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Direct MessagesDate/Time: Thu, 02 May 2024 06:54:07 +0000
Difference in Number Bar using Rithmic and SC DataFeed
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| [2016-11-16 13:53:51] |
| patrick - Posts: 30 |
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Hi recently I asked for a CTS demo, powered using SC datafeed. Below is Bund, and the number bars and calculated values are quite different between Rithmic and SC datafeed. I filtered the volume >299 lots, and those large volume showing at ASK and BID are mixed up. As attached in the jpg, there at CET 14:00, there are large volume are at the ASK and not BID. Is there any thing wrong with my settings? I am sure I am using tick data. Thanks. |
CTS.png| [2016-11-16 16:25:42] |
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This is an inherent issue with EUREX data. Every data feed will be a little different with Bid Volume and Ask Volume. Also the algorithm to determine the Bid Volume and Ask Volume with the Sierra Chart Exchange Data Feed is not being used with Rithmic. Also confirm there is a tick by tick data configuration: http://www.sierrachart.com/index.php?page=doc/TickbyTickDataConfiguration.php If you believe it is not accurate in some cases, this may be improved upon soon, when Barchart switches the EUREX data over to their new Open Feed. 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 |
| [2016-11-17 02:58:20] |
| patrick - Posts: 30 |
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I can confirm that I am receiving tick by tick data. I cannot tell every occurrence of the large order hitting of Bid or Ask Volume, but only when the DOM displays a large volume queuing and there is a transaction. I can tell the determination of Bid Volume or Ask Volume is not accurate with Sierra Chart Exchange Data Feed, because I saw on the DOM has >1000 lots on the ASK and there is a large quantity transaction, but it shows on the Bid side of Number Bar instead. I will try to observe more of this occurrence and its accuracy. Any idea when Barchart is going to switch the EUREX data over to their new Open Feed? Is the new Eurex Open Feed, coming with the full 20 level of market depth? Thanks. |
| [2016-11-17 03:51:36] |
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How the Bid Volume and Ask Volume is determined is explained here: http://www.sierrachart.com/index.php?page=doc/NumbersBars.php#Definitions Not sure when it will be changed over to Open Feed but when it will be, there will be 20 levels of depth. They tell us it should be before the end of the year but we are wondering being we are close to the end of the year now. 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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