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Direct MessagesDate/Time: Fri, 19 Apr 2024 06:33:00 +0000
iqfeed, implied trades, volume and tick based bars
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| [2014-03-14 21:59:31] |
| User83837 - Posts: 8 |
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I've discovered with iqfeed that Sierra ignores ticks from implied trades when building a chart. This can be seen in the volume study, as well as tick based bars (which I use to trade from). In heating oil and natgas (perhaps other energy futures as well, that's just the 2 I trade), this is a significant amount of ticks (approx. 50-60%). It's not as big a percentage in the other contracts I checked (~20% for soymeal, ~15% gold, ~1% T notes, ~2% $5-Dow) I have a few questions about this. 1-Does Sierra throw away the ticks compleletely (that is, not store them), or just ignore them for building a chart? 2-Do other data feeds have this issue? And if no, do the other data feeds send the implied trades at all, or send them and not differentiate? 3-Can we get an option on chart settings to include implied trades when building a chart? Sorry if this has already been answered... the closest prior thread I could find said something about ignoring implied trades from iqfeed for some DTC C# purpose (not something I'm familiar with there). Thanks |
| [2014-03-14 23:39:45] |
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In the case where we can identify that trades are from "spreads" , this may be the same as implied trades, those are definitely not included charts because often those values will be out of the normal range of prices. Depending upon the particular data feed, they may be completely ignored, or still displayed within Quote Boards and the Window >>Current Quote Window. 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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