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Direct MessagesDate/Time: Fri, 03 May 2024 03:22:55 +0000
Different IntraDay Data to other platforms
View Count: 1076
| [2020-04-15 12:12:36] |
| nicktrader - Posts: 665 |
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A good friend of mine is a well-known trading coach in Germany. His used platforms are TT, NT8 and MultiCharts. As data feed he uses the "IQFeed". All three platforms run on one PC and so he can use all of them with the "IQFeed" at the same time. Now I could convince him to use SierraCharts as well, which he had implemented over Easter. All 4 platforms run now on one PC, are served by one data feed and can be opened simultaneously. Now comes the problem. Unfortunately, the „SC“ data are different to the other platforms, which all (except SC) show the same data. The first thing you notice is that the volume displayed in SC is different. Due to this difference, the daily POC values are also displayed incorrectly (sometimes there are differences of over 200 points in the POC). Chart Data Type was set to IntraDay and all other settings listed in different HelpTopics were checked several times. All of them are correct. If you now switch to "Historical Chart" you will see the exact volume data as in the other platforms (and also in EUREX). So what is the problem that the IntraDay data is displayed incorrectly? You might think that the IntraDay data are filtered, but the Historical data are not. Attached you will find a small list from which you can read the data of the last days for the FDAX. The official Eurex data are also listed. https://www.eurexchange.com/exchange-en/products/idx/dax/34642!onlineStatsReload?productId=34642&productGroupId=13394&busDate=20200408 I hope you are not saying now that the SC data are correct and all others are wrong. The basic question is why the SC data are different and maybe another "Data Type" has to be offered, which have the same behaviour as IntraDay, but unfiltered. It is a serious problem for me and my friend and I hope that you will go into it in more detail. Many thanks |
 Platforms date.png / V - Attached On 2020-04-15 12:03:38 UTC - Size: 32.99 KB - 311 views |
| [2020-04-15 12:26:28] |
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Well, why is the Intraday chart volume data different? From our perspective we do not know. The data is coming from IQ Feed. And with there are many details we are just not seeing. There simply is some explanation that they are overlooking. It is impossible for us to answer this because we do not have the chart and we do not know how the volume is being arrived at, and the parameters of the charts being compared to. 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 |
| [2020-04-15 12:54:51] |
| nicktrader - Posts: 665 |
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Thanks for the fast answer When NT 8 or TT was installed and connected to the IQFeet, the same data were immediately displayed as with the other platforms. This is different when using SC. After installing and connecting to the IQ Feet, different data were displayed. I have also included the link to EUREX (FDAX). Why are these volume data also different to the SC data? What can be done from our side to solve the problem, because from our point of view it is obvious that the problem is caused by SC. Many thanks |
| [2020-04-15 18:13:34] |
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Almost certainly this is going to be what is explained here: Differences With Data and Chart Bars Between Services / Connections / Chart Types: 43.7 - Comparing Daily Volume to Intraday Chart Bar Volume We do not think you are doing the proper comparisons. We will check to see what we find later today. 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: 2020-04-15 18:14:07
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| [2020-04-15 18:51:43] |
| nicktrader - Posts: 665 |
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I like to improve myself. I have been using this platform for years now and I think I know it quite well. Instead of VbP I took a Dly NumbersBar Chart to see the POC. Why is only SC showing a different POC? As I said before, I have checked every possible setting for correctness and so far I could not find any error. No filters were set. I'm surprised that this data are different although all 4 platforms access a single data feed at the same time. From my point of view illogical, but in practice it shows it works. I am really glad that I could convince my coach for SC. But if this poblem should not be solved, I can imagine that my coach will not use this platform anymore, because MP is a knockout. criteria. Please take the time you need. Many thanks. |
| [2020-04-16 12:31:37] |
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So far the tentative conclusion is precisely this: I hope you are not saying now that the SC data are correct and all others are wrong. We get lower volume values with IQ data as compared to CQG. This is what we have for 2020-04-09 using session times of 0 through 23:59:59 using CET time zone: IQ Feed: 98476 CQG: 98482 Point of control for that date is 10550. This is using a price increment of 1. And we explain the session times above. What session times are you using? We did verify that 98476 is the right total volume as computed from intraday trades. We set the chart to one tick per bar and then used Cumulative Sum of Study , we loaded just 4-9 and we end up with 98476 at the last bar. You cannot make a comparison to the official daily volume reported by the exchange. The POC calculation is based upon the intraday trading data. So at this point, you are going to have to explain in detail and justify what these other programs are doing and explain why it is Sierra Chart is doing something wrong. In the end, if you will all want to believe there is something wrong with Sierra Chart we cannot change that, but our confidence at this point is 100% that Sierra Chart is completely correct with this point of control calculation of the Intraday trading volume based upon the session times given above. Maybe you are using different session times in the other programs. We recommend doing a manual calculation where where you are adding up all of the volumes at 10550 for 4-9. And that should exceed any other price. 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: 2020-04-16 12:33:01
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| [2020-04-16 13:00:30] |
| nicktrader - Posts: 665 |
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Many thanks for your answer. Before I go in details. Is it possible for you to analyze these data with NT8 or MultiCharts in connection with IQFeed? You will get different data (I am nearly sure). Txs |
| [2020-04-16 18:33:15] |
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No we cannot spend the time on that, and we do not see how it would help anyway. What are the Session Times you are using in the other programs? We could put we could quickly put together a spreadsheet showing the POC calculation. 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 |
| [2020-04-17 06:38:08] |
| nicktrader - Posts: 665 |
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Pls see attached Spreadsheet for calculation would be helpful. Many thanks |
| TimeZone.png / V - Attached On 2020-04-17 06:37:56 UTC - Size: 51.14 KB - 255 views |
| [2020-04-17 06:43:00] |
| nicktrader - Posts: 665 |
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One more question. Why do the Dly "Intraday "data differ from the EUREX data regarding volume? On the other hand, the "Historical" correspond to the EUREX. |
| [2020-04-17 09:43:47] |
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Why do the Dly "Intraday "data differ from the EUREX data regarding volume? This is a good question for the EUREX. So why is it that when the volume of each transmitted trade is added up does it differ from the total daily volume they send out.
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 |
| [2020-04-17 14:15:07] |
| nicktrader - Posts: 665 |
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Okay, in this case I am asking. Why do the EUREX volume data match the SC "historical" or/ and why do not match the Volume "intraday" with "historical"? Many thanks. |
| [2020-04-20 05:19:30] |
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Spreadsheet is attached. The calculated Point of Control volume value is in AA3. The volume for the POC of 10550 for 2020-04-09 is 516. That is the highest. We really do not know why those other programs are giving a different value. The volume at 10545.50 is much lower: 254. 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: 2020-04-20 05:21:46
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 PointOfControlCalculationtSpreadsheetStudy.scss - Attached On 2020-04-20 05:18:34 UTC - Size: 2.83 MB - 264 views |
| [2020-04-20 06:44:30] |
| nicktrader - Posts: 665 |
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Many thanks. I'll take a look on it.
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| [2020-04-23 03:49:59] |
| nicktrader - Posts: 665 |
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Thanks for your efforts.But I think we're going in circles. Only you can say why there are these discrepancies, because I don't know what your calculations are based on. From my point of view it is essential to check the data of the other platforms (NT and/or Multichart..). You will find that the data of both platforms are the same, only your data will differ. You have written that there is no time for this. And therefore we will not make any progress. I would be very happy if you could do this analysis. Only then would you see the difference and only then would you possibly start to verify the calculation of your own data. Thank you very much. |
| [2020-04-23 11:32:13] |
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How do you define the point of control calculation? The point of control is defined here: Time Price Opportunity (TPO) Profile Charts: Volume Point of Control And what do you mean by the "data of the other platforms"? This is not relevant. What is relevant is the data from the exchange. We have checked two different sources.. IQ Feed and CQG. And they are essentially the same and we did the calculation in a spreadsheet. There is just simply is not a problem here at all. This is so simple. And what do you mean by "own data"? Once again it is about the data from the exchange and the point of control calculation which is done in a spreadsheet which you can clearly see. We are 110% certain there is no problem at all on the Sierra Chart side here. 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: 2020-04-23 11:34:06
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| [2020-04-23 12:08:51] |
| nicktrader - Posts: 665 |
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I am 100% with you concerning calculation of the POC. You have checked two data feeds, but unfortunately with SC only. This leads me back to my first post. The starting situation was: One PC, one Data feed, four different platforms (TT, NT8, MultiCharts and SierraCharts). Only SC showed bigger differences in data to the other. The logic tells me that your treatment of the booked data differs to the other platforms. Maybe you set a filter in a place unknown to me, which the other platforms do not do. Therefore, if you only test the data feeds with your platform, you will always get comparable results. But what if you take these data feeds and test them with other platforms. Only if you would do so, a comparison could be made. It is not about comparing individual data feeds, but about comparing individual platforms. And from my point of view only SC is different from the above mentioned ones. Maybe you find time to do so. Many thanks. |
| [2020-04-23 13:29:22] |
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We took the raw 1 minute IQ feed data received from the IQ client and ran it through a spreadsheet program, Open office, and for 2020-04-09 the total is simply 98476. It matches Sierra Chart exactly. IQ Feed also provides a running total with each minute and they show 105050 at the final minute of the trading day. This may be the exchange reported value but obviously at times it must be incrementing higher than the intraday volumes.
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: 2020-04-23 13:30:14
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| [2020-04-23 16:49:59] |
| nicktrader - Posts: 665 |
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I understand. May I ask you for the Price with the highest Volume(POC) at 2020-04-09 from the "raw" data and maybe you have also the raw data from 2020-03-31? This date has the biggest "POC" difference (see attached file from my first post). And for my understanding. If I ask my friend at 9:00, 12:00 and 15:00 we should have the same (nearly) Volume figures? Only the EoD figures differ. Many thanks for your support. Date Time Of Last Edit: 2020-04-23 16:56:20
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| [2020-04-23 17:01:05] |
| nicktrader - Posts: 665 |
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I assume it makes no sense to give me the POC data, because you have "only" M1 data available. With tick data it makes more sense. Date Time Of Last Edit: 2020-04-23 17:01:27
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| [2020-04-23 18:50:22] |
| User220914 - Posts: 239 |
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question. if i take the DENALI FEED on a 1 minute interval and your other feeds on 1 minute intervals do you have the same volumes and the same charts as far as price. does price match volume?
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| [2020-04-24 04:09:07] |
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We already did calculate the POC using the raw tick by tick data. It is: 10550 for 2020 -04-09. Yes this will be true: . if i take the DENALI FEED on a 1 minute interval and your other feeds on 1 minute intervals do you have the same volumes and the same charts as far as price. 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 |
| [2020-04-24 04:25:45] |
| nicktrader - Posts: 665 |
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We already did calculate the POC using the raw tick by tick data. It is: 10550 for 2020 -04-09.
I know. Just a question (if possible), because on 2020-03-31 the largest difference was seen. Many thanks |
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