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Direct MessagesDate/Time: Fri, 19 Apr 2024 07:58:02 +0000
SC Eurex Feed - Bid/Ask Volume
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| [2014-01-29 07:50:32] |
| Futurestrader77 - Posts: 126 |
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Since the other thread was closed, I would like to ask if you compared the data from your feed with data coming directly from Eurex? I think you can get the data here from the exchange: http://datashop.deutsche-boerse.com/epages/datashop.sf/en_GB/?ViewObjectID=52626 Do you have an idea how Eurex handles the problem with trades that occur between bid and ask? If your feed is wrong, the use of any volume study that uses bid and ask data to determine and track order flow is useless. You could also compare your feed with OEC, as their data feed seems to be better than IQ Feed regarding Eurex: http://www.youtube.com/watch?v=FDYiz-2FFwA Thank you! |
| [2014-01-29 07:58:54] |
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We can see about doing a comparison. We do not see how the EUREX would be concerned about trades that occur between the bid or the ask. They transmit trade data and also the market depth data. What the timing relationship between those two is not exactly known. At this point we do not fully understand it. The fact that a trade occurs between the bid and the ask shows that one of them is lagging behind the other. How exactly is a Sierra Chart EUREX feed wrong? We do not observe that. The conclusion that we came to is that it is not reliable to use bid and ask prices for tracking order flow on the EUREX and this is why we contend the results users are getting from IQ Feed based on bid and ask EUREX data, are less than accurate because it is too often that prices do not match the Bid or the ask. We have recently looked at OEC, last month. They do not have a full tick by tick EUREX feed. It is not valid for comparison. What Sierra Chart provides is superior. It is the full tick by tick feed. 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 08:02:10
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| [2014-01-29 08:22:14] |
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The Eurex Best bid / best Ask data would not be helpful. It does not contain any trade data. So what would be gained by analyzing and comparing it to the Sierra Chart bid and ask data from the EUREX? Other than seeing if we are sending through all of the Bid/ask data but it does not help with the basic problem. The general premise here is that it does not make sense to try to get very minor timing/completeness differences resolved with the bid/ask data if in the end it is not reliable to determine whether the buyer or the seller was the aggressor in the trade. And there was a change on the backend EUREX data feed that we use, two days ago, to ensure better timing of the bid/ask data in relation to the trades. Whether this made any difference or not, is hard to analyze because the differences are so subtle to begin with and the fact that no matter what EUREX data feed you look at, you see large numbers of trades occurring between the bid and the ask. 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 |
| [2014-01-29 09:24:47] |
| Futurestrader77 - Posts: 126 |
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Thank you for your answer! The Eurex Best bid / best Ask data would not be helpful. It does not contain any trade data.
Ok, so I misunderstood this statement from Eurex: "Eurex® best bid / best ask provides the best bid / ask prices, together with the underlying order volumes for all traded instruments on Eurex®." I thought with order volume they meant the corresponding trade data. Either way, thank you for your time. Date Time Of Last Edit: 2014-01-29 09:27:23
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| [2014-01-29 17:58:35] |
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At this point, we are confident that the EUREX data feed provided by Sierra Chart and the identification of whether a trade occurred at the bid or ask is now good. It is not perfect because of how the EUREX works. But it is not perfect with any other data feed either. That we are sure of.
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 17:58:50
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