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Direct MessagesDate/Time: Sat, 20 Apr 2024 13:43:20 +0000
Historical FOP data
View Count: 515
| [2018-10-01 14:20:37] |
| User754985 - Posts: 109 |
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Hi, I understand from docs that SC maintains historical intraday FOP data for CME futures as from Sept (or Nov) of 2017. Is (best)bid-ask available with 1min resolution or is it only "trade"? Is tick data maintained, and if yes, will it contain bid-ask? Thank you. |
| [2018-10-01 18:58:36] |
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Yes this data is available and it is tick by tick. And it does contain the bid and ask prices at the time of the trade.
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 |
| [2018-10-01 19:33:19] |
| User754985 - Posts: 109 |
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Sorry, I am not fully clear. Is bid-ask available with 1 min bars or is it only for tick data? What is meant by "bid-ask at the time of the trade"? Often there are no Trades, but there is bid and ask..I assume these would be available regardless of a trade occuring, correct? |
| [2018-10-02 18:56:43] |
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Is bid-ask available with 1 min bars or is it only for tick data? Only the bid and ask prices are recorded when there is a trade. We tried recording them all the time but it created a major performance issue. But if you have real-time access to this data feed, you can record them on your side. 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: 2018-10-02 18:57:14
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| [2018-10-02 19:16:25] |
| User754985 - Posts: 109 |
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Understand. However, option trades occur infrequently, rendering such data "outdated" for backtesting. Would you consider switching to a less frequent, 1/min recording of bid-ask instead? This would keep load appr. the same, but data would be usable.. |
| [2018-10-07 14:06:02] |
| User754985 - Posts: 109 |
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bump
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| [2018-10-07 22:38:59] |
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We are we are fully declining further comment here. We do not have to say that. If you do not hear from us. It means we are declining 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 |
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