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Date/Time: Fri, 29 Mar 2024 15:11:14 +0000



Out of order problems ?

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[2019-09-04 11:07:49]
wwwingman - Posts: 185
Hi,

I had A LOT of out of order timestamps problems during august, and it seems to continue now in September.
They happen on 3 different machines / locations / networks.
Please be aware I am very careful on the setting of the time zone and the date/time synching.

I am using Windows (10 or 2016 server), recent Sierra (1983), and IQFeed (6.0.1.1) on all three machines.

During the past 5 years I saw those kind of problems on rare occasions and it was always solved immediately with a simple redownload.
But what is happening during the past weeks is consistent and very harmful to my platform.

The sync problems seem to occur on different hours, and different markets. sometimes on all markets I look at, sometimes on just a few of them. I do see the 7PM CET (19:00 Chicago time) as a time where those problems occur more often and on a daily basis.

I have no idea if the problem comes from my machines, my sierra, or IQFeed.
I believe to have read all the related documentation on the sierra website.
As far as I know, the different internet feeds we use are very reliable, and again, some of the markets have no problems in reeving the data and have no out or order problems. I also looked at the IQFeed log and find simply nothing special.

Enclosed-by a simple chart I use to see the problems appear.
http://www.sierrachart.com/image.php?Image=1567592045278.png
And also a log f yesterday that illustrates the problem.

Please advise.

-- W.
Private File
Private File
Private File
[2019-09-05 00:57:40]
Sierra Chart Engineering - Posts: 104368
You are using IQ Feed :
Current selected Data/Trading service: IQFeed | 2019-09-03 06:23:29.962

In the case of this data feed all time stamping is from the data feed itself . So contact IQ Feed about this. You will not have this problem with these data feeds:
Sierra Chart Exchange Data Feed

Denali Exchange Data Feed

You really should use either one of them. It makes no sense at all to be continuing with IQ Feed even if you use it for other programs. You can continue to use IQ Feed for other programs but in Sierra Chart use our own data feed. Our data feeds are so cheap, and there are so many other advantages, the additional cost is worth it if you decide to continue with IQ Feed for other programs.
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: 2019-09-05 00:59:15
[2019-09-13 09:00:53]
wwwingman - Posts: 185
Hi, I am pursuing my analysis and discover some of the errors I detect may be related to the difference in behavior of the Add Symbol study and the Overlay study.
Here is a screenshot in which the same market is added, with add symbol and with overlay. You can see they do not draw the same data.
http://www.sierrachart.com/image.php?Image=156836510891.png
Enclosed by the chartbook.

There is no out of order timestamps erros in the logs and the out of order detector does not show errors neither.
I had this on multiple markets.

The only solution here is to delete the data of the JY.

Please advise.
attachmentAddSymbolVsOverlayError.Cht - Attached On 2019-09-13 08:59:57 UTC - Size: 70.28 KB - 365 views
[2019-09-16 10:01:59]
Sierra Chart Engineering - Posts: 104368
We do see near the end of the chart the Add Additional Symbol study is not loading any additional data as compared to the overlay study at the bottom. If Chart >> Reload and Recalculate does not resolve this but fully re-downloading the data for that symbol does, then there is something wrong with the underlying data which would likely be a problem with timestamps.

We are just not providing any further help with IQ Feed or doing any further development. All development with IQ Feed has ceased.
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
[2019-09-16 11:17:43]
wwwingman - Posts: 185
If Chart >> Reload and Recalculate does not resolve this but fully re-downloading the data for that symbol does, then there is something wrong with the underlying data which would likely be a problem with timestamps.

reload and recalculate does not solve the problem. redownloading does solve.

We are just not providing any further help with IQ Feed

Sorry to hear that. But, thank you for this information.
If possible, I would be interested to know why (can be private msg). I am not affiliated in any way to IQFeed but it is an important part of my platform so ...

For other Sierra users, if interested or having the same problem:

The out of order timestamp I encounter happens on a daily basis at specific hours.
It happens on multiple markets, but not necessarily the same markets.
For ex, in happens on ES almost everyday, and on CL / NQ / JY here and there.

When such a problem occurs it looks like this:
A certain point of the day we get timestamps "from the future". After that, it comes back to normal.
It looks like this :
T : Timestamp DateA:TimeX
followed by
T+1 : Timestamp DateB:TimeX
TimeB is greater (newer) than TimeA.

For ex, on 5 mn bars, on september 15 you get around 19:00 to 19:05 timestamps like this:
T. Timestamp september 15 18:55 ...
T+1. Timestamp september 16 19:00 ...
T+2. Timestamp september 15 19:00 ...
T+3. Timestamp september 15 19:05 ...
The out of order occurs because T+2 is an "older timestamp" than T+1.

Please note the error seem to occur on specific hours. For ex, for ES at 19:00 (CET), same for NQ. For other markets it can be 19:00 or 17:00.
On a side note, it seem to also happen on a more random basis on rollover days.

I have been unable to solve the problem on my side, cannot spend my time reloading charts everyday (I need live charts 24h/day).
This kills reliability and will lead, soon, to changing my feed.
Date Time Of Last Edit: 2019-09-16 11:18:01
[2019-09-17 10:03:23]
Sierra Chart Engineering - Posts: 104368
Sorry to hear that. But, thank you for this information.
If possible, I would be interested to know why (can be private msg). I am not affiliated in any way to IQFeed but it is an important part of my platform so ...
There is no secret about this. The reason is very simply that it creates an unnecessary support burden (Exemplified by this post), and unnecessary development burden. The Sierra Chart provided data feeds, provide everything that IQ Feed does, for nearly all users, highly optimized designed for Sierra Chart, and work in a superior way. And we mean a very superior way in so many areas.

There simply is no reason for us to be supporting IQ Feed anymore. The only reason would be that you are using it with other programs, but in that case our data feed is so cheap, that the extra cost is of little consequence but we do understand that when there are exchange fees, that those have to be paid again for our data feed and also for IQ Feed. But that of course simply goes to the tyranny of the exchanges. And we are certainly not going to be supporting IQ Feed to accommodate absurd exchange fee policies.

Why are you even having any problems with timestamps with IQ Feed? This whole thing makes no sense. You are experiencing timestamp problems, with CME data. But yet Sierra Chart directly integrates with the CME multicast feeds, and we know for a fact, there simply are no out of order timestamps that come from the CME. Even in the case where there is a trade correction, assuming that they even send those, It does not appear even those timestamps would be out of order according to the timestamp field from the CME:
Start of event processing time (UTC). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

As we started to review the code for IQ Feed timestamp, we see just how poorly done timestamps are from IQ Feed. They do not even give a date. The date is a separate message. And sometimes a date does not even correspond to the timestamp and we have to adjust it appropriately. This may even be where the problem is. But this is just not well done on the IQ Feed side.

And we see no field which indicates a correction either.
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: 2019-09-17 10:06:32
[2019-09-17 10:43:53]
Sierra Chart Engineering - Posts: 104368
The only way we can describe IQ Feed is that it is antiquated. The technology behind the Sierra Chart data feeds is so much more advanced.

For example, with IQ Feed, the timestamps are US Eastern rather than a proper UTC timestamp which contains the date. And if they want to make the transmission efficient, then what they can do is only transmit a timestamp, when it changes.
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: 2019-09-17 16:26:07
[2019-10-04 07:45:26]
wwwingman - Posts: 185
I switched this thread to user discussion estimating SC and IQFeed did what they estimated possible or necessary regarding this problem.
Unfortunately the problem was not solved.

FWIW : Here is some more info if interested in my SC + IQFeed investitation and decisions:
* SC + IQfeed does now work reliably anymore. The problems described above happen daily and on most of my futures markets.
* Redownloading the data in order does not solve systematically the out of order problems and I have to reiterate this redownload multiple times for some markets. Problem seem to gets worse, for me. I always use the latest SC version and also a pre release just in case SC makes the decision to solve the problem.
* My other applications that use IQFeed continue to work reliably when tested in similar conditions (24h/24).
* I tested the SC real time Feed on another SC account. The SC Feed is highly reliable (more reliable than IQFeed), gives the same results (for futures), and significantly cheaper, especially when used on multiple systems. I have not tested the Denalli feed because it does not cover my needs, but I will test it in the future for other ideas I want to explore.
* I think technically SC made a tremendous platform and a great feed on a technical level. But not supporting IQFeed is a decision that is bad for my business.
* I am not renewing this SC account BUT will continue with the other SC account I have, with the SC real time Feed.
* For more information, or if you want to contact me regarding some of my tools (like the ECIVwap 4 tools etc..) please PM me.
[2019-10-04 08:18:09]
Sierra Chart Engineering - Posts: 104368
* SC + IQfeed does now work reliably anymore.
Does or does not? We assume that you mean not.

* Redownloading the data in order does not solve systematically the out of order problems and I have to reiterate this redownload multiple times for some markets.
This description tells us, that the historical data provided from IQ Feed is inconsistent between downloads. This does not make any sense. Something has gone wrong on the IQ Feed side. Nothing has changed on the Sierra Chart side in regards to this. Maybe IQ Feed has come out with a new protocol version or somehow the timestamp fields have changed. But why would there be inconsistent results when the data is processed consistently each time. We have not paid to close attention to their technical notes but we don't think anything significant has changed.

We would have to look at the historical data.

* My other applications that use IQFeed continue to work reliably when tested in similar conditions (24h/24).
Ok, we have no explanation for this.

We believe the problem relates to this that we said previously:
They do not even give a date. The date is a separate message. And sometimes a date does not even correspond to the timestamp and we have to adjust it appropriately. This may even be where the problem is. But this is just not well done on the IQ Feed side.
Maybe the other programs are using the local computer clock for the date. Rather than the level I timestamp message which contains the date.
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: 2019-10-04 09:19:12
[2019-10-04 09:16:50]
wwwingman - Posts: 185
* SC + IQfeed does now work reliably anymore.
Does or does not? We assume that you may not.

Obviously, I do not represent other users, but this is my experience, on multiple different systems.
If you believe it is not reliable anymore, maybe you should remove IQFeed from the list of supported feeds.
https://www.sierrachart.com/index.php?page=doc/Contents.php#SupportedDataAndTradingServices

Again, my only conclusion is that technically SC made a tremendous platform and a great feed on a technical level.
However, not supporting IQFeed is a decision that is bad for my business.
Finally, I am not leaving SC. I am quitting this account and will gradually use another account more heavily because of the quality and cost of the SC real time Feed.
[2019-10-04 09:20:16]
Sierra Chart Engineering - Posts: 104368
We are going to look into the historical data from IQ Feed. If we see the problem it should be not hard to come up with a solution based on the additional information.
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: 2019-10-04 09:20:40
[2019-10-04 10:15:41]
Sierra Chart Engineering - Posts: 104368
Maybe you should update your IQ Client software. We are running 6.1.0.20.

We just tested 90 days of historical data for November CL and December ES and QCL#, and the data is just fine. Nothing wrong with it at all. It is clean.
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: 2019-10-04 10:33:48
[2019-10-04 10:33:43]
wwwingman - Posts: 185
Maybe you should update your IQ Client software. We are running 6.1.0.20.

I am running the same version of IQFeed.

We just tested the historical data for November CL and December ES and QCL#, and the data is just fine. Nothing wrong with it at all. It is clean.
The problem does not occur on historical data.
It happens on real time data.
I suggest you use the chartbook I provided in the first post of this thread. Leave it to run multiple days on real time WITHOUT redownloading data during the week.
You should start seeing out of order timestamps on QCL#, @ES#, @YM#, @JY# etc... on a daily basis, at around 19:00-19:05 (CET). This does not happen on Fridays, but does happen other trading days (you should see them on sunday evening...).
One you have the timestamps errors redownload part of the data (for example the latest 3-4 days).
Date Time Of Last Edit: 2019-10-04 10:34:44
[2019-10-04 10:43:23]
wwwingman - Posts: 185
Another thing : Start of next week, I will provide you a video where you can see a test chart of the most recent time stamps errors, and the multiple attemtps to reload the data until it if ok again.
[2019-10-04 10:47:54]
Sierra Chart Engineering - Posts: 104368
But then if it is not affecting the historical data why do you have to keep re-downloading the data multiple times to correct it? That makes no sense. You do not have to answer this question . It could be there is a problem with the starting point of the download due to the out of order data.

We think the problem is as we said above. Because there is no date with trades we have to figure the date out and sometimes it is calculated incorrectly for reasons which is not clear. We think there still is something that has changed on the IQ Feed side which is triggering the problem. But maybe they have since added a date to each trade message. We do observe some different dates in the message but it might not be a trade date.
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: 2019-10-04 10:48:32
[2019-10-10 20:23:13]
Sierra Chart Engineering - Posts: 104368
We think we have the problem now resolved. We do see that IQ Feed provides a trade date in the level 1 update message.

We are not sure why that was not used before but the integration to IQ Feed goes back a long time ago like more than 13 years ago. Although there have been updates over the years but not for a long time.

It is possible back when the original work was done, the trade date field was not present or determined not to be reliable for some reason. The only thing we are not sure of, is whether we need to use a different field for trades which are considered extended trades like stocks trading after hours. So we have to see about this. This will be out in version 1978.
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: 2019-10-10 20:24:28
[2019-10-13 12:44:33]
Sierra Chart Engineering - Posts: 104368
Test version 1998 and see if you still have a problem. We are not sure about evening session trading for stocks whether there will be a problem or 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

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