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
O: 2897.75 (+.25)
C: 2890.00 (-.25)
V: 26067 (-650)
#: 9876 (-206)
O: 2899.00 (+.25)
O: 2899.50 (+.25)
C: 2899.25 (-.25)
V: 15202 (+14)
#: 5546 (+3)
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.