Support Board

Happy to share my findings and would love some help understanding the root cause.

I trade a 5m candlestick chart of the ES using CQG.

After sharing screenshots of ES charts with other Emini traders (who use different data feeds), I started to notice small differences in our Opening and Closing prices of the 5 minute bars.

As a point of reference, I checked the delayed charts on the CME website. They were indeed not the same as my CQG charts and they were matching the other trader's charts who were using Kinetick (DTN IQ Feed under the hood, I believe).

I initially thought that this was an issue with my local Sierra Chart config. I therefore loaded the same chart in CQG Desktop (their cloud-based platform). The charts were identical to my Sierra CQG charts, therefore I ruled this out as the cause.

I signed up for a trial of the Sierra Chart Exchange Data Feed, configured it, disconnected, reconnected, refreshed my charts and voila, I now had a chart which matched the CME and the other trader's charts exactly!

To highlight the issue further, here are the details for the first 4 bars of RTH on the ES, Fri Aug 31st 2018. Where there are differences between the two datasets, I have noted them in brackets.

Sierra Chart Exchange Data Feed

Bar 1
O: 2897.50
H: 2899.50
L: 2897.00
C: 2898.75
V: 26717
#: 10082

Bar 2
O: 2898.75
H: 2900.25
L: 2898.00
C: 2899.25
V: 16149
#: 6606

Bar 3
O: 2899.25
H: 2900.00
L: 2898.00
C: 2899.50
V: 15188
#: 5543

Bar 4
O: 2899.50
H: 2901.25
L: 2899.00
C: 2900.50
V: 18629
#: 7855

CQG

Bar 1
O: 2897.75 (+.25)
H: 2899.50
L: 2897.00
C: 2890.00 (-.25)
V: 26067 (-650)
#: 9876 (-206)

Bar 2
O: 2899.00 (+.25)
H: 2900.25
L: 2898.00
C: 2899.25
V: 16149
#: 6606

Bar 3
O: 2899.50 (+.25)
H: 2900.00
L: 2898.00
C: 2899.25 (-.25)
V: 15202 (+14)
#: 5546 (+3)

Bar 4
O: 2899.50
H: 2901.25
L: 2899.00
C: 2900.50
V: 18613 (-16)
#: 7850 (-5)

There is an image attached to help visually show the differences too. As you can see these one tick Open/Close differences are all too common throughout the day.

I would like to understand why the CQG data is different. I would have expected the only real difference between data feeds to be latency, reliability, historical error correction, amount of historical data provided etc.

As an aside, I do not believe this issue is unique to the CQG data feed, I checked my records and I was also experiencing similar problems with my old data feed, Transact. My guess is that other feeds may experience similar issues too.