Login Page - Create Account

Support Board


Date/Time: Sat, 24 Aug 2019 12:30:14 +0000



Question about Denali Data Feed and exchange-traded spread symbol scale

Support Request:
[2019-08-10 23:46:22]
ErikT - Posts: 79
I deleted my prior support request on this subject last week because your comment about setting the multiplier in AddAdditionalSymbol study settings seemed to address my issue. But after considerable further research, I'm convinced there is a real problem here. This occurred after switching from CQG to Denali feed on SC 1971. Symptoms:

1. When creating charts using exchange-traded spread symbols as their primary symbol, SC 1971 intermittently displays the price in x100 scale. I have been extra diligent to navigate the GET SPREADS tree in File>>Find Symbol rather than just typing the symbol free-hand to make absolutely sure the symbol is correct. Sometimes is displays correctly, sometimes not. So far I can find no pattern to predict when the error will occur. I can find nothing in F5 chart settings equivalent to the 'multiplier' that solved the problem in the AddAdditionalSymbol study. Once this happens, the only solution I can find is to delete the chart and try again until it displays correctly. Once it does, it doesn't seem to change back after that.

2. In the attached screen grab of a quoteboard full of 1-month CL spreads, some symbols display correctly but seemingly randomly, others are x100. I can find no setting on quoteboard to change the multiplier to make them correct. Also, this quoteboard was loaded from a .SymbolList (also attached) which contained more symbols than the Quoteboard displayed. I can't tell if the problems are related but apparently it stopped short of loading all the symbols in the symbol list file.

3. When using exchange traded spread symbols with AddAdditionalSymbol, it works fine (without the need to manually set the multiplier) on historical charts, but not on intraday charts, where the problem can be remedied by setting the multiplier to .01. Seems weird that one would work but not the other.

Thanks in advance!
imageSpread QB.JPG / V - Attached On 2019-08-10 23:29:21 UTC - Size: 352.04 KB - 40 views
Private File
[2019-08-11 06:10:34]
Sierra Chart Engineering - Posts: 75442
We just want to make a quick comment, the spread values, are sent in an unadjusted format as they come from the exchange and then there is a multiplier applied which comes from the security definition data. But if the instrument data from the CME does not contain the right values to set that multiplier, then the spread prices will be in an unadjusted format and will be larger.

This will momentarily be the case for any existing data until the security definition data is received. This will be the case when you open existing chart data and before the security definition data is received.

Anyway, we will get to this thread as soon as we can but allow a few days. And please do not post anything further.
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.
[2019-08-14 07:32:43]
Sierra Chart Engineering - Posts: 75442
What we have done is we have preset the CL spread symbol settings with a real-time multiplier of .01 so there is always consistency with the price formatting under all conditions.

Follow the instructions here to update the Symbol Settings:
https://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php#UpdateSettings

Also the SymbolList file you attached has 27 symbols in it. It looks like it matches up with the number of symbols in the quote board you attached as well.
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.
Date Time Of Last Edit: 2019-08-14 07:32:59
[2019-08-14 17:28:43]
ErikT - Posts: 79
The plot thickens...

Did as you advised, successfully updated settings. Since the CHART problems were intermittent, it will take time to know for sure if this fixed everything built into SC.

But meanwhile... I'm working with a programmer on a custom project (DTC-based). We are both on SC 1971 and we are both on the Denali feed. Only difference is I have SC ORS to my Advantage account; he got the $25/mo version with no trading permissions. When HE runs a test client, the DTC server is returning CL prices in dollars with decimal cents ($xx.yy) to him, but the same code running on my system returns prices on the exact same symbols in $xxxx format (times one hundred, or priced in integer cents rather than float dollars and cents).

This is the same both before and after following your guidance here to update the symbol settings. It's causing huge issues since we are passing code back and forth and the SC DTC server is giving him different results than it's giving me. Any idea how we can fix this?

Thanks!!!

p.s. the symbol list thing was in fact user error on my part. Please forgive the false alarm there.
[2019-08-14 17:39:40]
Sierra Chart Engineering - Posts: 75442
Since the CHART problems were intermittent, it will take time to know for sure if this fixed everything built into SC.
This change is also only going to apply to the new charts after updating symbol settings unless you apply them to the chart:
https://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php#UpdateChartSettingsSteps

When HE runs a test client, the DTC server is returning CL prices in dollars with decimal cents ($xx.yy) to him, but the same code running on my system returns prices on the exact same symbols in $xxxx format (times one hundred, or priced in integer cents rather than float dollars and cents).
Yes this does make sense because the price formatting is different between these two services. It is going to depend upon the primary connected service in Sierra Chart. We do not think you should have any trouble working out a solution. We cannot advise what that would be because we do not know exactly what you are doing.

We thought about this very carefully when we were putting together the TT based order routing service and we felt it is best just simply to leave pricing in the original format that TT requires rather than applying a multiplier on the server side, at order transmission time which could run the risk of an invalid price if we do not have the multiplier settings correct. Now the risk is just minimized individual users if they have incorrect settings.
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.
[2019-08-14 17:53:14]
ErikT - Posts: 79
Ok, reading between the lines, I think you are saying that the Denali feed you guys built is designed right (no surprise given you guys did it). But the Denali/TT feed is quirky because of dumb stuff that TT did that is outside your control. Please tell me if I'm reading too much into this.

Frankly, the only reason I got Denali/ORS was because it was $5/mo cheaper and it was easy to hook it up to my Advantage account. It would not be a big deal to just dump ORS and pay the extra $5 for your version of Denali feed.

You are correct that we could easily use some conditional code to divide the price by 100 on my system but not on his system, but frankly it's starting to feel like we're building kludgey software just to accommodate TT being a screwy feed. Would you advise dumping TT/ORS and just paying five bucks a month more for your feed? The extra five bucks a month would be paid for just by not having to support the conditional code...

If the issue is SOLELY this need to conditionally divide TT-sourced prices by 100, and you are confident we will not run into OTHER issues down the road, you're right this is easy to fix now with a conditional div/100. But if this TT feed could lead to other problems, I think I'd rather just stick with what you guys designed. Presumably that would solve the charting problems I'm having as well, since it sounds like your version of Denali delivers the data the same way CQG did, which is what all my charts were designed around.

Thanks so much!
[2019-08-14 18:20:15]
ErikT - Posts: 79
UPDATE: I just realized I need to keep access to the TT/ORS feed because I want to get rid of CQG and I still need a way to manually submit orders.

I propose the following (maybe it's already supported, not sure?):

1. Charge me the the higher price of $25/mo for Denali
2. For that single subscription, allow me to run two installations of SC on the same system; one on Denali/SC for DTC projects and the other on Denali/TT for order entry

Does this work for you guys? Like I say, doing the one-time conditional code divide by 100 isn't that big of a deal, but my gut sense is the version of Denali that works best is the one you guys designed, and I'd rather have both me and my programmer on the SAME feed. Otherwise I fear more surprises are in our future. If you'll allow the above that solves everything.

Thanks!
[2019-08-15 16:56:14]
ErikT - Posts: 79
My charting problems using SC1971 with the Denali/TT FIX ORS feed are only getting worse, not better, after following the instructions given here.

Attached file "CL Spreads CQG Feed.jpg" contrasted with "CL Spreads Denali Feed.jpg" shows an example of just one of the charts showing identical symptoms. The big price dislocations in the Denali version which go off-screen are all excursions to x100 prices that never happened. In other words, in the period Aug. 12-Aug. 15, there were actual prices like $0.32 that got processed (and are still charting) as $32.00. Probably important: During loading of the .CHT, I noticed the price scale jump from x100 to correct at one point. Makes me think that during initialization some values are being marked at the x100 prices before SC resets to the correct scale for the data feed.

The history of this is as follows:
* When the chart was originally converted to SC symbol format, it worked in daily view but not intraday.
* On your direction, I changed multiplier of all AddAdditionalSymbol studies to 0.01. That temporarily allowed both historical and intraday to function as desired. But I did not have occasion to shut down and restart SC until last night, and that seems to have been the catalyst to expose new issues (see below).
* On your direction, I refreshed global symbol settings and then used the button on F5 Chart Settings to apply them to this chart.
* It seemed to work on this chart (but not newly created ones) until I shut down and reloaded SC. On the re-opening of the .CHT, this chart and most others came up with these new errors introduced. During the load of the .CHT file, it appeared to jump back and forth between price scales.
* Re-applied global chart settings to make absolutely sure they were applied to this chart, then Reload/Recalculate. No change in results.

Since the catalyst was shutting down and restarting SC, I cannot tell whether something we did per your direction in this thread contributed to breaking it, or if it was just going to break anyway on the next re-opening of Sierra Charts.

All things considered, I am very keen to find a way to use the non-TT-supplied Denali feed as my primary charting data feed. Seems the TT feed has serious problems. I still need a way to enter trades to Advantage from SC, but I could run a 2nd installation of SC on the other feed just for that purpose if necessary.

Thanks
Date Time Of Last Edit: 2019-08-15 16:57:04
imageCL Spreads CQG Feed.JPG / V - Attached On 2019-08-15 16:56:42 UTC - Size: 498.69 KB - 23 views
imageCL Spreads Denali Feed.JPG / V - Attached On 2019-08-15 16:56:53 UTC - Size: 431.09 KB - 17 views
[2019-08-15 21:26:26]
Sierra Chart Engineering - Posts: 75442
We will take all of the above as a paid support request. There are rocksolid solutions to all of the above. We can call you in the afternoon. Let us know if you want that. Cost is $0.75 per minute.
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.
Date Time Of Last Edit: 2019-08-15 21:26:45
[2019-08-15 21:59:50]
ErikT - Posts: 79
Honestly, guys, I'm dumbfounded by this response. I'm reporting that charts that worked perfectly fine with the CQG feed don't work with the new TT version of the Denali feed, and trying to work with you to find a solution to solve this problem. I've followed the direction you've given to the letter, and it hasn't helped. You say there are "rock solid solutions to all of the above", but the solutions you actually provided earlier didn't help.

Frankly, I think it's ridiculous for you to demand that we do this as paid support, but if that's what it takes to solve the problem, fine. Please call me on 954 892 5165, and I'll be happy to pay the fee if we can solve this and move forward.

Thanks,
Erik
[2019-08-16 00:06:00]
ErikT - Posts: 79
When you said you could 'call me in the afternoon', I assumed you meant Today, Thursday afternoon. It's 8pm ET and I'm still awaiting your call. Please let me know what to expect.

Thanks,
Erik
[2019-08-16 00:14:56]
Sierra Chart Engineering - Posts: 75442
Reference for call:

https://www.sierrachart.com/index.php?page=doc/DTCMessages_SymbolDiscoverySecurityDefinitionsMessages.php#Messages-SECURITY_DEFINITION_RESPONSE

DisplayPriceMultiplier
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.
[2019-08-17 01:59:33]
ErikT - Posts: 79
My understanding from our support call was that I should expect instructions on how to install a corrected version today in this thread. Is that still the plan?

Thanks!
[2019-08-17 02:39:19]
Sierra Chart Engineering - Posts: 75442
Yes. We are still working on this. Or we should say, we have not yet gotten to it, but will today.
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.
Date Time Of Last Edit: 2019-08-17 02:39:29
[2019-08-17 22:30:19]
Sierra Chart Engineering - Posts: 75442
We we did release prerelease version 1976 which corrects the incorrect prices when downloading historical daily data for exchange traded spreads in this isolated case for CL with the Sierra Chart order routing service.

But we want to do some more work on the historical daily data on the servers as well today. This is why you did not hear from us yesterday on this. So we think it is best that you just wait before re-downloading the data until you hear from us on that.

You can still update now though:
https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate
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.
Date Time Of Last Edit: 2019-08-17 22:30:47
[2019-08-17 22:41:10]
ErikT - Posts: 79
Ok, I will wait to hear from you before deleting and re-downloading historical data. THANKS!!!
[2019-08-18 23:05:29]
Sierra Chart Engineering - Posts: 75442
Just giving you an update. We are still working on the CME historical daily data on our servers. We made good progress yesterday. We expect to finish today.
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.
[2019-08-20 08:48:31]
Sierra Chart Engineering - Posts: 75442
We have finished the work with the CME Historical Daily Exchange traded spread data.

Follow the instructions here to update to the latest prerelease which is now 1977:
https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate

And then what you need to do is delete all of your existing historical daily spread data files by going to File >> New/Open Historical Chart and deleting the data files for the exchange traded spreads. After that restart Sierra Chart and as you open your charts, the data will be automatically downloaded.

Prior to July 19, the historical daily spread data is not completely perfect. There could be some sporadic incomplete bar data going back in time. Why this has occurred is not entirely clear but we completely changed the implementation of how we handle these spreads for historical daily data. However, as an alternative just use the historical Intraday data for data prior to that date, which is complete and perfect. But you can use your judgment on this. If you are just interested in the final close of the day, there should generally not be a problem.

But actually as we think about this some more, in regards to the above paragraph, we think we are making more of an issue out of this than there really is. The historical daily spread data is for the most part complete and correct.
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.
Date Time Of Last Edit: 2019-08-20 08:51:50
[2019-08-20 17:25:42]
ErikT - Posts: 79
Thanks so much for your attention to this! Upgrading to 1976 and deleting/re-loading all my historical data pretty much solved all my issues. There are still some bizzarro data anomalies around May 15th, but aside from that the charts now look clean and accurate.

Just FYI, intraday data is not reliable for extension to longer timeframes on thinly traded futures spreads. The reason is that when the spread contracts don't trade for several days, the exchange marks the DAILY settlement prices to market with an interpolation algorithm, but the intraday feed never sees that mark.

Thanks again!!!
[2019-08-20 20:00:13]
Sierra Chart Engineering - Posts: 75442
There are still some bizzarro data anomalies around May 15th
This is not clear for us. We need specific details.

, the exchange marks the DAILY settlement prices to market with an interpolation algorithm, but the intraday feed never sees that mark.
This is understood. And this makes us realize that if there is only a daily settlement, we also need to set the open, high, low, values to that settlement.
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.
Date Time Of Last Edit: 2019-08-20 20:00:21
[2019-08-20 20:17:58]
ErikT - Posts: 79
I DO NOT REQUIRE FURTHER SUPPORT ON THIS. If you want me to provide more detail on May 15 for YOUR BENEFIT, say so and I'll go digging for the details. Something is weird in the data that day and it's easy enough for me to just ignore. If YOU have a desire to take this farther, let me know and I'll try and figure out exactly which symbol has bogus data on May 15th. Again, this does not interest me unless it helps you. I'm all set.

Thanks again!

To post a message in this thread, you need to login with your Sierra Chart account:

Login

Login Page - Create Account