Login Page - Create Account

Support Board


Date/Time: Tue, 15 Oct 2019 12:24:59 +0000



bids offers closes to price on market depth historical graph

[2019-10-04 18:34:49]
user9990910 - Posts: 9
bids and offers closest to price not accurate on the this is using your sierra denali data. 2- 3 ticks out from price. compare it to CQG, or even bad rithmic data. is there plans to fix this ?
Date Time Of Last Edit: 2019-10-04 18:37:06
[2019-10-04 19:10:51]
Sierra Chart Engineering - Posts: 77135
We have little idea what you are referring to here. Can you provide a screenshot? There cannot be any inaccurate data. That is not even technically possible.

If you are referring to the bid size and ask quantities in the market depth data, the first 10 levels, that data is 100% accurate. We can assert very clearly that CQG and Rithmic if they differ they are wrong. We stand by this data. It cannot be wrong. We are the point of reference that others need to go by.
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: 2019-10-04 19:12:06
[2019-10-04 19:14:35]
Sierra Chart Engineering - Posts: 77135
But if you are referring to level 2 and 3 starting off at 1, that the depth quantities differ or perhaps in some cases the prices, potentially that could be the case but only at level 2 because we don't merge in implied depth beyond level 1. But the exchange only offers implied depth for two levels. So there cannot be any differences at level 3 and beyond.

The market depth quantities you see at level 2 and beyond are exactly what are provided by the exchange. They are unaltered.
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: 2019-10-04 19:15:07
[2019-10-04 19:18:05]
Sierra Chart Engineering - Posts: 77135
Here is more on the subject here:
https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Consolidating+Implied+and+Multiple+Depth+Books

We only merge in or combine or consolidate, level 1. But the exchange only provides implied depth out to level 2.
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.
[2019-10-04 19:24:44]
user9990910 - Posts: 9
thank you for the explanation
[2019-10-08 14:45:59]
user9990910 - Posts: 9
after using sierra denali data for a few days i can conclude that the way you guys are calculating the depth in the order book close to price is not ideal. i want to be a customer but i simply cannot. hope you can fix this in the future to have it calculated more like cqg calculates it or even horrible rithmic. will be first in line as a customer for it as i love the platform, and would love to support you guys.
[2019-10-08 15:28:12]
Sierra Chart Engineering - Posts: 77135
Why do you say that? How can it not be ideal? In what way. What Sierra Chart does is what is explained here:
https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Consolidating+Implied+and+Multiple+Depth+Books

But it is only done for the first level. We can do it also for the second level but it is just an additional performance impact.
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: 2019-10-08 15:30:06
[2019-10-08 16:57:08]
User322949 - Posts: 224
can i ask the reason you do this for level 1 ?
[2019-10-08 19:19:07]
User322949 - Posts: 224
it would be nice if you offered an option to turn this off like other platforms , thanks
Private File
[2019-10-09 18:08:38]
Shairzad88 - Posts: 2
+1
[2019-10-09 18:14:58]
trinikee - Posts: 2
+1
[2019-10-09 18:20:53]
User886711 - Posts: 3
yes it would be great to be able to switch it on and off
[2019-10-09 18:21:32]
User700573 - Posts: 2
+1
[2019-10-09 18:26:56]
saikaz - Posts: 3
I'd happily take a performance hit in order have this more comprehensive bid/offer data adjacent to current price.
[2019-10-09 18:34:57]
Sierra Chart Engineering - Posts: 77135
can i ask the reason you do this for level 1 ?
From the CME website:
The MBP multiple-depth book should be used in conjunction with the implied prices book to create an accurate book for all contracts with implied functionality.

It cannot be disabled because it happens on the server.
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: 2019-10-09 18:35:21
[2019-10-09 18:41:28]
User920076 - Posts: 2
+1
[2019-10-09 18:50:48]
User322949 - Posts: 224
i have shown you here on intergrated client , it can be switched as a good amount of people use this data for trading or auto, so please consider this for your clients , thank you
image2019-10-08_13h45_40.png / V - Attached On 2019-10-09 18:40:21 UTC - Size: 203.85 KB - 42 views
[2019-10-09 19:07:29]
user9990910 - Posts: 9
+1^ hope you guys can pull thru with this. it’s the only thing keeping me from using your data, and i want to throw money at you guys. great platform.
[2019-10-09 19:26:51]
User852559 - Posts: 4
+1, If you could please look into modifying the way this is processed it would be quite helpful. The data has been really great thus far, but this would take it above and beyond. Thanks.
[2019-10-09 22:45:20]
User918738 - Posts: 17
+1, liking the denali data but having this option will allow me and the others to see the market depth accurately. enabling this option/request would put you guys ahead of the competition. thanks
[2019-10-10 06:42:21]
eslavio - Posts: 4
+1
[2019-10-10 08:11:59]
Sierra Chart Engineering - Posts: 77135
This really really is very surprising here. We really do not know what the actual genuine practical problem is here. What is the exact problem here?

Can you honestly explain that?

We have no idea.

So you are saying you do not like a slight increase in the quantities at the best bid and ask level from the implied market depth data and that is causing you some major problem? You have got to be kidding us. Why? This is absolutely unbelievable.

This is something that happens automatically with most data feeds. This is going to be the case with CTS, CQG, IQ Feed we assume and others. And no there is no option for this with the data provided by the CQG Web API.

And we know very well that the overwhelming majority of users who think there is a problem, do not even understand the facts.

Look if you do not want to use the data feed, then do not use it. We can assure you there are no changes coming other than us possibly merging in the second level of implied depth. The main reason we just did the top level is to ensure that the best bid and ask are as tight as can be on the non-front month contracts. This is the thread about that:
https://www.sierrachart.com/SupportBoard.php?ThreadID=43788

Another thread related to this whole subject:
https://www.sierrachart.com/SupportBoard.php?PostID=187953
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: 2019-10-10 09:22:04
[2019-10-10 10:55:21]
User322949 - Posts: 224
that is the issue , there is no increase its a decrease in the best bid best ask .
[2019-10-10 11:14:38]
User322949 - Posts: 224
very clear there is a decrease in quanity not increase , and increase would make sense
image2019-10-10_07h01_56.png / V - Attached On 2019-10-10 11:07:58 UTC - Size: 134.5 KB - 27 views
[2019-10-10 11:27:07]
Sierra Chart Engineering - Posts: 77135
There is definitely no decrease. And you cannot make that judgment based on comparison to CQG. The quantity does not decrease. It will only increase. So what this tells us is simply that CQG is just wrong at the best level.

And notice how on the the best ask side they show 5 and Sierra Chart shows 12. And when you look at the three top levels on the CQG side as compared to Sierra Chart they are all different numbers but the exchange only provides two levels of implied depth but we have to check on that through actual observation rather than referring to documentation. So therefore our conclusion upon everything we see is CQG is not providing accurate depth quantities.
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: 2019-10-10 11:28:27
[2019-10-10 11:47:47]
User322949 - Posts: 224
ok so cqg , cts , rythmic , tos , iq feed , are all identical on the dom so there all wrong ? im just trying to listen to what you have to say on this. and its a clear decrease in numbers 2-3 ticks out on the bid/ask from cqg and rest are perfect . if this is the way going forward then thats fine , im not arguing im just trying to understand it cause data like that cant just be wrong !! on both sides
[2019-10-10 12:16:13]
Sierra Chart Engineering - Posts: 77135
How do you know they are all identical? That is hard to believe you have access to all of them. Anyway we will check on this so no need to say anything more.

Just allow about a week for us to validate whether there is proper merging of the implied depth data at the first level. it is easily validated on non-front month contracts because you can look at the market depth for non-front month contracts and when you see that the number of orders at either the best or ask level is 0, it means you are looking at implied depth for that level.
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.
[2019-10-10 17:19:14]
User322949 - Posts: 224
im not saying i have all of them but i do have a few , but point is i am part of a sierra chart community with hundreds of traders and that is very easy to access . i understand level 1 but no reason why 2-3 ticks from price should have 10-20 less contracts on only your data . and then say that everyone else is wrong. so thank you for looking into it , we always apricaite your hard work
[2019-10-10 17:55:16]
User322949 - Posts: 224
i decided to call CME and spoke to Austin from data services and we did a live comparison of your data and there data and you have a issue with those 2-3 prices were his exact words . i leave it at that and wait further instructions.
[2019-10-11 09:23:31]
User350415 - Posts: 140

How do you know they are all identical? That is hard to believe you have access to all of them.

Yes we have many guys using usually 2 feeds: CQG feed with one other feed (Rithmic, CTS, TOS, IQ and few others) that now are testing Denali too and theres a rule that their other feed is identical to CQG but Denali is different. So CQG feed shared between those guys acts as a common denominator for comparing Denali to other feeds. So thats why we can say Denali is different than all other feeds we use.

And thats a friendly feedback guys - we all want Denali to be perfect and ultimate solution. Keeping our fingers croseed!
[2019-10-13 22:12:31]
user9990910 - Posts: 9
sooo....any plans to implement anything? or shall i find a different data feed to suit my needs ?? please let me know, can't have another week wasted. Thank you guys.

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

Login

Login Page - Create Account