關於CQG Historical Data

nihao

Hi, 大家新年快樂，想請問有在使用CQG data feed的大大，關於CQG Historical Data的tick by tick data, 是30天還是5天?
一直用SierraChart搭配CQG用得好好的，但前陣子tick by tick data只有出現5天和漏資料，後來爬了下文感覺是SierraChart為了推他們的Denali data feed才這樣搞，我看Best Data Feeds in Trading Software | MultiCharts 和 Sierra Chart announcement about Changes to Historical Data: IBKR, CQG, Rithmic, etc - AMP Forum (ampfutures.com) CQG Historical Data的tick by tick data都是30天。
我又看到Post From: HELPPPP WHAT IS WRONG WITH MY OIL CHART - Support Board - Sierra Chart，而我知道這邊有些許人用CQG但Platform不是SierraChart，所以想知道你們的CQG tick by tick Historical Data到底是30天還是5天?

nihao

畢竟CQG有支援亞洲的期交所像新加坡、香港、日本，
如果用其他Platform的CQG有30天tick by tick Historical Data，那就代表是SierraChart的問題惹......

nihao

以下來源:Is Sierra not requesting full duration of CQG provided tick data even when available? - Support Board - Sierra Chart

內文:
Summary: CQG provides 30 day of tick data on current contracts, but Sierra is requesting and downloading only 5 days

Sierra has given us fair notice in https://www.sierrachart.com/SupportBoard.php?ThreadID=58506 and via many other means that if not paying for and using a Sierra data feed "When using CQG data, there will be 5 days of tick by tick data and 1 Minute data for the prior time period and for current contracts only".

a) It is fair that Sierra doesn't provide data that isn't there in CQG for no payment
b) It is questionable why Sierra would refuse to download CQG even when available from CQG. The sole reason I am guessing is to push users to Sierra's own product. The difference between 5 day and 30 day can mean the difference of not usable vs. usable for many users (it is for me)

Now some details:
I am AMP customer, using CQG feed. I took the information provided by Sierra on face value, and dutifully signed up for a Sierra a/c that I am paying for (I don't like it but respect Sierra's decision to not provide discounted access through AMP), and Denali feed, and exchange fees that I have to pay for again (I will still keep my CQG/AMP feed and exchange subscription in case I need to bypass Sierra and log into CQG web to close positions in an emergency or just to have mobile access).

I keep seeing everywhere that CQG provides 30 day of tick data, contrary to Sierra information of 5 day. So I used a well known competing charting platform that has no historical data, connected to CQG and requested 50 day of tick data on EPM21. As advertised, 30 day worth of tick data appeared in chart.

At this point I thought well, Sierra documentation is incorrect. Testing time: I made a backup of my data folder, disabled sierra feed in settings, and requested 50 day of tick data on EPM21. And there was bars on chart! But soon it was clear it was a mix of tick and minute data. True tick data for the last 5 days, and all data before 5 days is minute resolution, with Sierra providing no warning of it being so. This confusing. Why would CQG provide tick data for 30 day to Platform X but not to Sierra? Time for a closer look in the message logs?


F.US.EPM21 2500 Trades #2 | Reloading chart. | 2021-04-25 10:35:06.063
F.US.EPM21 2500 Trades #2 | Currently no data in file to display. Will start historical data download and real-time updates. File: C:\tools\SierraChart_cqg\Data\F.US.EPM21.scid | 2021-04-25 10:35:06.074
CQG WebAPI | Starting real-time market data updates for: F.US.EPM21. ID: 1 Service code: cqg | 2021-04-25 10:35:06.285
CQG WebAPI | Sending symbol resolution request for F.US.EPM21. ID: 679402 | 2021-04-25 10:35:06.285
CQG WebAPI | Requesting security definition data for: F.US.EPM21. ID: 1 | 2021-04-25 10:35:06.285
CQG WebAPI | Using primary service for historical data for F.US.EPM21 | 2021-04-25 10:35:06.285
Starting DelayedDownloadMonitoringTimer | 2021-04-25 10:35:06.286
Starting HDTimeoutTimer | 2021-04-25 10:35:06.286
Added historical Intraday data request for F.US.EPM21 to the queue. | 2021-04-25 10:35:06.286
Intraday data recording state for symbol F.US.EPM21 is set to download 'Pending'. | 2021-04-25 10:35:06.286
Triggering next historical data download in queue. | 2021-04-25 10:35:06.286
Delaying start of download for F.US.EPM21 | 2021-04-25 10:35:06.286
CQG WebAPI | Received symbol resolution report for symbol F.US.EPM21. Search Symbol: F.US.EPM21. Request ID: 679402. Contract ID: 1. | 2021-04-25 10:35:06.304
CQG WebAPI | Requesting market data for F.US.EPM21 | 2021-04-25 10:35:06.305
HD Request # 1 | Downloading Intraday chart data for F.US.EPM21 to the file F.US.EPM21.scid. Service: cqg | 2021-04-25 10:35:11.284
HD Request # 1 | Performing multistage download. Downloading Minute data first. | 2021-04-25 10:35:11.284
HD Request # 1 | Download start date-time: 1993-12-08 09:35:11.000000. File last date-time: 00:00:00.000000 | 2021-04-25 10:35:11.284
HD Request # 1 | Disabling Intraday chart updating for symbol. | 2021-04-25 10:35:11.284
HD Request # 1 | Requesting historical Minute data. | 2021-04-25 10:35:11.284
HD Request # 1 | Receiving Intraday data for F.US.EPM21 starting at 2021-01-25 09:35:00.000000 | 2021-04-25 10:35:12.914
HD Request # 1 | Timestamp of first Intraday data file record written: 2021-01-25 09:35:00.000000 | 2021-04-25 10:35:12.927
HD Request # 1 | Received 87055 records from 2021-01-25 09:35:00.000000 to 2021-04-23 15:59:00.000000 (88.2 days) and wrote 87055 records for F.US.EPM21 | 2021-04-25 10:35:12.945
HD Request # 1 | Completion time: 1s | 2021-04-25 10:35:12.946
HD Request # 1 | Intraday data download complete for F.US.EPM21. Unique request ID: 1 | 2021-04-25 10:35:12.946
Added historical Intraday data request for F.US.EPM21 to the queue. | 2021-04-25 10:35:12.946
Triggering next historical data download in queue. | 2021-04-25 10:35:12.946

HD Request # 2 | Downloading Intraday chart data for F.US.EPM21 to the file F.US.EPM21.scid. Service: cqg | 2021-04-25 10:35:12.947
HD Request # 2 | Rounding start date-time down to the minute: 1993-12-08 09:35:00.000 | 2021-04-25 10:35:12.949
HD Request # 2 | Download start date-time: 1993-12-08 09:35:00.000000. File last date-time: 00:00:00.000000 | 2021-04-25 10:35:12.949
HD Request # 2 | Requesting historical Tick data. | 2021-04-25 10:35:12.949
HD Request # 2 | Receiving Intraday data for F.US.EPM21 starting at 2021-04-20 10:35:11.172000 | 2021-04-25 10:35:43.037
HD Request # 2 | Rounded first tick record Date-time down to minute: 2021-04-20 10:35:00 | 2021-04-25 10:35:43.037
HD Request # 2 | Truncated Intraday data file at 2021-04-20 10:35:00 while receiving initial tick data during multistage download. | 2021-04-25 10:35:43.038
HD Request # 2 | Date-time after truncate 2021-04-20 10:34:00 | 2021-04-25 10:35:43.038
HD Request # 2 | Timestamp of first Intraday data file record written: 2021-04-20 10:35:11.172000 | 2021-04-25 10:35:43.044
HD Request # 2 | Received 2950600 records from 2021-04-20 10:35:11.172000 to 2021-04-23 15:59:59.268000 (3.2 days) and wrote 2950600 records for F.US.EPM21 | 2021-04-25 10:35:43.302
HD Request # 2 | Add time&sales data | Remembered last file record date-time: 2021-04-23 20:59:59.268000 | 2021-04-25 10:35:43.305
HD Request # 2 | Completion time: 31s | 2021-04-25 10:35:43.305
HD Request # 2 | Intraday data download complete for F.US.EPM21. Unique request ID: 1 | 2021-04-25 10:35:43.305

So Sierra would request and download 5 day worth of tick data (weekend and exchange holiday included, so it can be really less than 5 days <- 100% unusable data), but 30 day is available.

Why would you guys do that?

nihao

看來真的是Sierra Chart的問題，為了推廣自己的Denali data feed而抹黑CQG......