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Date/Time: Mon, 06 Apr 2020 14:12:02 +0000



[Sticky] - Feedback Requested Regarding Data Feeds and Order Routing Systems

[2020-02-28 18:04:48]
Sierra Chart Engineering - Posts: 83164 | Ending Date: 2020-06-09
We would like to know among the following systems that Sierra Chart supports for futures trading, how well they performed during this decline for the week beginning with February 24, 2020:

Interactive Brokers
CTS
CQG
Rithmic
Sierra Chart/TT order routing
Transact
Gain Capital


Data Feeds:
[Data feeds provided with the above systems]

Additionally:
Denali Exchange Data Feed
Sierra Chart Exchange Data Feed
IQ Feed

What we are interested in is data feed issues such as lagging or stopping data. And any problems encountered with order routing.

Now Sierra Chart provided data feeds are not immune from lagging based on external conditions. If you experience a lag, refer to this help section:
https://www.sierrachart.com/index.php?page=doc/helpdetails4.html#SierraChartExchangeDataFeeds

And we also have a London relay set up for the Denali data feed which is supported in the latest release:
Global Settings >> Data/Trade Service Settings >> Service Settings >> Use London Relay server as Primary for Market Data (Only applies to the Denali exchange data feed).
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.
[2020-02-28 21:16:40]
seandunaway - Posts: 120 | Ending Date: 2021-07-10
CQG WebAPI

No disconnects or lag or even climatic stutter the entire week

Subscribed to 7 products with depth; equity, bonds, energy, metals

SierraChart is without doubt, the most performant trading software I've ever experienced
Date Time Of Last Edit: 2020-02-28 21:19:09
[2020-02-28 21:22:02]
Sierra_Chart_Engineering - Posts: 589 | Ending Date: 2020-11-26
This is good to know. One thing we want to point out is that newer versions of Sierra Chart have performance improvements with the processing of the depth data from CQG and services that use the DTC protocol. This is especially important for the extended depth on CL.
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
Date Time Of Last Edit: 2020-02-28 21:22:21
[2020-02-28 23:05:25]
nosast - Posts: 98 | Ending Date: 2020-04-30
Zero lag or any other problems with Denali. Was testing the London relay server for the whole week and couldn't be more happy! Top notch.
[2020-02-29 00:03:25]
User495158 - Posts: 62 | Ending Date: 2020-06-02
CQG market data - 20+ DOMs with charts

Perfect for the whole week, no lag or disconnects.

No problems with the platform either. Fast and stable as usual. A perfect testament to an outstanding product you have made.
Date Time Of Last Edit: 2020-02-29 00:07:50
[2020-02-29 00:54:26]
User13668 - Posts: 242 | Ending Date: 2020-04-30
CQG.
Three exchanges subscribed CME (top of book only), Eurex and HKFE.

Based in New Zealand using US broker (AMP). Perfect all week, no lagging or disconnections.
[2020-02-29 01:02:03]
User753428 - Posts: 79 | Ending Date: 2020-04-13
Denali Datafeed with Rithmic

Subscribed to CME bundle with no market depth + low bandwidth mode within SC settings.

No lagging whatsoever, no disconnections at all. All-around perfect!
[2020-02-29 01:23:52]
jomanos - Posts: 17 | Ending Date: 2020-09-27
Unlike the others above, I have had some problems. And since you asked.

Using Rithmic:

1. Unable to modify orders or live trades by moving targets or stops. Or move a limit order entry. Doing so results in a failure message in the log. This occurred as of this morning. Using a DOM or chart. When using an OCO trailing stop in a live trade, the stop order modification does not go through. SC shows "Pending Modify" then a rejection with the failure message in the log.

I spoke to my Broker's support, and I believe they may have reached out to you to figure out the problem. (Note that I was able to modify orders using my broker's Rithmic based application. So, this problem may be a routing communication issue between SC and Rithmic.)

2. Lagging charts. After a period of time, I am unable to move a price graph with the hand tool. I have to disconnect the data feed to be able to move the price graph around. After reconnecting, the price graphs will start to lag again after a while.

Now, the problem with the lagging charts may have started last week, so it might not be due to the extreme volatility of this week's decline.

Nevertheless, will avoid placing orders through SC for the time being. And will try to troubleshoot the lagging issue on Sunday night and next week.
[2020-02-29 06:28:20]
Sierra Chart Engineering - Posts: 83164 | Ending Date: 2020-06-09
The lagging issue you are explaining is not going to be an external service issue, based on your description, and instead based upon what you are doing in Sierra Chart and the capabilities of the system. And could be other reasons as well. Refer to this help topic:
https://www.sierrachart.com/index.php?page=doc/helpdetails30.html

First thing we recommend is increasing the Chart Update Interval:
https://www.sierrachart.com/index.php?page=doc/helpdetails30.html#ChartUpdateInterval

And running in safe mode:
https://www.sierrachart.com/index.php?page=doc/helpdetails30.html#InefficientAdvancedCustomStudies

And regarding Rithmic we have discontinued our technical support for it and advise users to change to this service:
https://www.sierrachart.com/index.php?page=doc/SierraChartOrderRoutingServiceWithData.php
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: 2020-02-29 06:29:08
[2020-02-29 07:32:32]
nicktrader - Posts: 422 | Ending Date: 2020-07-03
CQG WebAPI

No disconnects or lag the entire week
[2020-02-29 10:14:25]
Marmany - Posts: 233 | Ending Date: 2020-04-09
Sierra Chart/TT order routing.
71 trades executed perfectly last week.
No lag on SC data feed.
[2020-02-29 14:09:59]
UserAR - Posts: 17 | Ending Date: 2020-05-27
Using IB for execution with SC data feeds for stocks and futures w/ market depth. No issues.
[2020-02-29 17:15:53]
IconBob - Posts: 43 | Ending Date: 2020-04-09
Friday 2/28/2020 during the first half-hour I had a problem with the Denali order service routing keeping up with the S&P 500 emini (ES) market. I was on a collocated server at 350 E. Cermak Road The server CPU was operating at 50%.capacity. Switched to Denali with Rihimic order routing the same problem. Measured latency with CME 2 ms. In my opinion, it wasn't a data feed problem but a Sierra Chart software issue where the data input was faster than SC could handle. Not the fault of SC but just a limit to how fast software can handle extremely high rates of input. I also tried another software package and the same problem or even worse. Most of the day I had zero slippage on orders and SC performed very well. I frequently use order entry and exit algorithms with SC-based code and they executed flawlessly once SC kept up with the market. Also, I am keenly aware of SC CPU usage efficiencies and set my charts to execute at 10 ms although some charts get above 10 ms and as high as 20 to 25 ms at times. My latency to my server is 10 to 11 ms. ALL software is on the server.
Date Time Of Last Edit: 2020-02-29 18:08:40
[2020-03-01 03:26:04]
Sierra Chart Engineering - Posts: 83164 | Ending Date: 2020-06-09
but a Sierra Chart software issue where the data input was faster than SC could handle.
No this definitively could not possibly be the case. Sierra Chart processes entire exchange feeds, sometimes 50,000+ symbols, with no measurable CPU load.

There is no way that users can expose Sierra Chart to the kind of data rates we have with exchange data feeds. All of our feed processing on our server-side uses Sierra Chart itself. And even with heavy market activity, there is simply no reported CPU load in the Windows task manager. Users come nowhere near, the data rates we have on our servers.

It is instead a system issue, or based upon graphics and study load from the chart and study configuration you have. In this case refer to help topic 30:
https://www.sierrachart.com/index.php?page=doc/helpdetails30.html

This is likely part of the problem as well:
I am keenly aware of SC CPU usage efficiencies and set my charts to execute at 10 ms although some charts get above 10 ms and as high as 20 to 25 ms at times.

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: 2020-03-01 20:40:41
[2020-03-01 08:22:36]
User66292 - Posts: 12 | Ending Date: 2020-03-31 [Expired]
CQG - no problems
[2020-03-01 20:42:59]
Sierra Chart Engineering - Posts: 83164 | Ending Date: 2020-06-09
We received the following from Rithmic.
The past 2 weeks have been witness to extraordinary trading volatility in the futures and equities markets. Market data message rates for CME equity indexes (which include MES, MNQ, NQ, M2K and RTY) excluding ES, increased 25% from Friday, February 21, 2020 to Monday, February 24, 2020 and then doubled from Monday to Thursday.

Rithmic received isolated reports on Thursday from end users of its paper trading systems questioning the prices at which their stops were triggered and their orders were filled by Rithmic’s exchange simulator and why auto-liquidation events were triggered.

Rithmic investigated these reports and within 24 hours, put in place enhancements to its systems to handle an even greater number of market data messages and orders within the cpu and network resources available to its programs. As soon as these enhancements were in place, new reports questioning fill and stop prices and auto liquidation events ceased.

Our software and systems have no trouble at all with these data rates. An issue like this would never have happened with the simulated trading service offered by us:
https://www.sierrachart.com/index.php?page=doc/SimulatedFuturesTradingService.php
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: 2020-03-01 20:44:35
[2020-03-01 22:08:09]
IconBob - Posts: 43 | Ending Date: 2020-04-09
May I ask how you measure the Sierra Chart chart drawing time?
Date Time Of Last Edit: 2020-03-01 22:09:23
[2020-03-01 22:17:56]
Sierra Chart Engineering - Posts: 83164 | Ending Date: 2020-06-09
You can do this through Tools >> More Tools >> Log Drawing Statistics and the data will be put into the Window >> Message Log.
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.
[2020-03-02 00:54:40]
User992529 - Posts: 10 | Ending Date: 2020-04-20
IB for execution with SC data feeds for futures with "Server-Side OCO/Bracker Orders", "Hold Market Order Until Pending Cancel Orders are Confirmed" and "Auto-Send Market Order On Rejected Stop Attached Order". No issues.

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