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Date/Time: Tue, 17 Jul 2018 08:03:59 +0000



Futures Options Now Available with Sierra Chart Exchange Data Feed!

Support Request:
[2017-08-16 16:47:16]
Sierra Chart Engineering - Posts: 61831
We are going to release CME futures options with the Sierra Chart Exchange Data Feed, this week.

The cost of this will be an additional 12 USD per month.
Sierra Chart Support - Engineering Level

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[2017-08-18 13:24:12]
Sierra Chart Engineering - Posts: 61831
There will be two or three day delay with this. It is not likely we are going to get this out, this Friday.

The complication is just due to the large number of symbols that have to be handled from the CME. This is about 200,000 symbols.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2017-08-18 13:24:54
[2017-08-18 16:50:50]
ephi144 - Posts: 7
so you are saying i can trade options using Sierra chart?

in addition, which feeds are supported? e.g. CQG?
[2017-08-18 17:09:44]
Sierra Chart Engineering - Posts: 61831
Trading options has always been supported. What we are describing is providing real-time options data through the Sierra Chart Exchange Data Feed.

CQG is supported and options trading is supported.

Refer to:
https://www.sierrachart.com/index.php?page=doc/CQGTrading.php#OptionsSymbolFormat
Sierra Chart Support - Engineering Level

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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-08-29 15:10:21]
Sierra Chart Engineering - Posts: 61831
The main issue we are working on now related to futures options is managing the very large number of symbols.

The additional symbols and bandwidth is causing some packet loss issues with our main CME and other exchange feeds.

This has been an issue the last couple of days.

When there is packet loss, we are ensuring at the end of the and periodically throughout the day the historical data is complete.

We will have this issue resolved by the end of the day.
Sierra Chart Support - Engineering Level

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[2017-09-25 04:50:48]
User918738 - Posts: 6
Is real time option price data available and if so, where do I find the $12 charge to enable the data?
[2017-09-25 05:11:06]
Sierra Chart Engineering - Posts: 61831
Yes, this is just about ready. We finished the details of this over this past weekend.

So you are interested in real-time CME futures options data? It is more than just 12 USD a month. You also have to pay for the real-time data connection and the CME exchange fee.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2017-09-25 05:11:37
[2017-09-25 16:11:27]
User918738 - Posts: 6
Will you make an announcement when it is officially available?
[2017-09-26 14:39:49]
Sierra Chart Engineering - Posts: 61831
Yes. We expect this week.
Sierra Chart Support - Engineering Level

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[2017-10-01 22:11:27]
Sierra Chart Engineering - Posts: 61831
We have completed most of the work for releasing Futures options.

We just need to add the necessary symbol settings.

The symbol settings for the ES futures options are now available.

Users will need to update to version 1617.

Any user of the Sierra Chart Exchange Data Feed can now access futures options through File >> Find Symbol >>Futures Options-CME/CBOT/COMEX/NYMEX.

Select the symbol, currently only ES, and press Get Options.

More than 10,000 options will be listed. We are going to improve upon the way in which options will be listed so there is not a temporary freezing while processing through that many options.

Thinking about this some more, what we could do is perhaps list only options which have some trading activity because most of these options are just not active.

Update: For the time being, there is no additional cost for the real-time options until we get of the remaining details finalized.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2017-10-02 00:01:40
[2017-10-07 03:23:06]
Sierra Chart Engineering - Posts: 61831
The development of futures options for the Sierra Chart Exchange Data Feed is now complete.

This was a technical challenge with having to make various optimizations to handle over 242,000 symbols. These optimizations were done within Sierra Chart, which processes the feed, and also within our real-time server program.

The symbols can be searched through: File >> Find Symbol >>Futures Options-CME/CBOT/COMEX/NYMEX.

Select one of the underlying symbols in the list and press the Get Options button.

Only those symbols that have a nonzero open interest are returned for performance and practical reasons. And the open interest is within the description of the symbol in the returned list. You can see the open interest after "OI=".

Make sure you are on the current version of Sierra Chart for proper support for futures options.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2017-10-31 05:10:03
[2017-10-11 17:16:00]
User918738 - Posts: 6
Great addition to sierra charts.
[2017-10-18 04:13:03]
Sierra Chart Engineering - Posts: 61831
What we are also going to be adding in the coming days is recording of the bid and ask prices. So when there is no trading activity but there is changes with bid and ask prices, you will be able to chart those as well as an option.
Sierra Chart Support - Engineering Level

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[2017-10-21 10:35:16]
Sierra Chart Engineering - Posts: 61831
This is intended to be released this Sunday evening:
What we are also going to be adding in the coming days is recording of the bid and ask prices. So when there is no trading activity but there is changes with bid and ask prices, you will be able to chart those as well as an option.

The option to either chart these or not will be in the next release. By default they will be charted, including in existing versions.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2017-10-21 10:35:25
[2017-11-06 21:39:36]
User767932 - Posts: 5
"The symbols can be searched through: File >> Find Symbol >>Futures Options-CME/CBOT/COMEX/NYMEX.

Select one of the underlying symbols in the list and press the Get Options button."

When I do this, I don't get options...it does nothing. I'm using Sierra Chart with AMP Futures. AMP tells me that my account is optimized for options, and it has to be an issue with Sierra. I entered a trouble ticket and got no response. How can I get options???? Please help!!
[2017-11-07 03:51:47]
Sierra Chart Engineering - Posts: 61831
That particular category in Find Symbol is only for when using the Sierra Chart Exchange Data Feed:
https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php

There is another way to get options with CQG.

Refer to:
https://www.sierrachart.com/index.php?page=doc/CQGTrading.php#OptionsSymbolFormat
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-11-07 04:00:19]
Sierra Chart Engineering - Posts: 61831
Also, we have moved the options service over to a separate server so as to not put any extra load on the server handling outright futures and stocks.

This requires that you are running the current Sierra Chart version to access that server.

Follow the instructions here to update:
https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2017-11-07 04:01:00
[2017-11-07 04:06:58]
User918738 - Posts: 6
Many thanks!!!
[2017-11-09 22:59:43]
sunnyod - Posts: 101
Hi. I have a paper trading data feed from Rithmic atm. Would this service be comparable to that? Is it realtime?
[2017-11-10 21:06:53]
Sierra Chart Engineering - Posts: 61831
We really need to understand what it is you require. Here is complete documentation for the Sierra Chart Exchange Data Feed:
https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-11-11 21:13:07]
Sierra Chart Engineering - Posts: 61831
Here is the documentation for Futures Options through the SC Exchange Data Feed:
https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php#FuturesOptions
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-12-04 13:15:38]
wwwingman - Posts: 153
Hi. How many futures options symbols can be watched simultaneously ?
[2017-12-04 18:04:30]
Sierra Chart Engineering - Posts: 61831
It depends upon the number of symbols you have subscribed to for the data feed. Refer to:
https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php#Pricing

It is that same number of symbols. These symbols being monitored in real time do not count against other security types like futures, spreads, indexes and stocks.

There is also going to be a 10 USD/month required for futures options but this is not yet in place.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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Date Time Of Last Edit: 2017-12-04 18:05:39
[2017-12-04 18:21:30]
wwwingman - Posts: 153
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: 61831
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. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-12-10 01:04:40]
Usermb - Posts: 105
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: 61831
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. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2017-12-10 05:56:48
[2017-12-13 05:19:41]
Sierra Chart Engineering - Posts: 61831
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:

https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-12-13 23:57:22]
Usermb - Posts: 105

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: 61831
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

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Date Time Of Last Edit: 2017-12-14 00:40:47
[2017-12-14 01:09:00]
Usermb - Posts: 105
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: 61831
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

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Date Time Of Last Edit: 2017-12-14 01:22:05
[2017-12-14 01:34:20]
Usermb - Posts: 105
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: 61831
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. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2017-12-14 01:46:39
[2017-12-14 01:58:33]
Usermb - Posts: 105
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: 105
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: 61831
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. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2017-12-14 22:06:19

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