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Date/Time: Wed, 29 Jun 2022 22:07:11 +0000



[Locked] - Delta difference vs IQFeed on Eurex FGBL - RT data feed

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[2014-01-15 11:22:58]
corbeste - Posts: 74
I'm testing the SierraCharts RT data feed with my current IQFeed. Volume matches fine, but I am noticing discrepencies on a delta basis, and minor differences when charting volume bars, indicating timing differences.

Today (15-Jan), by 10am CET, SierraCharts shows a negative delta of -5700, whereas IQFeed has -9600. I am not making claims to which datafeed is more "correct", but I want to understand the possible reasons for the discrepency here, given that IQFeed is seen as the standard for retail data feeds. I use delta momentum as a potential entry filter, so this is important.

Attached a small spreadsheet with my findings
attachmentfgbl.xls - Attached On 2014-01-15 11:22:52 UTC - Size: 41.5 KB - 410 views
[2014-01-15 17:44:24]
Sierra Chart Engineering - Posts: 103520
We know about the problem with bid volume and ask volume. The problem 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:
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: 2014-01-15 17:44:44
[2014-01-23 13:42:33]
corbeste - Posts: 74
Are you offering a refund for the Eurex fee? This feed is effectively useless to trade off until the problem has been resolved. Given you are already charging for it, it appears that I am beta-testing your feed and paying full price - not acceptable.
[2014-01-23 15:57:04]
Sierra Chart Engineering - Posts: 103520
1. No, there are no refunds as stated. If we were to give a refund, we would lose money. We have to pay for this data feed ourselves and also the exchange fees. Do you think the exchanges are going to refund the exchange fee? There is no chance of that. Nevertheless, we will ask management about a refund of the data fee but it is doubtful they would do that. And once again there is no chance of a refund of exchange fees at all.

2. However, the data feed does work properly with its basic functions and it is not fair to call it useless. You find it useless with what you are doing with it. It does provide accurate price and volume data.

There is a slight problem with the timing of the bid and ask prices in relation to trades which has to do with the source CQG feed which is causing a specialized calculation to not always be completely accurate but this type of calculation which gives you bid volume and ask volume inherently is prone to issues unlike the CME data feed which provides a clear indication of whether a trade occurs at the bid or ask because the CME indicates this.

3. This is not considered a beta data feed. The issue with bid volume and ask volume we did not know about it ahead of time. It only has recently come to our attention. What we were testing before release is to make sure the data feed provides accurate price and volume data which it does. The primary issue that users of other EUREX feeds were experiencing was incomplete price and volume data.

minor differences when charting volume bars, indicating timing differences.
Also, we are not aware of any timing differences.

4. And once we realized this problem will take some time to resolve because it may also require CQG solving a problem on their side, we have indicated now by the exchange fee option on the page for enabling exchanges, that the bid volume and ask volume for EUREX is not entirely accurate.

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 16:15:39
[2014-01-24 09:21:10]
corbeste - Posts: 74

We are not talking about a minor issue or downtime - we are talking about an issue that makes the product effectively useless for short-term trading.

If you provide a product that does not work as expected (or claimed), then you should expect to lose money and offer refunds. This is capitalism - you took a risk (by not testing the feed adequately before release) and now you have a annoyed customer - it is NOT my responsibility to test your feed, nor to guarantee that you receive return on your investment.

I am not asking for a refund because I dont like the product, I am asking for a refund because the product is clearly not what was advertised. A high quality data feed should not have issues with bid/ask volume. Its a bug, plain and simple, and a obvious one that should have been detected in testing before release.


[2014-01-24 10:58:45]
Sierra Chart Engineering - Posts: 103520
We disagree with you. To say that it is useless for short-term trading is just not true. We understand it is useless for what you are doing with it. But this cannot be made as a statement for the data feed in general. We have a lot of people using the CME exchange with this data feed and they are happy with it. And if someone does not use bid volume or ask volume with EUREX, or have high standards for that, then it clearly is not useless for them.

This issue constitutes probably less than 5% of the functionality provided by the data feed. The EUREX is probably only about 20% of the symbols available and the EUREX bid volume and ask volume calculations are a subset of the data feed. Therefore, this is probably like 5% of the overall functionality provided. Additionally when you figure the inaccuracy of this, which is probably below 25%, we are dealing with an even smaller percentage of deviation from specifications. A refund would have to be proportionate to the amount of nonperformance. And if there is a small amount of nonperformance, and it is made clear that there are no refunds, then there are no refunds (although see last paragraph).

There is 0% chance we are going to refund an exchange fee for you. This is why they are documented as nonrefundable. They are simply nonrefundable. They are nonrefundable for a reason and there simply is no discussion here and it is not for discussion. They are non-refundable.

You also say that a high-quality data feed should not have issues with bid and ask volume. Apparently this issue relates to the underlying CQG data feed. That is considered a high quality data feed. This issue is still being researched. Isolating the problem is not easy. Perhaps it will get solved next week. We have to see. One way or another though it will get solved. And once we determine the source of the problem and if it is determined to be with the CQG data feed, then we have determined that we need to contact CQG for resolution. It is our belief, that this underlying CQG data feed might be contributing to the problem, maybe only a small extent, but is not probably the sole source of the problem. There are likely 2 problems and one of them should get resolved soon.


Aside from all of this, we have no problem with a refund of the the $35 data fee to the extent of the prorated amount paid, and we are contacting the management about this. Still do not have an answer yet. So we are still looking into 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:
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: 2014-01-25 22:38:44
[2014-01-24 11:08:28]
ganz - Posts: 1048
corbeste

FYI: Zen-Fire provided the Eurex data with the low quality bid/ask volume data for years and nobody told you the truth. this is capitalism. :)
[2014-01-24 11:11:54]
Sierra Chart Engineering - Posts: 103520
Also consider the longer-term of this. This problem is going to get resolved. We are very determined for that. There is a lot we are willing to invest on our side to solve this problem.

If you are using IQ Feed now, and paying about $100 a month, once is problem gets resolved and likely it is going to get resolved in February, then the cost of this EUREX feed is going to be 50 USD/month. 35 for the data feed and 15 for the level I exchange fee. The exchange fee is going to be split into 2 sometime in February. 15 for level I data and 15 for level II data. So longer-term you will save money if you decide to use this data feed again. We are happy to provide test results for you before you subscribe again.

Like we said, we have no problem to make an exception with a refund in the special case but only for the data feed, not the EUREX exchange fee.
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: 2014-01-24 11:12:43
[2014-01-24 11:13:20]
corbeste - Posts: 74

I am only referring to the Eurex feed, not the CME feed, which works perfectly fine. I am not particularly interested in the mechanics of the issue - that is not an issue for the customer to deal with. My concern rests with you offering something that was not clearly unsuitable for the task and that clearly should have been picked up in testing.

Ganz - thank you for your informed comments in this debate. I am aware Zenfire is useless for delta - this is why I have been a paying customer of IQFeed for the last 2 years - as we all know, you get what you pay for. Something I should keep in mind the next time SierraCharts offers a low cost data feed.
[2014-01-24 11:40:54]
ganz - Posts: 1048
corbeste
you get what you pay for
Absolutely.
And looks like you were aware of. :)
[2014-01-25 01:03:01]
Sierra Chart Engineering - Posts: 103520
We are told a change on the backend server has been implemented in regards to EUREX, and the bid volume and ask volume accuracy problem may be resolved. We will be checking Monday morning.


On this page:
http://www.sierrachart.com/index.php?l=doc/SierraChartRealTimeFuturesStockDataFeed.php#Included

This paragraph has been clarified:

Historical BidVolume and AskVolume: Yes. 100% accurate for CME futures. For other futures exchanges, accuracy is dependent upon Bid and Ask completeness and timing accuracy from the source data feeds.

The 100% accuracy was written at the time that the CME feed was released and that was the only data feed that we originally were offering. The reason we said there is 100% accuracy has to do with the fact that unlike other data feeds, we take advantage of a field indicating whether a trade occurs at the bid or ask, as identified by the exchange. This was a special feature we were pointing out and that was the reason for the statement of 100%. It did not apply to other exchanges because it is not technically possible to do so with other exchanges. Accuracy can vary.
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: 2014-01-25 01:04:45
[2014-01-25 01:06:22]
Sierra Chart Engineering - Posts: 103520
Something I should keep in mind the next time SierraCharts offers a low cost data feed.
Aside from this particular issue, we have proven, that quality can come at a low price. And look at what we point out in post #8.

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: 2014-01-25 01:06:57
[2014-01-25 14:37:45]
Spinoza - Posts: 62
This data feed is meant to set a very high standard for market data and be a reference point for other services.

For example, if you are using the Numbers Bars study, for the greatest accuracy you will require the best quality data feed like this one.

Re post #11. I would suggest you change the sentences quoted above as well. They make the strident and convoluted justification in post #6 appear disingenuous.

Date Time Of Last Edit: 2014-01-25 14:46:21
[2014-01-25 21:00:06]
Sierra Chart Engineering - Posts: 103520
It is meant to set a very high standard for market data and be a reference point for other services. This is completely true. We have achieved that with the CME, and we are working very hard at achieving that with EUREX. This is a statement of intention. And if you are aware of the time and money being spent on this, even to the point of losing money on this to possibly pay for a better EUREX feed, then you would appreciate the work.


In the case of the sentence about Numbers Bars, this was written at the time that the CME feed was released and was in reference to the CME data feed which was the primary exchange to be offered with this data feed. It is completely correct in reference to that exchange and also to ICE. We have an unexpected problem with the EUREX. The EUREX data feed has been out less than a month now. We are working on the issue. It may very well be resolved on Monday.

If post #6 comes across as strident or harsh, then so it is. If we get a request for a refund of exchange fees, we have to make it quite clear, that there are no refunds. We are collecting fees on behalf of the exchange and they are nonrefundable. The exchanges do not play games with this.

Edit: Data fees are a different issue, we are still checking on the refund request. And in any case, what we have decided to do for the two users asking for a refund in relation to EUREX, is that if we do not get a refund ourselves for the data fees, we will go ahead and give you a free month of Sierra Chart. This is a special exception being made.

Update: We did not get a refund of the data fees ourselves, but we will proceed to give you one month additional time on your Sierra Chart account. Please contact us here about this:
https://www.sierrachart.com/usercp.php?page=SupportTickets
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 01:26:33
[2014-01-29 01:23:54]
Sierra Chart Engineering - Posts: 103520
We have started a technical discussion about this 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

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