php You must subscribe to that feed to be able to search for symbols. While we will provide some help with this, we will not perform symbol searches for users on an ongoing basis. You will need to subscribe to the data feed. You do not have to pay any exchange fees if you do not want real-time data. 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: 2016-10-12 01:15:36

[2016-10-12 17:37:26] #25 [Go To First Post]
User626121 - Posts: 82
Ok, thank you, RB-CL is fine, but what about RB-BZ? In the thread SC datafeed spread contract additions I found the symbol format BZ:C1 RB-BZ F17.FUT_SPREAD.NYMEX but don't get correct data?

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