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Direct MessagesDate/Time: Mon, 06 May 2024 01:46:34 +0000
Spreads showing wrong volume
View Count: 1707
| [2018-02-08 16:43:53] |
| User312162 - Posts: 40 |
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I have CQG data and have checked with my broker and CQG desktop to check the volume of exchanged traded spreads. Through sierra chart the spread volume is wrong and much lower. When I check it on CQG desktop and through other brokers, their volume is the same and correct. Any ideas why it is not correct in Sierra. Here is my message log after I cleared it and deleted and downloaded the data again. Software version: 1697 | 2018-02-08 10:41:07 Usage end date: 2018-02-18 | 2018-02-08 10:41:07 Enabled for: Advanced Features. | 2018-02-08 10:41:07 Enabled for: Advanced Features 2. | 2018-02-08 10:41:07 Enabled for: Sierra Chart Historical Data Service. | 2018-02-08 10:41:07 Allow Support for Sierra Chart Data Feeds is enabled. | 2018-02-08 10:41:07 Current selected Data/Trading service: CQG FIX Trading | 2018-02-08 10:41:07 Chart Update Interval: 500 | 2018-02-08 10:41:07 Time Zone: -06:00:00 (CST-06CDT+01,M3.2.0/02:00,M11.1.0/02:00) | 2018-02-08 10:41:07 2018-02-08 10:41:06 Local computer time | 2018-02-08 10:41:07 2018-02-08 16:41:06 Local computer time in UTC | 2018-02-08 10:41:07 2018-02-08 10:41:06 Local computer time in SC Time Zone | 2018-02-08 10:41:07 2018-02-08 12:38:28 Server time in UTC | 2018-02-08 10:41:07 Local computer UTC time and Server UTC time difference: 1 seconds. | 2018-02-08 10:41:07 Program path: C:\SierraChart\ | 2018-02-08 10:41:07 Data Files path: C:\SierraChart\Data\ | 2018-02-08 10:41:07 OS Version Number: 10.0 | 2018-02-08 10:41:07 Locale Setting: C | 2018-02-08 10:41:07 CQG FIX Trading | Using primary service for historical data for F.US.ZCES4H8 | 2018-02-08 10:41:18 HD Request # 193 | Downloading Historical Daily chart data for F.US.ZCES4H8. Starting date: 1968-02-09. Service: cqgfix | 2018-02-08 10:41:18 HD Request # 193 | Downloading historical Daily data from CQG starting at 1968-02-08. ContractID: 26 | 2018-02-08 10:41:18 HD Request # 193 | Receiving historical Daily data for F.US.ZCES4H8 starting at 2015-02-08 | 2018-02-08 10:41:18 HD Request # 193 | Writing historical Daily data to the file F.US.ZCES4H8.dly | 2018-02-08 10:41:18 HD Request # 193 | Received 757 records from 2015-02-08 00:00:00 to 2018-02-07 20:30:00 (3.0 years) and wrote 757 records for F.US.ZCES4H8 | 2018-02-08 10:41:18 HD Request # 193 | Completion time: 0s | 2018-02-08 10:41:18 HD Request # 193 | Daily data download complete for F.US.ZCES4H8. Unique request ID: 193 | 2018-02-08 10:41:18 Removed historical data download ID 193 | 2018-02-08 10:41:18 F.US.ZCES4H8 Daily #1 | Reloading chart. | 2018-02-08 10:41:18 |
| [2018-02-08 21:59:14] |
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How are you determining the volume? Tell us precisely. We will do a comparison to our own data feed the Sierra Chart Exchange Data Feed. Also in the end there is nothing we can do to change this. If there is a problem that is going to be on the CQG side and that is not something we are going to argue about, if you disagree, or follow up with CQG about because likely they are simply not going to do anything. 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: 2018-02-08 21:59:36
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| [2018-02-08 22:22:32] |
| User312162 - Posts: 40 |
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By using the volume study in sierra. Exchange traded spreads have their own volume. Corn March/May 2018 spread for example. I wasn't arguing with you and not sure where you got that perception. I was just curious because I've checked the volume for Corn March/May aka F.US.ZCES1H8 in CQG with CQG Desktop, Thinkorswim, barchart, DTN prophet x, and tradestation and all 5 have the same volume for the spread except Sierra with CQG is different. Thanks for checking the comparison for me. |
| [2018-02-09 23:30:51] |
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We are checking on 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 |
| [2018-02-11 20:56:42] |
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What we notice is that the CQG historical daily data dates are off by one day. They are one day earlier than they should be. We are not sure of why this is the case. Probably due to the absurd way that CQG provides timestamps as an offset from a login time. We will have to look into this at some point. This is what we see from the Sierra Chart Exchange Data Feed: http://www.sierrachart.com/image.php?Image=1518382226548.png The volumes are the same other than on February 7, 2018. CQG shows a higher volume. Not sure who is correct in that 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 |
| [2018-02-11 21:03:45] |
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We have checked with another source, IQ Feed, and for February 7, 2018 they show the same volume that we do. So CQG is providing most likely a faulty number. Really would have to be. We pull this data straight from the CME multicast 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 |
| [2018-02-11 21:37:56] |
| User312162 - Posts: 40 |
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Thank you. When I talk to CQG about this, do you have any suggestions on helping them understand why it's wrong or off on their end?
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| [2018-02-12 17:02:48] |
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We will contact CQG about this now.
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 |
| [2018-02-13 05:04:10] |
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We have communicated everything to CQG and awaiting a response.
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 |
| [2018-02-16 13:15:21] |
| User312162 - Posts: 40 |
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Thank you. Hopefully they fix it.
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| [2018-02-16 17:46:52] |
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Yes we are going over this with CQG now.
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 |
| [2018-02-16 18:01:18] |
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Hopefully the resolution should come in a few more days. You will also need to update Sierra Chart as well because there is a different trade date field we need to use but there is a problem with that CQG needs to fix first.
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 |
| [2018-05-02 14:56:51] |
| User312162 - Posts: 40 |
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There is an issue again with spread data. It's way off. For example, the corn July/Dec 2018 spread is showing 56k volume for today 5/2 when it's really about 15k. I have the most updated Sierra version.
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| [2018-05-02 18:11:51] |
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This is CQG data you are referring to. We have no control over this data. See if it is correct tomorrow. You can re-download the recent data using this command: http://www.sierrachart.com/index.php?page=doc/EditMenu.html#DownloadData_HistoricalChart 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: 2018-05-02 18:45:24
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| [2018-05-02 18:24:47] |
| User312162 - Posts: 40 |
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Yes CQG data. I did the re-download but it didn't change anything. It's off by over 40k trades on the volume.
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