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SC vs IQFeeD Data Feed

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[2013-11-25 14:02:21] #1 [Go To First Post]
TI Anon - Posts: 36
There is a significant difference in DV(daily volume calc). v 1051 Date Time Of Last Edit: 2013-11-25 14:03:41


dv sc v iq.bmp - Attached On 2013-11-25 14:02:06 UTC - Size: 276.17 KB - 506 views

[2013-11-25 15:07:37] #2 [Go To First Post]
TI Anon - Posts: 36
Another look...


dv sc v iq002.bmp - Attached On 2013-11-25 15:07:27 UTC - Size: 292.92 KB - 482 views

[2013-11-25 15:27:05] #3 [Go To First Post]
TI Anon - Posts: 36
Updated to v1052, diff even larger.


dv sc v iq003.bmp - Attached On 2013-11-25 15:26:58 UTC - Size: 314.12 KB - 428 views

[2013-11-25 15:53:00] #4 [Go To First Post]
alex@n - Posts: 20
what to believe anymore?.... in this case IQ -- more precisely Globex Vol-- http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500.html

[2013-11-25 15:57:04] #5 [Go To First Post]
TI Anon - Posts: 36
now = Date Time Of Last Edit: 2013-11-25 15:57:28


dv sc v iq004.bmp - Attached On 2013-11-25 15:57:24 UTC - Size: 316 KB - 492 views

[2013-11-25 15:58:50] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Only one posting is enough. We will solve this problem at the end of the day today. It is not specific to any particular Sierra Chart version. 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

[2013-11-25 16:47:30] #7 [Go To First Post]
TI Anon - Posts: 36
Sorry for the extra posts including this one but.... Followed your posts re:SC feed vs. Iqfeed in " Announcement: New Sierra Chart Real-Time Futures Data Feed (CME, CBOT, NYMEX, COMEX data)", knew there were intraday differences you either didn't report or weren't aware of. My one post in "Daily Volume problem with CME Data Feed" on Friday got your response "This will be resolved with a software update this evening." As we are coming to the end of the month, I have to make a decision on whether to keep you data feed or not. It ,also, is annoying to change data feed settings and reload SC during the middle of the day, which I have been doing when significant difference have been observed. If I wasn't interested in SC being the best it could be I wouldn't even bother alerting you to problems I have observed.

[2013-11-25 16:54:01] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The previous problem with the daily volume number that you mentioned actually was solved on Friday. However, we see there is another part to this problem and it has been corrected now and there will be a new update this evening. The problem with the daily volume is a very minor issue which has a very simple solution to it. It does not affect the accuracy of Intraday charts in any way whatsoever. 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

[2013-11-25 17:05:27] #9 [Go To First Post]
TI Anon - Posts: 36
I have not seen any price differences, however.. I have noticed differences in Bid/Ask depths I thought were related to the DV problem. Documenting those are more difficult to capture, as I have seen them only after I have switched data feeds. I have not seen any price differences.

[2013-11-25 17:09:48] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
What kind of differences? The Sierra Chart real-time CME futures data feed is going to be more accurate than other data feeds because we not filter the depth. We have high confidence in what we are offering. 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

[2013-11-25 17:26:05] #11 [Go To First Post]
TI Anon - Posts: 36
I use studies that compare bid /ask depths at price levels with alerts for different parameters. After switching data feeds, I have seen, the alerts change. This is hard to document, however I'll try and figure a way.

[2013-11-25 17:37:52] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
You may very well see a difference. What Sierra Chart is providing for market depth should be more accurate. Although it depends upon the particular problem. If you see differences in the volumes at different market depth price levels, what Sierra Chart is showing is the most up-to-date accurate values. 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: 2013-11-25 17:38:58

[2013-11-25 17:40:42] #13 [Go To First Post]
TI Anon - Posts: 36
Packet loss has no effect?

[2013-11-25 17:42:09] #14 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
There is no more packet loss. This problem was solved as we said. 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

[2013-11-25 17:47:15] #15 [Go To First Post]
TI Anon - Posts: 36
And DV is totally unrelated to packet loss?

[2013-11-25 17:56:24] #16 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Completely unrelated. 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

[2013-11-27 16:43:44] #17 [Go To First Post]
TI Anon - Posts: 36
not = Date Time Of Last Edit: 2013-11-27 16:44:58


dv sc v iq005.bmp - Attached On 2013-11-27 16:44:49 UTC - Size: 317.51 KB - 452 views

[2013-11-27 17:58:07] #18 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We are not quite sure how IQ Feed is doing it, but as the daily volume updates come through on the CME data feed, we do pass them immediately through to Sierra Chart. Additionally, as trades occur, we update the daily volume incrementally by the size of the trade. So if the daily volume message from the exchange is not provided at every trade, then you will still see the daily volume increment. There is what is called a snapshot data feed from the exchange that we only monitor every 15 minutes. So if the daily volume is updating more frequently there, then it will not be passed through more often than 15 minutes. As a practical matter, what does it matter if you notice it slightly behind another 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

[2013-11-27 18:02:55] #19 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The Daily volume to our understanding includes implied trades. We do not process the implied trades . If we did process those and increment the daily volume by those trades, this probably would make the value more up-to-date. Nevertheless, each update of the daily volume being sent by the exchange over the standard incremental feed is being passed through to Sierra Chart. And is the incremental feed, which provides the most fastest updates. So really, we are doing it correctly at this time. 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

[2013-11-27 22:13:25] #20 [Go To First Post]
TI Anon - Posts: 36
Why are using a daily volume comparison in " Announcement: New Sierra Chart Real-Time Futures Data Feed (CME, CBOT, NYMEX, COMEX data)"? Years ago I cancelled my subscription to Ensign because they were not concerned with discrepancies in their software. Your explanation above reminds me of that attitude. If you don't think this is a concern then I will go back to using Iqfeed. Please do not charge my account for next month's CME charge. And, we can put an end to this discussion. Unfortunately, I reloaded my account's Additional Service Balance yesterday in anticipation of using SC's feed due to your previous response of "a simple solution" and having this fixed. So, either process a refund or put it toward my Service Package subscription. (As an added point, I have noticed that your feed lags Iq on my system, it is very slight but noticeable from time to time when running them side be side. I only mention this as it will probably be my last opportunity to give feedback on their differences.)

[2013-11-28 04:28:20] #21 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
You are misunderstanding this. The daily volume comparisons we are doing is a summation of every single trade received in real-time for an entire 24-hour period. It measures the accuracy of the data feed. We are not using the exchange reported daily volume. Such a comparison would be absolutely meaningless , a phony comparison and dishonest. There would always be a match in that particular case at the end of the day. The daily volume number that you see comes from what is called the snapshot data feed and it is incremented from the volume of trades received in real-time. We have confirmed this. Apparently the CME is not sending through the total daily volume on the incremental data feed. What we have determined, is IQ Feed is also adding in the implied trades to the total daily volume number. Even though they do not send those down the data feed and neither do we. Those are never included into the chart. Periodically Sierra Chart does pass through the daily volume from the snapshot feed which should be identical IQ Feed. If not, then IQ feed is wrong. We are quite sure the difference has to do with implied trades that neither Sierra Chart or IQ Feed pass down the data feed. These are not seen by you, and they are not included in the chart. This is why we questioned the practical significance of this. Even though sometimes you have seen daily volume number being slightly behind IQ Feed at times, does not mean that trades are being missed. They are not. We have proven that our data feed is as good as and better than IQ feed in our testing. The difference has to do with implied trades which are not sent down the data feed to begin with. If we did not have a concern about a discrepancy, we would not have spent many hours of time looking into this matter and resolving it. There was a problem originally and it was resolved. And at no time, did this have any effect upon the trades received and the charting. So what we are going to do is start to add into the daily volume number the volume of the implied trades. But those implied trades will not be sent through the data feed. As far as the appearance of lagging, you need to reduce the Chart Update Interval for a fair comparison. Refer to help topic 4 here: Http://www.sierrachart.com/index.php?l=doc/helpdetails4.html Since the release, there have been zero users who have reported a lag other than this report, and we also know with how everything is designed, that a lag would not even be perceptible because it is in the microsecond range. We have a very low latency connection to the exchange, the data servers are in a good data center in Chicago, and the servers are extremely fast with almost no load on them at this time. So if someone says there is a lag, there must be some other explanation going on and it will not mean much to us unless there are numerous ongoing reports of it. Which there are not. 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: 2013-11-28 04:58:16

[2013-11-28 05:08:03] #22 [Go To First Post]
ganz - Posts: 1048
TI Anon Hi I've tested IQFeed vs CTS FIX vs SC RtDf as well. SC RtDf is the winner at this moment in terms of connection stability and amount of ticks. Also we've tested US stocks daily data from IQFeed and there were some issues with price data ~0.3% (L>H \|\| C>H \|\| C<L and so on). So IQFeed is not a standard and I prefer to stay with SC RtDf. :) Date Time Of Last Edit: 2013-11-28 05:11:28

[2013-11-28 05:17:15] #23 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
What we have observed, is they do pass through the daily volume on the incremental feed, but at a slower frequency so when that comes through, we are relaying it out to Sierra Chart. We knew we were passing this through, so we figured the discrepancy must have something to do with implied trades and the incremental CME feed was not including those in the total daily volume. I think they are including the implied trades in the daily volume number but because the daily volume updates come through at a slower frequency this is the reason why at times the daily volume is slightly behind IQ Feed. Nevertheless, we questioned the practical significance of this because the difference you are seeing is very small and due to the implied trades, And has no effect upon the charting. Additionally, we have also found that there is a volume field with every trade on the incremental feed that we will pass-through to Sierra Chart if the volume value is greater. This change will be out by the morning. But only on one of the servers until we can confirm everything is working properly. 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: 2013-11-28 05:23:03

[2013-11-29 16:17:38] #24 [Go To First Post]
TI Anon - Posts: 36
My focus is to use the best charting software available, which I believe to be SC. I only report problems that do not appear to be specific to my system. For example, if you run 2 instances of SC, one with SC's CME feed and the other with Iqfeed(making sure all update settings are equal) and open up T&S window for the ES on each and compare the update of the Top ask column(since it is closet to the edge of the window), you will be able to observe a difference(if there is one)in how the 2 feeds increment the field. On my system, I can observe a difference that is perceptible to my eye. They both end up at the same number but the IQfeed appears to increment on every change, where the SC CME feed appears to increment in bundles. Is this a "practical" difference? I don't know. Is this a difference in the data feeds or how SC handles the data? I don't know. If I think it might effect my trading, I report it. I think it is for every individual to decide which they prefer.

[2013-11-29 17:59:21] #25 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
If you want to cancel the Sierra Chart Real-time Futures Data Feed, do so here: https://www.sierrachart.com/usercp.php?page=Features Once you are billed at the start of the month, there are no refunds that we will make for 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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