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Date/Time: Wed, 17 Jan 2018 01:39:24 +0000



High Accuracy Spread vs. CQG Intraday Data limitation

Support Request:
[2017-12-13 22:48:41]
ErikT - Posts: 43
What I actually need: A difference(bar) chart accurately plotting the difference between two exchange-traded futures spreads. In case it matters, the exact combination I am trying to make work is (F.US.CLES12Z18 - (2 * F.US.CLES3M18)).

Initial problem: I know how to make this chart with Difference(bar), but the problem is the candles are not accurate. For example, that combination traded as low as .48 today, but right now it's at .61. The daily candle displayed now bottoms at the current price of .61. There is no "tail" or "wick" down to the actual low of the day.

Initial Solution: It appears that this is a known problem and that the "High Accuracy Spread" instructions in the documentation are meant to address it. To some extent, that solved the problem. I modified your instructions and used 1 minute rather than 10 second bars in the sub-charts, because I need to see a full year's data and the 10-second intervals would be too data intensive. Otherwise, I followed your instructions and it mostly worked.

Secondary problem: Ok, this produced much more accurate results in the daily Study Overlay-OHLC graph I created per your instructions. But the problem is, CQG appears to limit INTRADAY data downloads to the last 30 days. For people who spend a fortune on their full charting package, there is an option to pay extra and get intraday data turned on for 3 years. But my understanding is that there is no way to get more than 30 days from the WebAPI product. It does appear that Sierra Chart buffers the downloads so I can "build up my data" over a long period of time, but I need to go back to before I got Sierra and CQG. So far as I can tell that's not possible.

My questions:

1. Is there some other way to get a Difference(bar) chart to accurately display the tails (wicks) on the candles? Oddly it appears to work on some days but not others...
2. Is there some other data service I should consider buying that offers exchange-traded futures spread INTRADAY data that goes back at least 1 year?

Thanks,
Erik
[2017-12-13 22:58:40]
ErikT - Posts: 43
p.s. Just to be clear, I don't actually need an intraday chart (final product). All I need is a DAILY historical chart, but I need it to have ACCURATE daily candles that show the true price range the combination of spreads traded that day. The only reason intraday data comes into play (and thus creates a problem for CQG after 30 days) is that it appears from the documentation that the only way to make the daily bars accurate is to source their data from an intraday series.

If there is a way to get an ACCURATE daily candle chart for the combination, without using intraday data, that's all I need. But this does not appear to be possible.

Thanks,
Erik
[2017-12-15 10:15:02]
Sierra Chart Engineering - Posts: 56205
We need some time to look this over. We will be doing that over the weekend.




2. For long-term spread history you really need to use the Sierra Chart Exchange Data Feed:
https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php

Also refer to:
https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php#ExchangeTradedSpreads
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:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

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: 2017-12-15 10:16:01
[2017-12-15 14:15:03]
ErikT - Posts: 43
Ok, read the SC Data feed info. Question: It says "Trading account required" for the CME bundles. Fair enough. Do I qualify because I already have a trading account associated with my CQG feed which I also use with Sierra, or does this mean I have to have a trading account that is directly linked to the bundle subscription? If the latter, can I use an existing Interactive Brokers account, or does it have to be an account with a list of qualified brokers. If the latter, where is that list?

Thanks!
Erik
[2017-12-21 08:47:11]
Sierra Chart Engineering - Posts: 56205
Do I qualify because I already have a trading account associated with my CQG feed

Yes. Refer to:
https://www.sierrachart.com/index.php?page=doc/FuturesData.php#CMEExchangesNotEntitledUnlessTradingAccount
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:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

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: 2017-12-21 08:47:22

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