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Date/Time: Thu, 18 Jul 2024 07:28:57 +0000



[Locked] - Eurex feed bid/ask volume

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[2014-01-07 13:16:18]
gfs117 - Posts: 24
I've been looking at the Time and Sales window for the bund (FBGL) and I've noticed that some trades are incorrectly labeled as bid trades or ask trades. This happens for instance when a large buy order takes out all the contract on the ask and the rest of the order becomes the best bid. These trades are incorrectly labeled as bid trades instead of ask trades.

Could you look into that please?
[2014-01-07 14:15:40]
sbsierra - Posts: 71
Datafeed comparison for CD volume (IQFeed, SC Feed, CTS T4)
[2014-01-07 18:11:57]
Sierra Chart Engineering - Posts: 104368
Yes, we will look into this. Our data feed originates from CQG and we are trying to determine the source of the problem.
Sierra Chart Support - Engineering Level

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[2014-01-08 09:47:18]
gfs117 - Posts: 24
Ok. So you are aware of the problem with the Eurex feed. That's good.

Do you have any idea when the feed will be corrected? Because the feed is currently useless for any study that involves Bid/Ask volume (which is what I was planning to use it for).
[2014-01-08 16:50:39]
Sierra Chart Engineering - Posts: 104368
We are not sure when the problem will be corrected. We are doing our best.
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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[2014-01-08 23:09:01]
Sierra Chart Engineering - Posts: 104368
Please see how it is during the 2014-1-9 Eurex session. We will be sending through implied bid and ask quotes to see if that resolves the problem.
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:
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[2014-01-09 07:45:33]
sbsierra - Posts: 71
Attached you see the comparison CTS-T4 and your Feed. Still looks not very good.
imageCD_Comparison_CTSvsSC.JPG / V - Attached On 2014-01-09 07:45:27 UTC - Size: 280.94 KB - 556 views
[2014-01-09 09:05:37]
Spinoza - Posts: 62
Does anyone have a comparison on this morning's SCfeed vs IQfeed on FDAX?
[2014-01-09 09:23:04]
Sierra Chart Engineering - Posts: 104368
We will do the comparison now to IQ Feed.

Comparing to CTS T4 is not valid unless they are providing the full tick by tick feed to you.
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: 2014-01-09 09:38:40
[2014-01-09 09:34:11]
Sierra Chart Engineering - Posts: 104368
The short answer is that there is still not a match to IQ Feed for EUREX bid volume and ask volume. So apparently the CQG feed is not very good with bid and ask data. We will see what else can be done.

Although we are doing more close comparisons to really get a better idea of what the actual root of the problem is. This is not completely clear at this 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:
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Date Time Of Last Edit: 2014-01-09 09:38:17
[2014-01-09 09:58:53]
sbsierra - Posts: 71
I canceled IQFeed, so all I have is CTS-T4 and your feed now.
When I compare the CTS-T4 feed for SP500 and your feed,
there is a 99% match in ASK/BID-Data ...
[2014-01-09 10:09:03]
Sierra Chart Engineering - Posts: 104368
As we compare the EUREX CQG fee to IQ Feed, it is really hard to tell who is right.

Part of the problem seems to be when the trade is between the bid and the ask. We will improve the algorithm of whether the trade is considered at the bid or ask in those cases and this should help.
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
[2014-01-09 10:11:01]
gfs117 - Posts: 24
What I've noticed is that the errors happen when there's a big order that takes out the full bid or ask at one or more prices.

I've attached a sceenshot of the FGBL this morning and the error is happening at 08:57:50. The market is at 139.49 bid, 139.50 offered at that time. Then there's a large sell order that takes out both the 139.49 and 139.48 bids (executed as 236 and 147 lots). Both of these trades are marked as an Ask trade instead of a bid trade.

After the 08:57:50 trades, the market is 139.47 bid and 139.48 offered, yet the T&S window still shows 139.49 as bid and 139.50 as ask, even after the fifth trade in that second. It looks like the bid and ask are not updating fast enough.


image2014-01-09-Trade-002.png / V - Attached On 2014-01-09 09:58:00 UTC - Size: 581.38 KB - 563 views
[2014-01-09 21:29:31]
Sierra Chart Engineering - Posts: 104368
Thank you for this. We are going to be making some changes to better detect whether the trade is at the bid or ask when it is between the current reported bid and ask. We will see how this goes during the next EUREX session.

We see what the Time and Sales window is showing. On the client-side, whether a trade occurs at the bid or ask is determined on the server side. When you are receiving market depth, the market depth is what updates the best bid and ask. The best bid and ask are not send through separately. 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. Hope all of that made sense.
Sierra Chart Support - Engineering Level

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For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
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Date Time Of Last Edit: 2014-01-09 21:30:38
[2014-01-10 09:09:19]
gfs117 - Posts: 24
Thank you for trying to solve the problem. Unfortunately the problem is still present today.

In the first attached screenshot two trades were falsely identified as ask trades (the 120 and 89 lot), while in the second screenshot three trades were identified as bid trades, while they were clearly ask trades (the 100, 6 an 104 lot).
image2014-01-10-Trade-001.png / V - Attached On 2014-01-10 09:07:56 UTC - Size: 28.74 KB - 613 views
image2014-01-10-Trade-004.png / V - Attached On 2014-01-10 09:08:04 UTC - Size: 27.06 KB - 522 views
[2014-01-10 09:26:41]
Sierra Chart Engineering - Posts: 104368
There is not necessarily a problem here. We did explain this previously but not in enough detail.

The source data feed that we work with has two streams of bid and ask prices. There is the best bid and ask price stream and the market depth bid and ask price stream. The timing of these two streams of data differ from each other in relation to trades. Whether a trade occurs at the bid or the ask is determined on the server-side in relation to the best bid and ask price stream. Not the market depth stream.

If you are using any market depth features within Sierra Chart, for the particular symbol of the Time and Sales window, then you are only receiving the depth stream. If you are not, then you receive the best bid and ask stream. You only get one or the other.

So your analysis, is inconclusive and not particularly relevant as to whether a trade is properly identified at the bid or ask. Our analysis is in comparison to IQ Feed, assuming they are correct. We are working to determine if there is a statistically a significant difference. And reduce the difference as much as possible. We cannot work off of what you are seeing because as we have explained, there is a particular reason for why you are seeing what you are.

As far as the timing difference between the depth stream and thee best bid and ask stream, we will see if we can do something about that.
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
Date Time Of Last Edit: 2014-01-10 09:29:30
[2014-01-10 09:40:42]
Sierra Chart Engineering - Posts: 104368
Unfortunately this whole thing is quite difficult.

We are looking at the TT, CQG and IQ Feed data feed for the DAX. They all produce different looking Cumulative Delta Bars-Volume appearances. They are not significantly different but they all do look different.

We definitely do not trust TT, but how do we know that IQ Feed is correct. Is anyone absolutely sure?
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
[2014-01-10 09:42:22]
Sierra Chart Engineering - Posts: 104368
IQ Feed:
http://www.sierrachart.com/image.php?l=1389346878526.png


CQG:
http://www.sierrachart.com/image.php?l=1389346908779.png


TT:
http://www.sierrachart.com/image.php?l=1389346935801.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
[2014-01-10 10:05:02]
sbsierra - Posts: 71
TT looks nearly like CTS-T4, but I have no idea, who is right ...
[2014-01-10 10:37:40]
gfs117 - Posts: 24
So your analysis, is inconclusive and not particularly relevant as to whether a trade is properly identified at the bid or ask.
I get the fact that there are two streams of data. 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?

They all produce different looking Cumulative Delta Bars-Volume appearances. They are not significantly different but they all do look different.
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.

how do we know that IQ Feed is correct. Is anyone absolutely sure
I don't have any proof, but if I had to make a guess as to which feed is correct, I would pick IQ (as I would nearly anytime). IQ is the standard in the industry and if you want to have a high quality data feed, you should be comparing the SC feed to the IQ feed and not anything else in my opinion.
[2014-01-10 13:21:22]
Bob77 - Posts: 17
Sorry for the noob question, but doesn't the feed directly from EUREX contain the information whether the last trade occured at the bid or ask?
[2014-01-12 01:30:00]
GPST10 - Posts: 139
Bob77,
good question
[2014-01-12 20:54:17]
Sierra Chart Engineering - Posts: 104368
We are noting the comments here and we are still working on the issue.

There is more that we can do.



And yes, we do understand that there is a significant difference with Cumulative Delta. Mainly what we are watching out for is there is not a major difference like we have seen with TT compared to good data feeds with CME markets.
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
[2014-01-13 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

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