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Date/Time: Mon, 24 Feb 2020 15:09:43 +0000



Question real-time futures data feed

[2013-12-05 17:42:51]
Corefan - Posts: 13 | Ending Date: 2017-06-22 [Expired]
Hello SC Support
ver1058 nonCLR
SC CME RealTime DataFeed / Zen-Fire

I see some inconsistencies using T&S for CLF4-NYMEX /pls. see the picture/
There were some trades at the bid but(and) above the ask and vice versa.

Would you please consider the issues to resolve them.

Thank you.
Date Time Of Last Edit: 2013-12-05 17:44:59
imageCos12.PNG / V - Attached On 2013-12-05 17:43:59 UTC - Size: 95.87 KB - 238 views
imageCos22.PNG / V - Attached On 2013-12-05 17:44:18 UTC - Size: 90.17 KB - 333 views
[2013-12-05 17:44:57]
Sierra Chart Engineering - Posts: 81406 | Ending Date: 2020-06-09
We do not see any picture attached. Furthermore, the data feed is accurately provided as it comes from the CME. So there is not anything for us to fix. Although it is not clear at this point what you are trying to show.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2013-12-05 17:45:30
[2013-12-05 17:49:13]
Corefan - Posts: 13 | Ending Date: 2017-06-22 [Expired]
added pictures
[2013-12-05 17:52:12]
Sierra Chart Engineering - Posts: 81406 | Ending Date: 2020-06-09
We do not see anything attached.

After you select the files, you need to press the Upload button. Refer to the documentation here:
http://www.sierrachart.com/index.php?l=doc/PostingInformation.php#AttachFile

Update: We now see you attached them to the original post. We have responded in post #9.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2013-12-05 19:35:13
[2013-12-05 18:22:08]
ganz - Posts: 965 | Ending Date: 2019-04-28 [Expired]
SC Support

He's trying to bring your attention to the last/bid/ask values:

T&S #3 /cos12.png/:

last 97.58

bid 97.54

ask 97.55

and so on

Thank you.
[2013-12-05 19:00:10]
Sierra Chart Engineering - Posts: 81406 | Ending Date: 2020-06-09
We are not seeing a problem. The data looks good to us:
http://www.sierrachart.com/image.php?l=1386269999663.png

Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2013-12-05 19:13:52]
Corefan - Posts: 13 | Ending Date: 2017-06-22 [Expired]
http://www.sierrachart.com/image.php?l=1386269999663.png

13:59:52.004 97.70 vol 2 Bid trade Bid- 97.69 Ask 97.70

Is that correct?
[2013-12-05 19:26:19]
Sierra Chart Engineering - Posts: 81406 | Ending Date: 2020-06-09
Yes, we believe this is correct because we use what is known as the "Aggressor" field in the fast fix feed from the CME to determine whether the trade was at the bid or the ask. This is going to be the absolute most accurate way to determine this. This is one advantage when using the Sierra Chart real-time futures data feed.

Due to the timing of the transmission of the bid and ask data from the CME, there could be a slight discrepancy sometimes, when you actually compared to the bid and ask prices.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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Date Time Of Last Edit: 2013-12-05 19:29:17
[2013-12-05 19:33:10]
Sierra Chart Engineering - Posts: 81406 | Ending Date: 2020-06-09
We are looking over the first image now added to post #1. Not certain about the why the bid and ask prices were not correct earlier. That appears to have been a CME data feed problem. But we will think about if there is anything that could possibly be on our side .

In regards to the second image as to the identification of whether it is a Bid trade or Ask trade, once again we use the aggressor field and that this is the most accurate way.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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Date Time Of Last Edit: 2013-12-05 19:34:02
[2013-12-05 19:38:02]
ganz - Posts: 965 | Ending Date: 2019-04-28 [Expired]
Corefan

FYI: http://www.sierrachart.com/SupportBoard.php?PostID=17971#P17971

We would also like to comment on Cumulative Delta-Volume with this new Sierra Chart real-time futures data feed.
The CME data feed provides a field called "Aggressor". We use this field, to identify whether a trade is considered at the bid or ask.

...

Using this field is the definitive method to do this rather than comparing the last trade price to the bid or ask. This aggressor field is passed straight through from our server which gets it from the CME data feed, into Sierra Chart.

We have noticed that the Cumulative Delta values are slightly different than IQ Feed. The graph appearance is the same. Therefore, what we provide is the definitive reference and is 100% accurate. You cannot achieve any better accuracy than what the Sierra Chart data feed offers.

Looks like there is no hard link to a last price in this case.
This is something new for anybody who reads a T&S. Hm...m
[2013-12-05 20:59:08]
ganz - Posts: 965 | Ending Date: 2019-04-28 [Expired]
SC Support

Also there is some info that SC RtDf /Nymex/ is lagging to zen-fire.

Are there any intentions to test Nymex datafeed on your side?

Thank you.
[2013-12-05 21:11:11]
Sierra Chart Engineering - Posts: 81406 | Ending Date: 2020-06-09
We have seen evidence of a problem earlier today which lasted a few minutes which looked like it would cause a lag or an interruption in the feed and we are looking into it.

We do not observe any issue at this time. Do you?
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

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Date Time Of Last Edit: 2013-12-05 21:11:43
[2013-12-06 06:36:28]
Sierra Chart Engineering - Posts: 81406 | Ending Date: 2020-06-09
Please let us know if you notice any lagging problems. We did some software updates early this morning and corrected a minor problem.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2013-12-06 11:12:46]
Corefan - Posts: 13 | Ending Date: 2017-06-22 [Expired]
Hello SC Support

I will test the feed today during the high market activity period.

Looks like T&S depends whether MarketDepth Window / TradingDom Window was opened /MarketDepth data/.

If this is the case then it may be the reason to get some inconsistencies for T&S.

Thank you.

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