Login Page - Create Account

Support Board


Date/Time: Thu, 17 Jun 2021 17:55:11 +0000



Problem with market dept data and CQG connection

[2021-05-21 16:43:13]
User554446 - Posts: 29 | Ending Date: 2021-07-04
Hi, I have a issue with data. I have the Denali DataFeed and CME enabled and when I use SC DATA - All Service I can see the market dept realtime. Once I switch to my trading account and connect to CGQ API, it loads some market data but it is not updating realtime. I have the [M] befind the name of the future so I imagine that the settings are ok.
Can you help me?

Thanky you
[2021-05-24 14:47:36]
John - SC Support - Posts: 8699 | Ending Date: 2022-04-04
The main thing we want to point out is that you only have the CME with Market Depth for nonprofessional Trading accounts exchange active for the CME Group. Therefore, you would only be able to get Market Depth data for those symbols that are traded on the CME Exchange. Let us know a symbol for which you are not getting the proper data.

Also, we see that you have the U.S. Equities active, keep in mind that we do not have any Level 2 data for the U.S. Equities.
[2021-06-02 12:01:48]
User554446 - Posts: 29 | Ending Date: 2021-07-04
Hi. Thank you so much for the answer. But I am trading just E-mini so the problem I see is a complete different scenario in the DOM and book using the SC-all-data and the CQG on E-MINI. They should be the same. here attached a picture of the two different scenario that I have switching from the CQG to SC-all-data. Sc-all-dataa seems more reliable (look lt-imbalance, for instance).

Please check your own and let me know if you can understand where this difference come from.

Best Regards

Andrea
Date Time Of Last Edit: 2021-06-02 12:14:47
imageCQG Data.png / V - Attached On 2021-06-02 12:00:44 UTC - Size: 432.57 KB - 21 views
imageSC-ALL-DATA feed.jpg / V - Attached On 2021-06-02 12:00:56 UTC - Size: 423.35 KB - 19 views
[2021-06-02 13:37:41]
John - SC Support - Posts: 8699 | Ending Date: 2022-04-04
What is happening is that when you are connected to SC Data - All Services, it is automatically downloading the historical Market Depth data that you are missing. For some reason, it is not doing that when you are connected to CQG (we will have to look into this). You can always force the download by following these instructions (particularly step #8):
https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=375#DownloadingOfHistoricalMarketDepthData
[2021-06-02 18:53:48]
User554446 - Posts: 29 | Ending Date: 2021-07-04
ok. Thank you. Can you verify why this is happening? Thank you so much
[2021-06-02 19:12:59]
John - SC Support - Posts: 8699 | Ending Date: 2022-04-04
We need to spend some time looking into this. It will take at least a few days.
[2021-06-08 07:10:29]
Sierra_Chart Engineering - Posts: 1394 | Ending Date: 2021-09-29
We do not see any problem with the downloading of historical Market Depth data when using CQG, and the Denali Exchange Data Feed.

Make sure you follow the instructions here:
https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=375#DownloadingOfHistoricalMarketDepthData
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
[2021-06-11 08:27:23]
User554446 - Posts: 29 | Ending Date: 2021-07-04
Thank you. It is working now!
[2021-06-11 12:33:19]
User554446 - Posts: 29 | Ending Date: 2021-07-04
Apologize another question. Does we have any way to load the DOM of the previous day in ordert to have an historical heatmap? At least of the last day.

Thank you!
[2021-06-11 18:23:20]
John - SC Support - Posts: 8699 | Ending Date: 2022-04-04
We are not sure we fully understand your question.

In order to see the Market Depth on the DOM for a particular period, you would need to run a Replay and if there is Market Depth for that moment in time, then it will be displayed.

If you are looking for something else, please let us know.
[2021-06-11 19:38:09]
User554446 - Posts: 29 | Ending Date: 2021-07-04
But if I want replay a day where I don't have the data and download the dept of market for a specific day? In previous post I saw that you said that is not possible have past data of market dept.

Thank you
[2021-06-11 20:15:14]
John - SC Support - Posts: 8699 | Ending Date: 2022-04-04
Yes, you can download the data for a specific day, well, really it will download from whatever time you select on that chart to the end of that chart (it may actually download to the current date/time, I would need to check on that).

The only caveat is that the date in question has to be within the last 30 days. Otherwise, we do not have the data available to download.

To post a message in this thread, you need to login with your Sierra Chart account:

Login

Login Page - Create Account