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[Locked] - Replay Chart DOM leads the chart

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[2018-11-12 18:29:24] #1 [Go To First Post]
User104854 - Posts: 441
When I replay a chart, whether it's standard or accurate mode, the chart DOM bid and ask prices will lead the chart and they will not always be in sync. I'll typically see the DOM jump up with the bid/ask line on the chart staying where it is and then following it moments later. Is there a way to have them both be in sync? Thanks.

[2018-11-12 19:00:29] #2 [Go To First Post]
User104854 - Posts: 441
Here is an image with an example. At the time I paused this replay, the Chart DOM bid is at 2762.00 and the bid on the actual chart based on the bid/ask line is 2761.75.


Chart DOM.png / V - Attached On 2018-11-12 18:57:46 UTC - Size: 227.8 KB - 369 views

[2018-11-12 19:48:39] #3 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
You must use the Sierra Chart Exchange Data Feed to solve this: Sierra Chart Exchange Data Feed Refer to: Market Depth Historical Graph: Market Depth Data Time Stamping During Real Time Updates and Replays We can assure you we are not going to respond further to this. This matter is final. 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

[2018-11-12 20:53:52] #4 [Go To First Post]
User104854 - Posts: 441
I'm not challenging this. So if I get the Sierra Chart data feed then everything will sync up during replay? Is this only moving forward with the market depth data that I record or will I have access to historical market depth data straight away that I can use on replay? I looked but couldn't find anything. Thanks.

[2018-11-13 10:46:28] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
So if I get the Sierra Chart data feed then everything will sync up during replay? Yes. We have had too many troubles with CQG market depth data timestamps and we have just given up on that and use the local computer clock instead. Is this only moving forward with the market depth data that I record Yes this is the case. The existing data will not be affected. It will remain the same. or will I have access to historical market depth data straight away that I can use on replay? No. 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

[2018-11-13 15:32:42] #6 [Go To First Post]
User104854 - Posts: 441
I signed up for the free trial of the data feed but I cannot tell if it's working. It says that it's active. I went into Data Trade Service Settings and clicked on 'Allow support for SC data feeds'. I also kept the service at CQG Web Api [trading] to have it integrated. But next to the symbol which is F.US.EPZ18 there is a [CV] and not an [M] so I don't think it's active yet. I've heard really good things about this data feed. Can you please help?

[2018-11-13 15:47:08] #7 [Go To First Post]
User104854 - Posts: 441
I got it handled. Disregard. Thank you.

[2018-11-13 21:24:47] #8 [Go To First Post]
User104854 - Posts: 441
I recorded this afternoon's data with the SC data feed (at least I think I did) and I'm replaying it now. The DOM still leads the chart on replay. Once I received confirmation that the 2 week trial was ready I just kept everything the same but clicked on 'Allow support for SC data feeds' and reconnected. Is that all I need to do? Under the symbol I've been using for CQG I have it checked to record the data. Is there a different one for this data feed that I need to check? The symbol now shows F.US.EPZ18 [CV] [M]. Is that how it should read with the [CV] in there? Perhaps there is a timestamp setting that I need to adjust so that the DOM and the chart are in sync? Sorry to have to reach out but I need some help. Thanks.

[2018-11-14 06:10:10] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
You are doing everything right but it is hard from our perspective to know the data you are replaying was actually from the Sierra Chart Exchange Data Feed based upon the time you started to use this data feed. Would be best to wait until tomorrow and use it for an entire day. And make sure you always see the [M] beside the symbol during that day. 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

[2018-11-14 13:04:27] #10 [Go To First Post]
User104854 - Posts: 441
Ok, 2 quick questions. I've spoke with someone else that has the same setup but does not have the [CV] next to the symbol, just the [M]. Is the [CV] supposed to be there? Also, I clicked on Set System date-time from server and ran as administrator and it said it was successful. It also said that the difference from computer to server is 00:00:01.106. I have the local computer setting to false. Is there a timestamp, local computer, server setting, etc, that I need to make sure is right so that everything syncs correctly? Thanks.

[2018-11-14 19:35:05] #11 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
[CV] relates to the continuous futures contract settings. When using the Sierra Chart Exchange Data Feed, the time stamping is using that feed so there is nothing special to do. We are recording market depth data ourselves today for the ES and if you notice any difference we will run a replay ourselves and see what we notice. But there should be 100% synchronization. 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

[2018-11-14 23:23:53] #12 [Go To First Post]
User104854 - Posts: 441
I recorded the data this morning and ran a replay and there is still a lag. I've provided 2 screenshots. I've highlighted the best bid/ask box in pink. You'll see in the first example that the bid/ask is off by a tick and in the second example it's off by 2 ticks. I ran the replay with a generic chart with no studies on accurate mode. I assume that the data is correct as there are 30 prices of depth on each side which I did not have with CQG. I also deleted and reloaded the data on the chart. Thanks.


Chart DOM1.png / V - Attached On 2018-11-14 23:18:56 UTC - Size: 221.37 KB - 438 views Chart DOM2.png / V - Attached On 2018-11-14 23:19:00 UTC - Size: 210.83 KB - 433 views

[2018-11-15 21:34:08] #13 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The individual best bid and ask prices are not going to always be in alignment with the market depth quantities because the best bid and ask only update at each trade. In order to ensure that those are completely in sync with the last trade price, this cannot change. The main thing we look for is the market depth data being out of alignment with the last trade price. Anytime someone brings up an issue with that, then this will be a data feed specific issue. However, we are seeing it in this case as well as we have done some testing. It is because there is not a millisecond level comparison with timestamps. We are going to fix that in the next release. But we realize, maintaining perfect synchronization is not so simple because the market depth data is only time stamped to the second and is that way for transmission efficiency reasons. So there will be some improvement but we cannot guarantee complete perfection. 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

[2018-11-15 21:43:55] #14 [Go To First Post]
User104854 - Posts: 441
Fantastic! Thank you so much. I appreciate your help.

[2018-11-19 13:18:23] #15 [Go To First Post]
User104854 - Posts: 441
I see there is a pre-release (1844) out today. I just downloaded it. Is this market depth adjustment reflected in this pre-release? Thanks.

[2018-11-20 00:53:56] #16 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes, but we did not do any testing yet. 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

[2018-11-20 01:57:30] #17 [Go To First Post]
User104854 - Posts: 441
From what I can tell it still appears to be the same as before. I'm curious how it will look on your end when you test it.

[2018-11-20 04:26:15] #18 [Go To First Post]
User104854 - Posts: 441
Could there possibly be a manual adjustment added to increase or decrease the DOM timestamp so that everything lines up with the chart during replay? If I determined that my DOM leads my chart by say 500 ms then I could adjust the DOM -500 ms so that it lined up with the chart during replay. I'd basically play around with it until it was in sync. Difficult to backtest otherwise. Maybe not a bad idea since the data providers have various timestamps. I know you guys are working on it. Just a suggestion. Date Time Of Last Edit: 2018-11-20 04:30:56

[2018-11-21 09:21:20] #19 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We have not yet had a chance to look into this. We will as soon as possible. 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

[2018-11-27 00:39:35] #20 [Go To First Post]
User104854 - Posts: 441
Do you know when you think you'll have a response on this? I only ask because my trial of the SC data feed is ending soon and I'd rather not pay for a full month without having tested this. If it is going to be awhile then I'll just go back to CQG and try again once you're finished. Thanks.

[2018-12-07 21:24:19] #21 [Go To First Post]
User104854 - Posts: 441
Hi. Can you give me an update on this please? A few weeks ago it sounded like you were close to having it resolved. Thank you.

[2018-12-10 03:22:00] #22 [Go To First Post]
User104854 - Posts: 441
Are you unable to fix it?

[2018-12-10 03:46:35] #23 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The most precise solution to this is actually very involved and not likely to be completed for six months from now. You will still always get the best result with the Sierra Chart Exchange Data Feed. But if you want to use CQG data that is fine. It does not matter to us one way or another. 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

[2018-12-10 04:53:36] #24 [Go To First Post]
User104854 - Posts: 441
I appreciate that. So if I stick with CQG can you tell me the best way for me to get it to work the best way possible? With the market moving fast these days the chart and the DOM on replay can be off by 4 or 5 prices. I have no idea what to do about the timestamp. I'd rather not use my local computer as I'm sure it changes from time to time so I have it set to FALSE. What settings can I make so that it's close? I have 'connect to market data server' set to TRUE. Do you recommend that? Thanks.

[2018-12-10 19:12:44] #25 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Now the 6 month estimation is very likely an overestimate. We just do not want to provide misleading information. We have no further advice other than what is documented in regards to your question above. The market depth data from CQG will always use the local timestamp. I have 'connect to market data server' set to TRUE. Do you recommend that? Yes if you will be using the CQG data feed. Otherwise no. 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: 2018-12-10 19:12:53

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