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Direct MessagesDate/Time: Sat, 27 Apr 2024 13:40:25 +0000
[Locked] - bids offers closes to price on market depth historical graph
View Count: 9299
| [2019-10-10 11:27:07] |
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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. 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 11:28:27
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| [2019-10-10 11:47:47] |
| zippyzip - Posts: 293 |
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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
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| [2019-10-10 12:16:13] |
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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. 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 |
| [2019-10-10 17:19:14] |
| zippyzip - Posts: 293 |
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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
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| [2019-10-10 17:55:16] |
| zippyzip - Posts: 293 |
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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.
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| [2019-10-11 09:23:31] |
| User132748 - Posts: 159 |
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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: 15 |
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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.
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| [2019-10-16 12:29:59] |
| user9990910 - Posts: 15 |
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its great when you dont get a response from the people providing u with a service in which you pay for.your customer service is top notch let me tell u lol. take the stupid thank u button off the bottom of the text windows.....thank you
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| [2019-10-16 12:45:18] |
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In regards to post #29, sorry, we have no trust in anyone. We only trust ourselves here and we will examine this issue as soon as we can. Talking to the CME convinces us of absolutely nothing. And we mean absolutely nothing. We have been through that kind of nonsense before only to be proven right. We do acknowledge here and we have said this before, that the implied depth is not merged in at other than the best level. So yes there can be a difference at level 2 and perhaps level 3 if they are providing more than 2 levels of implied depth. But in that case the CME documentation is out of date. It was not our intent to come into this thread again until we have time to resume this issue. That is why there was not a response. 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: 2019-10-16 12:53:36
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| [2019-10-16 12:47:58] |
| user9990910 - Posts: 15 |
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ok
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| [2019-10-16 22:10:04] |
| zippyzip - Posts: 293 |
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ok i see how you are going to spin this so just curious since your routing through TT why there dom is the same as cqg , tos , rithmic , cts ? are these all wrong and only denali is correct ?>
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| [2019-10-16 22:24:10] |
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Post 35 is actually very helpful because it does prove that there is no problem at market depth level 1 with the quantities. This is consistent with what we have said (Refer to the posts from Sierra Chart Engineering at the beginning of this thread). And we said that again at post #33. The implied depth is merged in at level 1 properly. But only the best level (Level 1). We do not merge in the implied depth beyond that level. So this saved us some time. We will look at merging in level 2 later. So this matter is now closed. Thank you. One comment about this: and there data and you have a issue with those 2-3 prices were his exact words . Are they referring to market depth levels 1-2 or 1-3. Or levels 2 and 3. If they are referring to levels 2 and 3, then yes we will accept what they say. There is a question about level 1 in our mind, before post #35, but post #35 settles it. The quantities are accurate at that level.And our comment about not trusting the CME, goes back to old employee of Transact where he tried to prove us wrong about a timestamp and was trying to back his position up with some senior person at the CME. We asserted, that we cannot trust the CME in this regard. And we were proven right and they acknowledged it to us. 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: 2019-10-16 22:30:26
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| [2019-10-17 00:28:41] |
| 9710276 - Posts: 24 |
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Howdy, I've been following this thread because I noticed the same problem: Local bids and offers, close to price, are not appearing correctly on the heatmap, when I use Denali. I rely on these local bids and offers, 2-3 ticks out from price, in my trading. So, when you say, "We will look at merging in level 2 later. So this matter is now closed." How much "later" are we talking? I've been waiting patiently for a conclusion to the thread, trying to hold my breath, as to not piss anyone off -- but this is very important, which is why I ask. There are some great things about the Denali data feed, but this last piece needs to be sorted before I can fully switch over. PLEASE be aware that for anyone like me, you have customers in a sticky spot that are NOT fully functional: I was forced to upgrade from 1941 as it would, allegedly, no longer work with CQG after some arbitrary date. And if I try CQG on the current builds the bid and offer depth is jacked up (due to long wicks) described here: Bid and Ask Depth Bars (1950) showing spikes and incorrect values Therefore, I signed up for Denali -- only to run into the issue in this thread. So, my intent isn't to beat this into the ground but any reasonable person would OBVIOUSLY be frustrated here -- I don't have a fully working solution. The CQG feed won't work correctly in the new builds that I was forced to upgrade to -- and the Denali feed is deficient 2-3 ticks away from price in my heatmap. These are both things that I NEED working correctly. Which, to circle back, is why I ask when you think this might get fixed. If it is of any value in your triaging process, this is very important to me. Thanks, Date Time Of Last Edit: 2019-10-17 00:31:22
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| [2019-10-17 00:45:14] |
| User541156 - Posts: 67 |
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I literally had filled the AMP form to move from rithmic to denali and this thread stopped me. Not gonna move to denali unless these depth at tob prices issue is resolved. This is a major reason I use sierrachart in first place. Date Time Of Last Edit: 2019-10-17 00:47:21
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| [2019-10-17 07:24:44] |
| samual sprat - Posts: 343 |
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This situation just isn’t improving. Currently you’re pretty much forcing us to use your proprietary data solution by stopping support for anything else and your solution is not working. This pretty much means Sierra is broken, not just the data, as we have no reliable and supported foundation for our trade decisions.
Date Time Of Last Edit: 2019-10-17 07:27:38
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| [2019-10-20 01:24:06] |
| 77sx7 - Posts: 16 |
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+1
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| [2019-10-20 01:29:16] |
| user9990910 - Posts: 15 |
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plus wann
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| [2019-10-20 01:32:01] |
| Shairzad - Posts: 6 |
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+1
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| [2019-10-20 03:09:33] |
| User150906 - Posts: 5 |
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+1
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| [2019-10-20 03:37:04] |
| User833286 - Posts: 14 |
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+1
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| [2019-10-20 05:32:38] |
| User423419 - Posts: 15 |
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+1
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| [2019-10-20 06:41:23] |
| User626318 - Posts: 9 |
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+1
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| [2019-10-20 10:53:37] |
| RogerT - Posts: 10 |
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+1
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| [2019-10-20 12:45:45] |
| User707191 - Posts: 5 |
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+1
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| [2019-10-20 14:04:52] |
| HD_561 - Posts: 1 |
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+1
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| [2019-10-20 14:52:38] |
| User920076 - Posts: 5 |
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+1
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