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Date/Time: Thu, 28 Mar 2024 22:54:48 +0000



Futures Options Now Available with Sierra Chart Exchange Data Feed!

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[2017-12-04 18:21:30]
wwwingman - Posts: 185
It depends upon the number of symbols you have subscribed to for the data feed. Refer to:

Does this mean every strike per market is considered to be a symbol ?
(This means watching the available set of strikes of just one market can lead to hundreds of symbols...).

-- W
[2017-12-04 18:37:02]
Sierra Chart Engineering - Posts: 104368
Yes this is correct.

Let us discuss this with Barchart and see what we can do. Maybe they would be willing to allow a higher number of symbols for the additional 10 USD cost which is paid to them. But just give us some time to go through 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
[2017-12-10 01:04:40]
Usermb - Posts: 126
There doesn't appear to be any historical chart data available, hence no open interest data.
Is that meant to be like that, or a small thing left to sort out?

Tested it with OZNF18 C1245.FUT_OPT.CBOT, there is intraday data but no historical chart data.
[2017-12-10 05:55:42]
Sierra Chart Engineering - Posts: 104368
Historical chart data is not supported for the options, but we will add that because we can see that historical open interest data is relevant.

Another thing that has not been mentioned is that over the last couple weeks there has been some excessive load at times on the processing thread for some of the CME option channels leading to data loss and performance issues with the data feed. This issue has now been resolved.
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: 2017-12-10 05:56:48
[2017-12-13 05:19:41]
Sierra Chart Engineering - Posts: 104368
We have set up historical chart data support for CME futures options.

The data will be maintained as of 2017-12-13 for active options contracts.

To download the data, you will need to use the latest prerelease:

Software Download: Fast Update
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
[2017-12-13 23:57:22]
Usermb - Posts: 126

Another thing that has not been mentioned is that over the last couple weeks there has been some excessive load at times on the processing thread for some of the CME option channels leading to data loss and performance issues with the data feed. This issue has now been resolved.

I just compared the Globex Session (6pm - 5pm) volume of traded "ESZ17 C2685.FUT_OPT.CME" options from your feed using intraday data with the volume from CME / Quickstrike.
SC Data appears to have much lower volume for Tu: 2557 vs 4831
Similar story for Mo: 251 vs 807

Reference:
http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_volume_voi.html?foi=O&optionProductId=138#optionProductId=138&tradeDate=20171212
[2017-12-14 00:37:48]
Sierra Chart Engineering - Posts: 104368
In our experience you might not be able to make that type of comparison of daily volume to intraday accumulated volume.

The data loss problem is definitively solved. We monitor that everyday. There is 0% data loss at this time. And at least for about the last 7 days or so. There really was only about three cases of this within an hour over a period of a month.

The volume we see recorded from the daily data for ESZ17 C2685.FUT_OPT.CME for 2017-12-13 is:
2017/12/13, 100, 240, 65, 85, 2788, 4038

The CME site is only showing data for 2017-12-12. So you cannot make a valid comparison until you get the data from them tomorrow.
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: 2017-12-14 00:40:47
[2017-12-14 01:09:00]
Usermb - Posts: 126
I didn't compare the volume for We (2017/12/13), rather for Tu(2017/12/12) and Mo(2017/12/11)
Since there have not been any block trades nor EOO (according to CME) for the compared strike on these respective dates, I would assume that it's a fair comparison.

To be honest, I do not understand why intraday data could potentially not be able to reflect the daily volume, if it trully contains all the trades for that respective day. There is only one exchange where this instrument is traded (when excluding block trades and EOO)
[2017-12-14 01:21:38]
Sierra Chart Engineering - Posts: 104368
The CME options data Sierra Chart is offering is 100% perfect.

You really need to contact the CME about this. This is not for us to be commenting on.

Here is the data from IQ Feed:
http://www.sierrachart.com/image.php?Image=1513214466134.png


These bars are set to start at 18:00:00 US Eastern time.

Therefore our statement that the type of comparison you are making is not valid is correct.

We will not comment on this further. Contact the exchange. This is their responsibility to help you. Not ours.
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: 2017-12-14 01:22:05
[2017-12-14 01:34:20]
Usermb - Posts: 126
Ok, then the data from CME is to put it mildly, at the very least odd. Which is just so hard to digest for me.


The volume we see recorded from the daily data for ESZ17 C2685.FUT_OPT.CME for 2017-12-13 is:
2017/12/13, 100, 240, 65, 85, 2788, 4038
Your volume is different than in the above screenshot. I also see 1571 as in the screenshot instead of 2788 (which I assume to be the volume, and 4038 the # of Trades including Bid/Ask updates).
[2017-12-14 01:46:28]
Sierra Chart Engineering - Posts: 104368
The 2788 is the official daily reported volume.

4038 is the current reported open interest.
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: 2017-12-14 01:46:39
[2017-12-14 01:58:33]
Usermb - Posts: 126
Thank you. 4038 matches the OI value from QuikStrike (CME).
I have contacted QuikStrike regarding this issue and also pointed them to these posts, in the hope that they can offer an explanation.
Date Time Of Last Edit: 2017-12-14 01:58:56
[2017-12-14 22:04:18]
Usermb - Posts: 126
I wanted to point out that very soon after contacting them I have received a series of very friendly and informative emails from Quikstrike's support team. Thank you for that!

They pointed out, that their volume data is based on CME EOD files: "Our numbers are directly from the EOD files delivered by the CME and match exactly as published on the CME’s web site". Their volume data also matches the daily volume data from Barchart which is the data SC Data uses as well. Considering this, all data matches when compared daily to daily.

Why the intraday volume data is so different from the daily (EOD) volume data is a big mystery to me, but this is beyond the scope of my original post.
[2017-12-14 22:06:11]
Sierra Chart Engineering - Posts: 104368
Their volume data also matches the daily volume data from Barchart which is the data SC Data uses as well.
In the case of CME data, the data actually comes straight from the CME multicast data feeds. Not from 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
Date Time Of Last Edit: 2017-12-14 22:06:19

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