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Date/Time: Wed, 29 Jun 2022 21:38:14 +0000



[Locked] - Eurex feed bid/ask volume

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[2014-01-13 19:30:25]
Spinoza - Posts: 62
I found this posting by Peter Davies of Jigsaw Trading on Big Mike rather enlightening about the issues mentioned by SC support in post 16: https://www.bigmiketrading.com/brokers-data-feeds/29928-zenfire-no-more-101.html#post382063

If the level 1 feed and level 2 feed are out of sync, can't we get accurate footprint charts from just the level 1 feed. Or will this be easier when the two parts of the feed are separated later in the month? Or doesn't this particular feed update fast enough? Or have I missed the point entirely?
Date Time Of Last Edit: 2014-01-13 19:49:30
[2014-01-14 20:17:12]
Sierra Chart Engineering - Posts: 103520
Bid volume and ask volume calculations are always calculated from the level 1 bid/ask data feed.

However, from exchanges, the best bid and ask data always are provided through market depth. They do not have the other fields that this is provided through.



Without going into a lot of details about how all of this works on the backend, we do thoroughly understand the issue, and it is being worked on.
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:
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Date Time Of Last Edit: 2014-01-14 20:17:34
[2014-01-16 10:16:31]
Bob77 - Posts: 17
Actually, I would really appreciate if you could go into more details.

Over the last months I have compared Iqfeed, TT, CQG and CTS T4 regarding EUREX bid and ask information, and have found differences between all of them.

Iqfeed have had a problem with this as well back in 2006 (see http://forums.iqfeed.net/index.cfm?page=topic&topicID=1333 )

Having a high quality reference feed directly from the exchange would be invaluable.

Thanks


[2014-01-16 10:53:44]
Sierra Chart Engineering - Posts: 103520
Just give us a couple more days. There is some background research being done on this now.
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
[2014-01-16 16:40:56]
Sierra Chart Engineering - Posts: 103520

Over the last months I have compared Iqfeed, TT, CQG and CTS T4 regarding EUREX bid and ask information, and have found differences between all of them.
When you make reference to CQG, are you using CQG's own software?
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
[2014-01-16 16:52:19]
Bob77 - Posts: 17
No, I was using CQG data with Ninjatrader
[2014-01-16 19:03:06]
Spinoza - Posts: 62
Re post 14:
So we have to see why there is a difference apparently between the top of the book on the depth and the best bid and ask.

I don't know if this is useful but there is another thread on BigMike (https://www.bigmiketrading.com/traders-hideout/22468-tape-time-sales-why-actual-trades-do-not-decrease-bid-ask-sizes-4.html#post258225) to do with bid/ask on Eurex and a reply quoted from the exchange to this effect:

the CEF core feed is netted in reference to the order book data. Therefore in case of a trade execution the trade is submitted immediately while the order book is submitted only at the end of the netting period. this could explain, why the order book doesn't reflect exactly the reduction of the executed trades. For the or the liquid products like FDAX, FESX and FGBL the order book could have changed during this netting period.
Additionally Eurex uses algorithms to add single legs from calendar spreads or other strategies to the order book of these futures. These single legs created by the system could update the best bid and ask volumes without any incoming order and will be created automatically.

[2014-01-17 05:14:29]
Sierra Chart Engineering - Posts: 103520
Thank you for this. Although our understanding is we are getting the unnetted data feed.
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: 2014-01-17 05:15:56
[2014-01-20 00:36:21]
Sierra Chart Engineering - Posts: 103520
The bid volume and ask volume problem with the EUREX feed is taking longer than expected to get resolved.

Unlike with the CME feed, we get the EUREX data feed from a data provider who gets the data feed from a CQG multicast feed. We have requested that we get the raw CQG feed so that we can code directly to it. While we are not 100% certain this will resolve the problem, there is a good chance it will at the very least substantially resolve the problem. Before they do this, they are looking into some things on their side, and as of yet we do not have a definite answer about this.

There still are other possibilities to solve the problem.

On the Sierra Chart account control panel page where the EUREX feed is enabled, we have put a notice that the bid volume and ask volume are not completely accurate, for the time being.
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: 2014-01-20 00:39:02
[2014-01-23 07:22:17]
Sierra Chart Engineering - Posts: 103520
As an update to this thread, work is being done on the issue.
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: 2014-01-23 07:22:29
[2014-01-27 10:17:00]
Sierra Chart Engineering - Posts: 103520
There have been some changes with a Sierra Chart EUREX data feed, but it is really very hard to make any conclusive determinations about this.

We really have to get back to basics and make a clear determination as to what the objective here really is.

And what the meaning of bid volume and ask volume is. Our understanding of a trade at the bid is when a market order hits the best bid price which is established by a limit order and there is a trade. A trade at the ask is when a market order hits the best ask price which is established by a limit order and there is a trade. Trying to determine this from a data feed, requires very good synchronization between the bid and ask data and the last trade price data. Unless the exchange, like the CME does, indicates this, determining this from the price feed is imperfect at best.

This is a chart of IQ feed Cumulative Delta for today for the March DAX futures:
http://www.sierrachart.com/image.php?l=1390817582313.png

This is the Sierra Chart EUREX feed:
http://www.sierrachart.com/image.php?l=1390817632919.png


The DAX is up on the day from its opening price. Does it make sense that the Cumulative Delta from IQ feed is so negative?

And although IQ Feed has developed a good reputation, the actual calculations of bid volume and ask volume do not come from the exchange, they do not come from IQ Feed, they come from Sierra Chart based upon last trade price data, and best bid and ask price data. There is an algorithm applied to this to make the determination.

Whether Sierra Chart is doing this in the very best possible way with a difficult to work with feed like the EUREX, is not necessarily true as we spend more time looking at this.

This is what makes this whole thing difficult .

Based upon what we are seeing today, with these current charts, those who are putting faith on IQ Feed and the interpretation of the data by Sierra Chart, raises some questions for us. Maybe it is all just perfect. Although can we be sure?

At this point, we really have to analyze the raw EUREX feed and get an understanding from the exchange exactly how that data feed works. So this will require more research time.
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: 2014-01-27 10:21:43
[2014-01-27 10:27:11]
Futurestrader77 - Posts: 126
I am not an expert, but I heared that IQFeed was printing trades on the wrong side currently:
http://www.youtube.com/watch?v=FDYiz-2FFwA

Perhaps here is the problem?
[2014-01-27 10:54:46]
ganz - Posts: 1048
Futurestrader77

thnx for the info
And although IQ Feed has developed a good reputation, the actual calculations of bid volume and ask volume do not come from the exchange, they do not come from IQ Feed, they come from Sierra Chart based upon last trade price data, and best bid and ask price data.
looks like NT is the source of the problem, imho

[2014-01-27 10:57:53]
Sierra Chart Engineering - Posts: 103520
What is NT?
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:
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For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2014-01-27 10:59:44]
ganz - Posts: 1048
SC Support

NT means Ninja. Sorry if I'm wrong about the reason.

Anyway SC RtDf looks right.
Date Time Of Last Edit: 2014-01-27 11:00:24
[2014-01-27 11:06:05]
ganz - Posts: 1048
In case SC does a job the same way for IQFeed and for SC RtDf - the reason is IQFeed.
Date Time Of Last Edit: 2014-01-27 13:27:03
[2014-01-28 08:18:17]
Futurestrader77 - Posts: 126
Dear Support Team,

could you post please a chart with cumulative delta for the FESX or Bund using IQFeed, your feed and CTS?
It would be nice to see in which way cumulative delta differs using a thicker instrument like the FESX or Bund.
Thank you!
[2014-01-28 08:28:38]
Sierra Chart Engineering - Posts: 103520
We can provide an image from the Sierra Chart EUREX data feed and also IQ Feed. This is for the Bund.

IQ Feed:
http://www.sierrachart.com/image.php?l=1390897653855.png

Sierra Chart EUREX data feed:
http://www.sierrachart.com/image.php?l=1390897813148.png


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: 2014-01-28 08:30:26
[2014-01-29 01:23:00]
Sierra Chart Engineering - Posts: 103520
We have started a technical discussion about this subject here:
https://www.sierrachart.com/SupportBoard.php?ThreadID=5395

This thread is now closed.

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
[2014-01-29 01:40:30]
Sierra Chart Engineering - Posts: 103520
But I am just using logic to determine wether or not a trade is a bid or ask trade in my examples. If you take a look at the first file in post #15. Before the 120 lot trades at 09:44:17, the market is bid 120 contracts at 139.65 (not in the image, but I've recorded it), offered 282 contracts at 139.66. Then the 120 lot trades at 139.65. After that trade the market is bid 260 contracts at 139.64, offered 153 contracts at 139.65. The 120 lot trade is labeled as an ask trade in SC. Are you really saying that I'm wrong in my analysis when I say that this trade should have been labeled as a bid trade instead of an ask trade?
Not based upon this analysis. Instead based upon a simple and direct comparison to the bid and ask prices because what the server is seeing for the best bid and ask, may be different than what you see because of the two different streams of data. There have been some changes so that what the server sees for the best bid and ask is in the proper order in relation to the trades.


They do look significantly different to me. Just a few quick observations: Cumulative Delta in both IQ and TT fall back sigificantly between 0905 and 0925, while at CQG it just keeps rising. AT 0925-0930 both IQ and TT are near the lows of the day, while CQG hovers near the highs. At 1005 IQ and TT are back at or near the lows, CQG is not.
We have noted this. When we said there was not a significant difference, this was based on some quick initial observations and what we were watching out for is a major difference where the Cumulative Delta Bars is giving a completely opposite result at times that we have seen with TT FIX and CME data.
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: 2014-01-29 01:40:49

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