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Direct MessagesDate/Time: Wed, 01 May 2024 10:30:15 +0000
[Locked] - problem with the SC interpretation / parsing of Options on Futures volume data
View Count: 1405
| [2017-01-28 18:49:17] |
| User12089 - Posts: 350 |
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there seems to be a problem with the SC interpretation / parsing of Options on Futures volume data - the data source / feed is Intraday Data from Interactive Brokers see attached - the concrete example there is for Weekly Option on ES e-mini Future traded on CME Globex - the same problem exists for Options on Futures traded on Eurex e.g. Options on EURO STOXX 50 SC visualizes CONSTANT background volume for periods when there is NO volume - the IB charts which are based on the same IB data do NOT show such background volume Also when the source is IQ Feed the SC does NOT visualize such CONSTANT background volume Date Time Of Last Edit: 2017-01-28 18:51:54
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 1-28-2017 6-14-17 PM.pdf - Attached On 2017-01-28 18:45:18 UTC - Size: 9.9 KB - 242 views |
| [2017-01-29 00:40:27] |
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When posting an image of a chart we will only accept this method only: https://www.sierrachart.com/index.php?page=PostingInformation.php#Image The PDF you provided does not provide us any useful information. Repost the chart image according to our specifications. SC visualizes CONSTANT background volume for periods when there is NO volume
We assume that there is bars in the chart at times where there is no trading occurring. Why is this the case?
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: 2017-01-29 01:09:04
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| [2017-01-29 10:03:29] |
| User12089 - Posts: 350 |
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I have reattached another image annotated with periods of NO trading activity BUT SC visualizing CONSTANT (low) volume for them Regarding "We assume that there is bars in the chart at times where there is no trading occurring. Why is this the case? " well, this is for SC to figure out Below I repaste the facts and LOGIC clearly showing that this is a SC data parsing problem when the Data Feed is Interactive Brokers "SC visualizes CONSTANT background volume for periods when there is NO volume (trading activity) - the IB TWS charts which are based on the same IB data do NOT show such background volume Also when the data source is IQ Feed the SC does NOT visualize such CONSTANT background volume for periods when there is no trading activity" The above proves that the problem is related to how SC parses/interprets IB market intraday data for Options on Futures |
| 111.bmp - Attached On 2017-01-29 10:03:17 UTC - Size: 1.72 MB - 216 views |
| [2017-01-29 16:21:35] |
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Your conclusions are incorrect. This is an Interactive Brokers data issue. It looks like you are using true real-time data: Interactive Brokers Trading Service: Using Interactive Brokers True Real-Time Bar Data Do not use true 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: 2017-01-29 16:26:49
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| [2017-01-29 17:25:48] |
| User12089 - Posts: 350 |
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well this is still SC issue I am afraid - even though there seems to be a config to overcome it, it could have been automated etc like in IB TWS charts Now re the config - there doesn't seem to be an option "not to use True Real-Time Data". The only option is to enable/disable its recording - is that what you had in mind - see pasted below? And if this is what needs to be done then would it also help when retrieving HISTORICAL data from IB - I don't want to run SC all the time just so it "records" the real time IB data? Also I am SC Historical and Real-Time Market Data Subscriber - use it for all other instruments except Options which are NOT supported by SC Data Feed. Would that setting ALSO affect how the SC Data is parsed by SC? I want to avoid that at all cost. ------ The standard Interactive Brokers data feed is a substandard data feed which provides incomplete price and volume data. You may want to use the Sierra Chart Exchange Data Feed with your Interactive Brokers account as an alternative. However, Interactive Brokers provides another data feed that updates every 5 seconds which provides the accurate Open, High, Low, Last, Volume values for a 5 second timeframe. Sierra Chart supports this data feed. This data is transmitted at the end of the 5 second timeframe. To use this data feed, enable Global Settings >> Data/Trade Service Settings >> Service Setting >> Record True Real-Time Data in Intraday Charts. After enabling or disabling this option, it is necessary to select File >> Disconnect and then File >> Connect to Data Feed for the change to go into effect. When Record True Real-Time Data in Intraday Charts is enabled, then Interactive Brokers True Real-time Bar data will be recorded in all Intraday charts no matter what the symbol, if this type of data is available for the symbol. |
| [2017-01-29 18:01:48] |
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even though there seems to be a config to overcome it, it could have been automated etc like in IB TWS charts
Interactive Brokers TWS charts do *not* use the true real-time data feed. There is nothing better that we can do whatsoever in regards to this. Whether you want to believe that or not, does not change the basic fact. Now re the config - there doesn't seem to be an option "not to use True Real-Time Data". The only option is to enable/disable its recording - is that what you had in mind - see pasted below? Yes of course. And if this is what needs to be done then would it also help when retrieving HISTORICAL data from IB
The option has no effect on historical data.Also I am SC Historical and Real-Time Market Data Subscriber - use it for all other instruments except Options which are NOT supported by SC Data Feed. Would that setting ALSO affect how the SC Data is parsed by SC? We expect futures options support to come out this year with the Sierra Chart Exchange Data 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 Date Time Of Last Edit: 2017-01-29 18:02:30
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| [2017-01-31 13:40:57] |
| User12089 - Posts: 350 |
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Regarding: Q: "And if this is what needs to be done then would it also help when retrieving HISTORICAL data from IB" A: "The option has no effect on historical data." By "historical" I meant retrieving historical INTRADAY data e.g. for periods when SC has not been running. So how is the "record real-time data" option enabled supposed to have effect? Or it simply plays a role of switch telling SC to retrieve from IB the other type of market data, including for periods when SC has not been running? |
| [2017-01-31 17:01:59] |
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Record True Real-time Data has no effect on the historical downloaded data from Interactive Brokers for a particular symbol.
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 |
| [2017-01-31 17:08:55] |
| User12089 - Posts: 350 |
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ok BUT then do we have a solution for the problem stated here? The chart on the screenshot attached to this case is based on historical intraday data (30 min bars) retrieved/downloaded from IB not "recorded" while SC was running |
| [2017-01-31 17:19:28] |
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We have looked into this now and if the data in the chart was from historical downloaded data, then this is the actual trade data that TWS is providing. We do not know how this would be solved other than IB should not be providing this historical options data to begin with. 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: 2017-01-31 17:21:28
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| [2017-01-31 17:43:31] |
| User12089 - Posts: 350 |
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that's a bit of a moot point because IB TWS charts seem to use, parse and visualize the correct volume data ... bottomline seems to be end of the road / caput my friends (except if I pay for yet another data feed from IQ Feed besides SC Data Feed and IB data feed I use) - a) SC doesn't provide intraday options data, b) SC Charts don't use/parse the correct options data from IB SC is a good platform overall fro Futures (I find it better than NT, Market Delta etc) - but the data and functions for Options on Futures are just one big black hole |
| [2017-01-31 21:59:43] |
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that's a bit of a moot point because IB TWS charts seem to use, parse and visualize the correct volume data ... Interactive Brokers will need to resolve the issue for you. a) SC doesn't provide intraday options data, This will become available sometime this year. b) SC Charts don't use/parse the correct options data from IB Neither of these are the issue and it does not make sense either. How is it that Sierra Chart could be using the wrong options data from Interactive Brokers. What you are seeing is what Interactive Brokers is providing.
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 |
| [2017-02-01 11:23:32] |
| User12089 - Posts: 350 |
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whenever you do bring Options on Futures data (I can also see that in your near term product plans - but with no credit given to me:-)) NOTE that there are TWO key aspects ort if you like issues: 1. Intraday Data - totally missing at the moment 2. ALL existing Option on Futures types covered - at the moment for historical daily data the SC Data Feed only covers QUARTERLY options aligned with the duration of each futures contract e,g, the ES. This is only the top of the iceberg - there are also two types of weekly options (expiry in Wed and Fri) and monthly options - these are even more important and frequently used than the quarterly options ps: I dont agree with your statement that it is IB problem - their IB TWS charts do WORK correctly, the SC charts don't with IB data - so it is your responsibility to contact them, enquire about the nature of the problem and then fix SC Charts |
| [2017-02-02 08:26:05] |
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ps: I dont agree with your statement that it is IB problem - their IB TWS charts do WORK correctly, the SC charts don't with IB data - so it is your responsibility to contact them, enquire about the nature of the problem and then fix SC Charts No, this is not correct. It is the responsibility of Interactive Brokers to be competent and capable and when you show them the historical data being received, they should recognize the problem and resolve it. Our experience with them is not good, and we will not get involved with it and we are more than happy to lose the business over this. Case closed. When the options data is provided, there will be full Intraday history and all options symbols. 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: 2017-02-02 08:27:10
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| [2017-02-02 08:49:24] |
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What we are willing to do is if you provide us a chart image without any studies for a futures option symbol following these instructions here: https://www.sierrachart.com/index.php?page=PostingInformation.php#Image We will then send it to them and explain what the problem is and see what they say. But after you open the chart we want you to re-download the data with Edit >> Delete All Data and Download before taking an image of the chart. 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 |
| [2017-02-02 10:47:26] |
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Actually, we take back what we said in post 15, we are not going to waste our valuable time on this garbage with Interactive Brokers. We are sick and tired of their garbage and the garbage we receive from users blaming us for their garbage. You are welcome to take your business elsewhere. 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: 2017-02-02 10:52:59
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