Wave59 Technologies

Thank you Earik!

The "movie" was right there in front of me to see, posted above, and so were your explanations.

Thank you for providing us with this valuable Order Flow Module.

And thank you too for making these corrections/updates/fixes with the Cumulative Volume's display and presentation!

In this chart, I have colored the Cumulative Volume Bars in black, and yesterday, Friday, March 18th, there was a non-confirmation around 3:00 pm Eastern ( 4minute, @esm16).

The Cumulative Volume was making a double bottom with the level that is was at about 1:30 pm, but prices were making a higher High.

With gratitude for these module features and your efforts,

Joseph

Earik,

The Cumulative Volume is still not displaying correctly.

Both 24 hour charts are 4 minute bars of the e-mini taken today, Tuesday, March 22nd.

The "a" chart was started about 8:30 am Eastern and IQ Collector was kept running in the background.

At about 12:30 pm, I closed Wave59, recollected the data, and then re-opened Wave59 and my chart, the "c" chart. You can see the difference in the volume patterns. It still needs attention.

I was testing this on my new Windows 10 machine.

Joseph

Hi Joseph,

Make sure you are running the most up-to-date version of IQC. I forgot to update the version number last time (whoops ), so I've attached the latest to this post just to be sure. Download, unzip, then overwrite your current one. This takes advantage of IQFeed's most recent protocols, which include microsecond timestamps, which are important.

Just to give you an idea what's going on here... This isn't really an issue of a bug in the sense that I made a programming error somewhere. It's more an issue in dealing with a really tricky problem. The CME doesn't release bid/ask/trade values together. They have two data feeds - one for trades, and the other for bid/ask. These go to DTN on two separate lines, and then DTN merges them together. IQCollector needs to know when a trade happens at the bid or the ask, but since the data is split up, it's impossible to really know and you have to work backwards. There are time stamps on everything, so if you build it up after the fact this is no big deal (like when you download history), but doing it in real time is more difficult because you can (and do!) experience latency on one or both of those data streams from time to time. So you can get a trade value, but then have to wait to figure out what the actual bid/ask was at the time. But if you wait, then your charting program doesn't get updates on time, and there's a whole latency issue that can pop up. I've spoken with the programmers at IQ about it, and we all basically agree that the whole thing is a PITA, with no easy workaround.

Having said that, I'm still trying to get it better. But it's just not so easy.

Anyway, all for now. Make sure you're up to date with the current IQC, and see if that helps at all.

Earik

Thank you, Earik............ACKNOWLEDGEMENT

I appreciate your making available this new version and especially give us some insight as to the data delivery / data organization / programming difficulties.

I would consider this version an improvement. However, it is still not ready for real time trading.

The first chart "A", was taken at about 8:15 am this morning, Eastern time, Thursday, March 24th.

This is a 4 minute chart of the Cumulative Volume. I kept it running all morning long.

The second chart "B", was taken at about 1:15 pm just before I saved the charts and closed Wave59.

In the third chart "C", I kept the IQ Collector running in the background and just re-opened Wave59. Chart "B" an Chart "C" look this same.

But here is the snafu...........

In chart "D", I closed Wave 59, then I closed IQ Collector. My next step was to re=Collect the entire series for today, and ore-open Wave59 and my charts.

YOU WILL NOTICE A BIG DIFFERENCE IN THE PATTERN OF CHART "D" COMPARED TO THE PATTERN IN CHARTS "B" AND "C".

SO WHAT IS STILL REQUIRED OF US IS TO CONSTANTLY RE-COLLECT THE DATA.

I will say, as is, this did help me. I was looking for the relative Cumulative Volume pattern and its relation to price.

BUT IT IS NOT READY YET TO TRADE WITH.

I know you are doing your best at this, and I thank you. But I am wondering if we, the Wave59 members, aught to engaged in a public relations campaign with DTN-IQ Feed 's management to suggest,

1) An interest in providing these data features, and

2) Greater fluidity in the transmission of the data feeds to us as customers.

It is preposterous for the CME to send two data streams to DTN, DTN "bundles" both fees into one and sends it to us, and then you as a programmer / developer / entrepreneur have to separate the data into two separate streams?

Joseph

I know you are doing your best at this, and I thank you. But I am wondering if we, the Wave59 members, aught to engaged in a public relations campaign with DTN-IQ Feed 's management to suggest,

1) An interest in providing these data features, and

2) Greater fluidity in the transmission of the data feeds to us as customers.

It is preposterous for the CME to send two data streams to DTN, DTN "bundles" both fees into one and sends it to us, and then you as a programmer / developer / entrepreneur have to separate the data into two separate streams?

hi Joseph,

It's not DTN's fault - this is the way the CME sends data. If you consider the bid/ask feed, it's probably 50x more information than the trade-by-trade feed. You don't want all those bids and asks to create a bottleneck in reporting actual trades, so they stuff the two down separate pipes. If the bid/ask gets crazy and has latency, then at least the trades are up-to-date and you know what prices are. Consider in light of a market crash, and it makes a lot of sense why to do it that way.

So getting on DTN's case about this isn't going to help matters, because they don't have the power to change it, and the CME has a good reason for doing it this way. The solution is for me to figure out a better way of putting humpty dumpty back together again after the fact, as obviously the way I'm doing it now isn't quite working out according to your charts.

Earik

earik wrote:Hi Christer,

The data is stored in US Eastern Time format, but then gets converted to local time on the fly. Looks like it's having an issue knowing to grab from the previous day to get your first 6 hours. I'll check it out.
-snip-

Earik

Hello Earik,

Same problem is back with version 1.1. No data and no realtime data in OrderFlow chart before 06:00 CET. Chart starts updating at 06:00, but no data showing before 06:00.

//Christer