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Sierrachart and CQG data


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Sierrachart and CQG data

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  #1 (permalink)
vancouver, BC
 
 
Posts: 21 since Sep 2017
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Is anyone else facing issues with the latest Sierrachart update and CQG data? How many months of intraday data are you able to get from CQG?

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  #2 (permalink)
Legendary Market Wizard
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wisp View Post
Is anyone else facing issues with the latest Sierrachart update and CQG data? How many months of intraday data are you able to get from CQG?

Hey @wisp,

You may have seen this already and it may not tie directly into your problem, but I thought I'd provide this post from the SC support forum just in case:
https://www.sierrachart.com/SupportBoard.php?ThreadID=46231

I know you have your reasons for using CQG and I am not trying to dissuade you, but I did do a bunch of research before coming over to SC and these kinds of posts are pretty common. Incidently, I decided to use the Denali Exchange Data Feed and SC Order-Routing Service that they recommend and these services have been terrific in my experience. Just wanted to offer that perspective.

Hope you find a solution!

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  #3 (permalink)
vancouver, BC
 
 
Posts: 21 since Sep 2017
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snax View Post
Hey @wisp,

You may have seen this already and it may not tie directly into your problem, but I thought I'd provide this post from the SC support forum just in case:
https://www.sierrachart.com/SupportBoard.php?ThreadID=46231

I know you have your reasons for using CQG and I am not trying to dissuade you, but I did do a bunch of research before coming over to SC and these kinds of posts are pretty common. Incidently, I decided to use the Denali Exchange Data Feed and SC Order-Routing Service that they recommend and these services have been terrific in my experience. Just wanted to offer that perspective.

Hope you find a solution!

Thanks so much. In my situation, I have to use CQG for order routing. I think it gets a bit complicated when we use Denali data and CQG order routing, does it not?

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  #4 (permalink)
San Jose, California
 
Experience: Intermediate
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wisp View Post
Is anyone else facing issues with the latest Sierrachart update and CQG data? How many months of intraday data are you able to get from CQG?

Did you setup your continuous contract in the settings? I'm able to load up to 2018-04-06 on the /ES 15M, which is a little under 32 months.

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  #5 (permalink)
Legendary Market Wizard
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wisp View Post
Thanks so much. In my situation, I have to use CQG for order routing. I think it gets a bit complicated when we use Denali data and CQG order routing, does it not?

I have not used CQG with SC, only the SC Order-Routing Service, but I would imagine you are correct!

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  #6 (permalink)
vancouver, BC
 
 
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trepidation View Post
Did you setup your continuous contract in the settings? I'm able to load up to 2018-04-06 on the /ES 15M, which is a little under 32 months.

Thanks so much.

Yes I have set up continuous contract in the settings and have been using it for a few years, but this morning Sierrachart is having trouble working with CQG. I have trouble even with intraday data today, not sure why. Someone else also seems to have posted the same on their support board.

Its good to know that you have 32 months of intraday data with CQG since sierrachart has stopped support for historical intraday data for CQG.

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  #7 (permalink)
San Jose, California
 
Experience: Intermediate
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Ah, I didnít see the announcement. I might be able to upload my copy of historical data: https://www.sierrachart.com/SupportBoard.php?ThreadID=58506


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  #8 (permalink)
vancouver, BC
 
 
Posts: 21 since Sep 2017
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trepidation View Post
Ah, I didnít see the announcement. I might be able to upload my copy of historical data: https://www.sierrachart.com/SupportBoard.php?ThreadID=58506


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Thanks so very much for your kind offer. I have the historic data from my old charts, just set up a new instance of sierra to see how things will be going forward, but today is quite messy. If I log off and reconnect, the older (between the log off and login) data doesnt get filled.

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  #9 (permalink)
San Jose, California
 
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wisp View Post
Thanks so very much for your kind offer. I have the historic data from my old charts, just set up a new instance of sierra to see how things will be going forward, but today is quite messy. If I log off and reconnect, the older (between the log off and login) data doesnt get filled.


I setup a new SierraChart instance and as advertised CQG only provides the current contract's intraday data. I didn't have any issues with data not filling? Did you also log in to CQG's data feed?

If you want more intraday data you have to copy over the symbol data files F.US.EPX00 from your old SierraChart/Data to your new one. Then it loads up like normal and you get the old intraday data.



My intraday data for ES is about 20gb with each contract month about 2gb. If you know a place to upload it I can share it with the community.

Without the old Intraday data, the Denali feed seems much more attractive now.

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  #10 (permalink)
vancouver, BC
 
 
Posts: 21 since Sep 2017
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trepidation View Post
I setup a new SierraChart instance and as advertised CQG only provides the current contract's intraday data. I didn't have any issues with data not filling? Did you also log in to CQG's data feed?

If you want more intraday data you have to copy over the symbol data files F.US.EPX00 from your old SierraChart/Data to your new one. Then it loads up like normal and you get the old intraday data.



My intraday data for ES is about 20gb with each contract month about 2gb. If you know a place to upload it I can share it with the community.

Without the old Intraday data, the Denali feed seems much more attractive now.


The problem fixed itself and now all the gaps have been filled.


I have my older intraday data and I think it becomes an issues when we decide to trade a new symbol. Thanks so much again for the generous offer to upload the data


Quoting 
Without the old Intraday data, the Denali feed seems much more attractive now

If old intraday data is for backtesting, I think Sierra's delayed data would solve the problem.

I will be staying with CQG for now.

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  #11 (permalink)
vancouver, BC
 
 
Posts: 21 since Sep 2017
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To get CQG to update Sierrachart properly, the broker has to enable historical update for you. Many seem to be having problems with this issue, just call your broker and ask them to enable it.

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  #12 (permalink)
Denver, CO
 
Experience: Beginner
Platform: CQG
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Posts: 25 since May 2016
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wisp View Post
To get CQG to update Sierrachart properly, the broker has to enable historical update for you. Many seem to be having problems with this issue, just call your broker and ask them to enable it.

Just incase the above doesn't fix the issue with missing historical intraday data (as it didn't in my case and I had the same exact problem), see the 'help/frequently asked questions' section on sierra charts website, under that look for 'Missing or incomplete Intraday data chart' which is currently Help Topic #7. Under this I found the suggestion to perform 'Edit>>Delete All Data and Download' function actually recovered all of my missing data. If that doesn't work, then look around under that topic and try something else. Hope this is helpful to others!

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  #13 (permalink)
Boston, MA
 
 
Posts: 7 since Dec 2020
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Quoting 
Just incase the above doesn't fix the issue with missing historical intraday data (as it didn't in my case and I had the same exact problem), see the 'help/frequently asked questions' section on sierra charts website, under that look for 'Missing or incomplete Intraday data chart' which is currently Help Topic #7. Under this I found the suggestion to perform 'Edit>>Delete All Data and Download' function actually recovered all of my missing data. If that doesn't work, then look around under that topic and try something else. Hope this is helpful to others!

This didn't work for me anymore. Over the weekend I couldn't get ES / EP to load earlier than 9/1/20, and when I did a delete all and download, I got even less data. Now I can't get any 2020 data at all. And I can't get bid and ask volume to load anymore past a few days back.

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  #14 (permalink)
Nashville TN USA
 
Experience: Advanced
Platform: SierraChart
Broker: Sierra Futures/SC Denali
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Have you seen this:
https://www.sierrachart.com/SupportBoard.php?ThreadID=58506

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  #15 (permalink)
vancouver, BC
 
 
Posts: 21 since Sep 2017
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sgne View Post
This didn't work for me anymore. Over the weekend I couldn't get ES / EP to load earlier than 9/1/20, and when I did a delete all and download, I got even less data. Now I can't get any 2020 data at all. And I can't get bid and ask volume to load anymore past a few days back.

If you have deleted ALL data and downloaded, then your history is gone and CQG will give only current contract or a month of data I believe. I hope you have a copy of your historical data somewhere. When there is missing intraday data, what you must do is this https://www.sierrachart.com/index.php?page=doc/HistoricalIntradayData.html

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  #16 (permalink)
Boston, MA
 
 
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In late January I switched to the Denali data feed with AMP and optimized two swing-trading strategies in SC, one old (ES) and one new (NQ). (I reworked the older strategy I first developed in TS as a spreadsheet study and got it working how I wanted.)

A week ago there was an SC TT issue at AMP, and they eventually switched me back to CQG data. I verified today that tick data are different enough so that they produce slightly different results for both strategies. And of course, psychologically speaking, I have less confidence in running the strategies with CQG data.

Suggestions are greatly appreciated on what broker I should turn to for Denali data to be used to run two swing-trading strategies. Not too expensive, not too cheap (AMP is cheap and has caused me difficulties).

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  #17 (permalink)
Nashville TN USA
 
Experience: Advanced
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Broker: Sierra Futures/SC Denali
Trading: NQ ES YM
 
Posts: 410 since Nov 2009
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sgne View Post
In late January I switched to the Denali data feed with AMP and optimized two swing-trading strategies in SC, one old (ES) and one new (NQ). (I reworked the older strategy I first developed in TS as a spreadsheet study and got it working how I wanted.)

A week ago there was an SC TT issue at AMP, and they eventually switched me back to CQG data. I verified today that tick data are different enough so that they produce slightly different results for both strategies. And of course, psychologically speaking, I have less confidence in running the strategies with CQG data.

Suggestions are greatly appreciated on what broker I should turn to for Denali data to be used to run two swing-trading strategies. Not too expensive, not too cheap (AMP is cheap and has caused me difficulties).

I use this broker, Denali data/TT routing, cleared by Dorman:
https://sierrafutures.stage5trading.com/
They are a subsidiary of Stage5 Trading.

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  #18 (permalink)
Chicago, IL
 
Experience: None
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From what I understood Sierra was just changing from TT order routing to CQG and you should still have their Denali feed for data.

They said this was temporary until they could implement their own order routing.

sgne View Post
In late January I switched to the Denali data feed with AMP and optimized two swing-trading strategies in SC, one old (ES) and one new (NQ). (I reworked the older strategy I first developed in TS as a spreadsheet study and got it working how I wanted.)

A week ago there was an SC TT issue at AMP, and they eventually switched me back to CQG data. I verified today that tick data are different enough so that they produce slightly different results for both strategies. And of course, psychologically speaking, I have less confidence in running the strategies with CQG data.

Suggestions are greatly appreciated on what broker I should turn to for Denali data to be used to run two swing-trading strategies. Not too expensive, not too cheap (AMP is cheap and has caused me difficulties).

Sent using the futures.io mobile app

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  #19 (permalink)
Boston, MA
 
 
Posts: 7 since Dec 2020
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Well, when I backtested, the results were different. Also, I found that the non-CQG symbols load faster and work better with the program and calculate as expected in the spreadsheet study for trading.

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  #20 (permalink)
Boston, MA
 
 
Posts: 7 since Dec 2020
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tomgilb View Post
I use this broker, Denali data/TT routing, cleared by Dorman:
https://sierrafutures.stage5trading.com/
They are a subsidiary of Stage5 Trading.

Tom, I ran into the following issue over the weekend. Perhaps you can inform me, as I am only an advanced beginner with SC.

Spreadsheet Study for Trading.

Running either Fast or Accurate backtesting, with Denali data feed.

Limit orders are placed on NQ by the spreadsheet system.

Occasionally (rarely) backtests show buy fills below the low of the bar.

Have you run into that before? Why would that be?

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  #21 (permalink)
Albuquerque, NM, USA
 
 
Posts: 84 since Jul 2012
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mongoose View Post
From what I understood Sierra was just changing from TT order routing to CQG and you should still have their Denali feed for data.

They said this was temporary until they could implement their own order routing.[/URL]

I'm about to make this switch, as well.

This whole thing is bizarre. At the very top of the page (at the link AMP provided), it clearly states you will be changing data feeds. And the only selection AMP provides under "Live Trading Setup" is, again, to change data feeds. But then at the bottom, it indicates they will not change data feeds, they will only change routing.

Talk about a confusing mess. And in the middle of all this, SC decides this is the optimum time to change their billing procedures.

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  #22 (permalink)
Nashville TN USA
 
Experience: Advanced
Platform: SierraChart
Broker: Sierra Futures/SC Denali
Trading: NQ ES YM
 
Posts: 410 since Nov 2009
Thanks: 166 given, 506 received


sgne View Post
Tom, I ran into the following issue over the weekend. Perhaps you can inform me, as I am only an advanced beginner with SC.

Spreadsheet Study for Trading.

Running either Fast or Accurate backtesting, with Denali data feed.

Limit orders are placed on NQ by the spreadsheet system.

Occasionally (rarely) backtests show buy fills below the low of the bar.

Have you run into that before? Why would that be?

Not specifically.

Possibilities:
- The Limit entry order prices in J22/J24 are not the expected values at the time K3/M3 go true. Also, J71/J73 must be set to L.
- You are seeing slippage from lag due to system complexity, system configuration, or backtest speed,

Yes, these are vague answers, but they cover most of the causes. If you can provide more details of your setup where I could be more specific, post them here:

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  #23 (permalink)
Albuquerque, NM, USA
 
 
Posts: 84 since Jul 2012
Thanks: 63 given, 79 received

Okay, just a follow up. Changed routing to CQG, updated symbols, d/l'ed all six months of data. No problems. It didn't like my 256 bit password, though, so had to drop down to 128 bit in order to get logged in.

As of now, it all looks good.

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