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Inaccurate CQG data when compared to CME


#1

I use CQG with Optimus and I trade the 5m chart of the ES using Sierra Chart.

After sharing charts with other traders (who use different data feeds), I started to notice small differences in the Open and Close prices of the 5 minute bars.

As a point of reference, I checked the delayed charts on the CME website. They were indeed not the same as my CQG charts.

I initially thought that perhaps this was a Sierra Chart issue or something to do with my local computer’s config. I therefore loaded the same chart in CQG Desktop (their cloud-based platform). The charts were identical, therefore I ruled this out as the cause.

Knowing that this was indeed a CQG data issue, I went in search of a reputable, accurate data source for comparison. I signed up for a trial of the Sierra Chart Exchange Data Feed, configured it, disconnected, reconnected, refreshed my charts and voila, I now had a chart which matched the CME exactly!

To highlight the issue further, here are the details for the first 4 bars of RTH on the ES, Fri Aug 31st 2018. Where there are differences between the two datasets, I have noted them in brackets.

Sierra Chart Exchange Data Feed

Bar 1
O: 2897.50
H: 2899.50
L: 2897.00
C: 2898.75
V: 26717
#: 10082

Bar 2
O: 2898.75
H: 2900.25
L: 2898.00
C: 2899.25
V: 16149
#: 6606

Bar 3
O: 2899.25
H: 2900.00
L: 2898.00
C: 2899.50
V: 15188
#: 5543

Bar 4
O: 2899.50
H: 2901.25
L: 2899.00
C: 2900.50
V: 18629
#: 7855

CQG

Bar 1
O: 2897.75 (+.25)
H: 2899.50
L: 2897.00
C: 2890.00 (-.25)
V: 26067 (-650)
#: 9876 (-206)

Bar 2
O: 2899.00 (+.25)
H: 2900.25
L: 2898.00
C: 2899.25
V: 16149
#: 6606

Bar 3
O: 2899.50 (+.25)
H: 2900.00
L: 2898.00
C: 2899.25 (-.25)
V: 15202 (+14)
#: 5546 (+3)

Bar 4
O: 2899.50
H: 2901.25
L: 2899.00
C: 2900.50
V: 18613 (-16)
#: 7850 (-5)

There are some screenshots below to help visually show the differences too. These discrepancies may appear minor but consider that Bar 3 changed from a bull doji to a bear doji because of this issue and that could very much influence a trader’s decision making.

I would like to understand why the CQG data is so inaccurate? As an aside, I do not believe this issue is unique to CQG, I experienced similar problems with my old data feed (Transact) and I fear that the more feeds I analyse, the more problems I may find.


#2

@mgcharl Thank you for posting this, and I appreciate the due diligence you took in comparing data between the CME and CQG. We at Optimus did not hear any issues from other users that use CQG and Sierra Chart combination. We can not comment on the previous broker you had, but it does give us an insight as to matters that futures data feeds experience over futures trading platforms.

Sierra has always been a proponent of their own data feed as the most accurate data feed, and we are considering mentioning it to our customers in a more active manner when they sign up.

Having said all the above, we at Optimus Futures intent to address this with Sierra and CQG to see what they see about this. As soon as we hear from both with a sufficient explanation, we will get back to you. We assure you that we take these issues seriously.

Thank you,
Matt Z
Optimus Futures
www.optimusfutures.com