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Direct MessagesDate/Time: Wed, 08 May 2024 11:30:05 +0000
[Locked] - Notice: New Futures Real-Time Data Feed
View Count: 20924
| [2013-11-13 16:35:17] |
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Full historical Intraday data is now available with this new Sierra Chart real-time futures data feed. To download all the available historical data, go to an Intraday chart and select Edit >> Delete All Data and Download. You will need to do this once for each symbol. 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 |
| [2013-11-13 17:21:53] |
| PTG - Posts: 57 |
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I deleted and downloaded. I see the 6EZ3 contract starts from Aug 12th 2013 19:00 CET. The CME specifies 20 months listing http://www.cmegroup.com/trading/fx/g10/euro-fx_contract_specifications.html I see DTN first print for the @EUZ13 is Aug 7th 2012 12:00 CET |
| [2013-11-13 17:27:29] |
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Yes, this is true for existing futures contracts. They do not go back since trading began. We have to check on this, but I think that the furthest back that we will start recording data will be about 9 months before a contract becomes active. For the vast majority of cases, this is not going to be a problem. Usually we find that people do not need to be looking at the days in a futures contract significantly before it becomes the active contract. 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 |
| [2013-11-13 17:36:19] |
| PTG - Posts: 57 |
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Some use different contracts for a spread trade and I can imagine it does matter to them to have all data available from the first trade, as I suppose DTN has. In any case, should you decide to limit the history then that would constitute "full historical data" with a caveat I suppose. Next, I have taken a screenshot comparing the footprint of 6E from SC and DTN: http://screencast.com/t/hZA645fa See red arrows. |
| [2013-11-13 18:24:43] |
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Thank you for pointing this out. We were noticing this, and it just occurred to us why sometimes a trade is marked at the bid when it should be at the ask or the other way around. It has to do with the timing of updating the best bid and ask prices and whether you are receiving market depth data. We are going to do a server-side update today and this will be resolved after the close. So tomorrow you should see a 100% match. 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: 2013-11-13 18:25:05
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| [2013-11-13 18:30:11] |
| PTG - Posts: 57 |
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Great. I plan to do the same check tomorrow around this time and let you know.
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| [2013-11-14 14:04:23] |
| katek - Posts: 28 |
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As far as intraday chart is concerned, the data is loading very well, well done. On the other hand, historical chart is not loading and I get the message "download failed", is there something I should do to get historical chart on this feed? |
| [2013-11-14 15:10:04] |
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Please start a new thread with this link: https://www.sierrachart.com/SupportBoard.php?do=NewThread&ForumID=0 And provide a copy of the Message Log, by following these steps: https://www.sierrachart.com/index.php?l=PostingInformation.php#log 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: 2013-11-14 15:26:37
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| [2013-11-14 18:51:18] |
| PTG - Posts: 57 |
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Checked it again today; downloaded the latest SC version for both instances. Looks identical albeit that I had differences a few times. See screenshots but do check them yourselves; I now see that I have overlooked the 18:59:05 bar which isn't identical with DTN although it is identical for the SC screenshots (left half of the screen) between the 3rd and the 4th screenshot. In chronological order: http://screencast.com/t/EezGdWoGJ http://screencast.com/t/tTX178Bjf http://screencast.com/t/fgTRa3tW http://screencast.com/t/CUE6SQbsnY |
| [2013-11-14 23:47:02] |
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Looking these all over in detail 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 |
| [2013-11-15 00:52:38] |
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In response to post #136: When you post images, they need to be of fixed time per bar. Not of a variable time like Range bars. It becomes next to impossible for us to match them up with our charts and to make definite analysis. We can see no technical reason why the identification of whether a trade is at the bid or the ask would be different in real-time compared to historical data. The charts you have provided to show some minor discrepancies with that with the data received in real-time from the SC feed. We will have to monitor for that. However, to rule out the market depth data as an issue, make sure you are using no market depth features on the symbol being monitored and you are providing charts of. For example, do not use the Market Depth window, the Trade DOM or the DOM Graph. Eventually we will track it down and we think it may have to do with a slight issue with market depth data at level 1. We did do a comparison to IQ Feed comparing historical data downloaded from both services and we see a 100% match for the 6E. So this is good. This is an example of the kind of chart we use for comparison: http://www.sierrachart.com/image.php?l=1384476751503.png Provides for very easy bulk comparison. 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: 2013-11-15 00:53:49
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| [2013-11-15 17:28:17] |
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The problem with minor discrepancies between historical and real-time data with the identification of whether a trade occurred at the Bid or Ask will be resolved over the weekend.
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 |
| [2013-11-16 04:29:40] |
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We would like to report that the packet loss for this Friday was very minimal. For the ES December futures on the CME, for the last 24 hours the volume recorded on the Sierra Chart data feed is: 1217241 For IQ feed it is: 1217307 The difference is negligible. It is only 0.00763981% difference! We would also like to report that for the previous 24 hour period we reported nearly same volume as IQ Feed: Sierra Chart: 1561720 IQ Feed: 1561732 We would also like to explain a little bit about the data back end to explain why there is some minute amount of difference. The data distributed by the CME is real-time market data. It is distributed as a multicast UDP data feed. With this type of data feed, packets can and do get lost during the transmission. To compensate for the packet loss, the CME has 2 data feeds transmitting the same data. When there is packet loss on one of them, the receiving end can check the other one to see if it has the missing packets. This is what we do. We have an algorithm which monitors both feeds, and can instantly switch to the other one when there is packet loss on the other. Nevertheless, it cannot be expected to have 0% packet loss. That is unrealistic. Trying to achieve that, will introduce latency. The objective is to reduce the packet loss to a negligible amount. We have achieved that. We expect next week, the performance of the Sierra Chart Real-time and historical futures data feed to be operating as we intended. This is going to be providing accurate bid volume and ask volume consistent between real-time and historical data, and complete transmission of trades with negligible packet loss. 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: 2013-11-16 04:35:27
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| [2013-11-16 04:39:30] |
| ejtrader - Posts: 688 |
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SC Team - One clarification needed related to determining the trade whether it occured at Bid or Ask. Does CME provide this information in their feed or is this something that you calculate while storing the data? Thanks |
| [2013-11-16 05:01:18] |
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They do not provide this. It has to be calculated based upon the bid and ask prices at level 1 in relation to the trades. We use the same calculation method with all data feeds. Even IQ Feed does not provide this information. 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 |
| [2013-11-17 17:50:22] |
| sbsierra - Posts: 71 |
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hi, are there any news for the EUREX feed (FDAX, FGBL, FESX) ?
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| [2013-11-17 18:32:41] |
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We are working on support for EUREX. We expect it should be ready before the end of the year if there are no unexpected complications.
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 |
| [2013-11-17 18:34:45] |
| AKR - Posts: 523 |
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what about stocks and especially european/german stocks. do you have a timeframe for this, too? thx! |
| [2013-11-17 18:34:50] |
| AKR - Posts: 523 |
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what about stocks and especially european/german stocks. do you have a timeframe for this, too? thx! |
| [2013-11-17 18:37:55] |
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For European and German stocks, this is going to be supported with Tele-trader and we are now looking at probably around February for support for that.
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 |
| [2013-11-17 18:42:45] |
| AKR - Posts: 523 |
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I see. Bit of a pitty, as this is going to mean extra cost for the basis service. but ok, thats your decision.
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| [2013-11-17 23:35:08] |
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After examining some of the source code, we realized that the identification of whether the trade occurred at the bid or the ask as determined on the server side, requires a software update in order for that to be received on the client-side. You will need to update to version 1047. We will have this out within about 60 minutes. The identification of whether a trade occurred at the bid or ask, is accurate 99.9% of the time even with earlier versions, but we have seen some minor discrepancies of this between real-time and historical data. And this update will resolve 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 Date Time Of Last Edit: 2013-11-18 01:22:30
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| [2013-11-18 01:15:19] |
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We have now released version 1047. Please update if you are using the Sierra Chart real-time CME futures data 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 |
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