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Direct MessagesDate/Time: Sun, 28 Apr 2024 10:30:50 +0000
Aggregating CME ticks into aggressor trades
View Count: 1132
| [2017-06-12 08:27:32] |
| Perseus - Posts: 30 |
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I am looking for a way to combine ticks from the CME into aggressor trades in Sierra Chart for historical data. This is possible using for example IQFeed, by using TickID or milisecond part of the timestamp. However, I can't see how to do this in SC since I am missing both TickID and milliseconds in historical data? I am currently trying out the SC data feed but I can't see a way to do it here either. Please advise if you know of a way to do this. Thanks. //Perseus |
| [2017-06-12 18:06:43] |
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This capability will be available through an option setting in Chart >> Chart Settings, toward the end of the year.
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: 2017-06-12 18:07:03
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| [2017-06-17 14:26:54] |
| User64410 - Posts: 14 |
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I have done this a year ago already using BID_ASK_TRADE_SYNC data, and result is quite good:
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 Snímek obrazovky 2017-04-10 v 15.52.35 (kopie).png / V - Attached On 2017-06-17 14:23:43 UTC - Size: 225.21 KB - 406 views Snímek obrazovky 2017-04-07 v 15.37.57 (kopie).png / V - Attached On 2017-06-17 14:25:33 UTC - Size: 96.75 KB - 381 views |
| [2017-06-19 07:03:01] |
| Perseus - Posts: 30 |
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@User64410: Thank you for your reply. I will take a look at using the BID_ASK_TRADE_SYNC field. Reading the docs, it doesn't look like it provides either microsecond timestamping or TickID?
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| [2017-06-19 09:21:08] |
| User64410 - Posts: 14 |
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BID_ASK_TRADE_SYNC are saving all lines from screenshot. Blue lines are not trades but only changes of L1 quotation. Block of trades what are not breaked by blue lines are trades with same microsecond (compared with IQ feed). After a market order comes and get filled, new blue line have to be generated - bacause aggressive market order has changed the passive side. But there not exist 100% relationship TickId and microsecond timestamp. You can have more tickids with same microsecond. |
| Snímek obrazovky 2017-06-19 v 11.08.02.png / V - Attached On 2017-06-19 09:20:00 UTC - Size: 118.25 KB - 324 views |
| [2017-06-21 07:11:46] |
| Perseus - Posts: 30 |
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Thanks again for your detailed explanation, I greatly appreciate it!
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