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[Locked] - Technical Discussion: EUREX Bid Volume and Ask Volume

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[2014-01-28 01:11:22]
Sierra Chart Engineering - Posts: 104368
This is a discussion about the determination of volume at trades that occur at the bid price and determination of volume of trades that occur at the ask price on the EUREX.

This is known as Bid (Trade) Volume and Ask (Trade) Volume.

It does not come to any definite conclusions.

We will try to make this as brief as possible.

The new Sierra Chart EUREX futures data feed, is identifying trades at the bid and the ask sometimes differently compared to IQ Feed and CTS T4. Both of which would be considered good references. This identification affects Bid Volume and Ask Volume which is used by various studies including Numbers Bars and Cumulative Delta Bars.

The general reason has to do with the completeness of best bid/ask price data and/or the timing of this data in relation to the trades. The data feed we use originates from CQG. This does not mean there is any problem with the source data feed. Based upon the behavior of the EUREX data feed, as will be explained, small timing differences can have a significant effect.

Update: We have determined that the Sierra Chart EUREX data feed provides more bid/ask updates than IQ Feed. We can provide some screenshots to prove this.

Look at the attached image. You will notice a chart on the left which is from IQ Feed and on the right which is from the Sierra Chart EUREX data feed.

For our analysis, we are using the Cumulative Delta Bars study. The reason for this study is that it uses bid volume and ask volume and this is where the problem is. It also performs a cumulative calculation throughout the entire trading day which means that small discrepancies with individual trades become much more apparent. So it is very ideal to validate Bid Volume and Ask Volume.

What you will find in these images is that Cumulative Delta Bars based on ask/bid volume, compared to up/down tick volume, have a very similar appearance in the IQ Feed chart.

The Cumulative Delta Bars using up/down tick volume from the Sierra Chart data feed, also looks like the IQ Feed CDB (cumulative Delta bars) based on ask/bid volume.

One thing that you will notice is that even though the DAX has traded slightly up on the day, the IQ Feed CDB based on ask/bid volume is significantly negative. This does not seem to be valid. The CDB based upon up/down tick volume appears to be more accurate and reasonable.

The main problem is that with the EUREX, trades often occur between the quoted bid and ask prices. This is not common from our observations on the CME. What Sierra Chart does in this case, is that it will see whether the trade price is closest to the bid or closest to be ask to determine whether it is considered at the bid or at the ask. If it is exactly in the middle, then it uses up/down tick logic to make the determination.

When there is a significant amount of trading going on between the bid and the ask, there is a significant amount of variability to identify whether the trade is at the bid or the ask. This is not a stable algorithm.

After considering all of this, it only seems to make sense in the case of the EUREX, that up/down ticks are used in the determination of bid volume and ask volume.

The Sierra Chart EUREX data feed uses this method now and produces a more reasonable result for bid volume and ask volume. This went into effect 2014-1-28.

Therefore, you should look at IQ Feed and look at the results you get with the Sierra Chart EUREX data feed and determine which one is going to be better for you. This is up for you to decide.

However, at this point in time, with what we know, there is definitely not an accuracy problem with the Sierra Chart EUREX data feed because with what we are seeing now with IQ Feed and how Sierra Chart is processing the data, the bid/ask volume result you get with IQ Feed is definitely not 100% accurate. Since it is not possible for it to be accurate to begin with based on how the exchange provides data.

And with the changes we made, we have produced a good result with bid volume and ask volume with the Sierra Chart EUREX data feed, which appears to be more accurate than IQ Feed.

In this exhibit below, is a sample of the raw IQ Feed data for the DAX showing trades between the quoted bid and ask. In the next exhibit after this, you can see the field descriptions for the lines below.

IQ Feed data:

1,2014-01-27 15:58:19,9342.50,1,160356,9341.50,9343.00,837730,0,0,C, | 2014-01-28 06:36:12
1,2014-01-27 15:58:20,9342.50,1,160357,9341.50,9342.50,837740,0,0,C, | 2014-01-28 06:36:12
1,2014-01-27 15:58:21,9343.00,1,160358,9341.50,9343.00,837750,0,0,C, | 2014-01-28 06:36:12
1,2014-01-27 15:58:27,9343.00,3,160361,9341.50,9343.50,837760,0,0,C, | 2014-01-28 06:36:12

Field descriptions lines of data above.
Request ID   Text   This field will only exist if the request specified a RequestID. If not specified in the request, the first field in each message will be the Timestamp.
Time Stamp   CCYY-MM-DD HH:MM:SS   Example: 2008-09-01 16:00:01
Last   Decimal   Example: 146.2587
Last Size   Integer   Example: 100
Total Volume   Integer   Example: 1285001
Bid   Decimal   Example: 146.2400
Ask   Decimal   Example: 146.2600
TickID   Integer   Example: 6813524
Reserved      Example: 0
Reserved      Example: 0
Basis For Last   Character   Possible single character values include:

C - Last Qualified Trade.
E - Extended Trade = Form T trade.

Finally, this thread is locked and cannot be posted into. If you would like to comment on this, start a new Support Request on this Support Board.
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: 2014-03-14 00:46:54
image2014-01-28_101734.png / V - Attached On 2014-01-28 01:11:13 UTC - Size: 43.37 KB - 753 views
[2014-01-29 00:46:32]
Sierra Chart Engineering - Posts: 104368
At the time of this post, the post above has been finalized and dictation errors corrected.

In summary, what you see with the Sierra Chart EUREX data feed bid volume and ask volume, is not an exact match to what you see with IQ Feed and CTS T4 ( these both differ from themselves as well), however we have explained that those results are not perfect and the results that are now being given from the Sierra Chart EUREX feed, are visually similar, based upon the appearance of Cumulative Delta Bars, and appear to be more valid.

We consider the matter with EUREX closed at this time. And we consider what users have been seeing with Bid Volume and Ask Volume with IQ Feed as less than accurate for EUREX. And the Sierra Chart EUREX feed provides a more reasonable result.
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 09:38:35
[2014-01-29 03:22:00]
Sierra Chart Engineering - Posts: 104368
In post #1 there was a dictation error that said:
"wrong IQ Feed data"

It was meant to say:
"raw IQ Feed 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 06:24:47
[2014-01-29 09:06:26]
Sierra Chart Engineering - Posts: 104368
We are doing a comparison between the Sierra Chart EUREX data feed and IQ Feed and there is a much higher number of bid/ask updates with the Sierra Chart EUREX data feed compared to IQ Feed meaning that Sierra Chart is providing complete bid/ask updates compared to IQ Feed.


We also have been contemplating this whole problem of timing between trades and bid/ask updates to identify whether a trade occurred at the bid or the ask. The only reasonable thing that we can see is that it is necessary that when a trade comes in and if the trade is between the bid and ask prices, it is necessary to reverse iterate through the bid/ask updates to find a matching record and then determine whether it was at the bid or the ask.

We may give this a try. However, our position is that we have already solved the problem by relying on up/down ticks.
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 09:11:32
[2014-01-29 22:31:45]
Sierra Chart Engineering - Posts: 104368
Refer to these images comparing the Sierra Chart EUREX data feed to IQ Feed for the DAX March futures using the Cumulative Delta Bars-Volume study.

http://www.sierrachart.com/image.php?l=1391032429393.png (IQ Feed)
http://www.sierrachart.com/image.php?l=1391032445308.png (Sierra Chart EUREX data feed)

It is not possible with how the EUREX data feed works to have completely accurate bid volume or ask volume. Therefore, what you see with IQ Feed is not "right or "correct".

The Sierra Chart EUREX data feed provides a good result in this regard. And we contend that it is a better result because it uses a more consistent and stable 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
Date Time Of Last Edit: 2014-01-29 22:32:31

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