Missing Eurex Futures Data

[MarketMonk]

To ScottJ and the Troubleshooting Team at eSignal,

Thank you for the detailed update in your last post on your planned upgrades to European Futures data system.

What I find interesting is that I suggested doing the same thing back in January. But I was told, through this thread, that bandwith, direct connections and hardware were not the problem. Your old system could handle the data flow. You just had to configure it correctly.

It was obvious to me and anyone else following this soap opera what had to be done. Configuring the system would not solve the problem. Well, I am glad management has cut their losses after 2+ months of problems and are biting the bullet and spending some money to fix the problem. Thank you management. If the powers that be at eSignal were traders they would lose all their money using a 2+ month stop loss.

Looking forward to CONSISTENT AND RELIABLE real time data flow from eSignal for Eurex futures.

Thank you for the good communication. It does make a difference and improves customer relations.

Good Trading
MarketMonk

[MarketMonk]

Missing data on intraday bars

To Graeme Ballard, ScottJ and anyone else over at eSignal interested in data integrity.

Literally everyday several intraday bars for Eurex Bunds and DJ Euro Stoxx 50 are missing data. This may be happening in other markets, but I only trade Bunds and Euro Stoxx 50. The easiest bars to see are the intraday bars at the high and low of the day. But the problem I am seeing happens inside the days range. I just can not verify after the fact. I can only verify with you on the high and low of the day. I watch and trade these markets non stop, so I can tell you I know what I am seeing and your feed is not printing all trades.

Please take a look at the June DJ Euro Stoxx 50 contract for this week.

Monday: Low for the day is 1982 according to your daily chart and FuturesSource and PATSystem. But the intraday bars only show a low of 1985. 3 tick difference.

Tuesday: High for the day is 2052 according to your daily chart and FuturesSource and PATSystem. But the intrady bars show 2051. 1 tick difference. The low for the day is 1996 according to your daily chart and FuturesSource and PATSystem. But the intraday bars only show a low of 1997. 1 tick difference.

Wednesday: High for the day is 2145 according to your daily chart and FuturesSource and PATSystem. But your intraday bars show a high of 2144. 1 tick difference.

I could go on and on and on and on. Your intraday bars are NOT printing all the trades. The high and low for the day are easy ones to see, but I assure you that it is happening almost every hour every day.

This is also happening in the Bunds. The problem is even worse in the Bunds. But I will not take the time to post those examples. Look for them over the last 3 weeks.

Please look into this issue and reply back to the group. As a technical trader using price as my primary indicator I MUST have all the data on the intraday bars. This is EXTREMELY important.

Please advise and inform. Waiting for your reply.

Thank you
MarketMonk

[MarketMonk]

Missing data on intraday bars for Friday

To eSignal Staff,

It is currently 3:35 am New York time.

The DJ Euro Stoxx 50 intraday bars are not printing the high and low for the day at present. Current high of day is 2167. Intraday bars showing 2166. 1 tick off. Current low of day is 2121. Intraday bars showing 2122. 1 tick off. Bunds current low of day is 113.34. Intraday bars showing 113.35. 1 tick off.

The Eurex DJ Euro Stoxx 50 contract has only been open 1 hr 38 min and several errors in this regard have already occurred.

Please let me know you have at least read my two post regarding this subject and are aware of the problem.

If I should be posting to a specific person, group or email address, please advise.

Thank you for your prompt reply to this message.

MarketMonk

[MarketMonk]

Bunds missing high by 3 ticks

To eSiganl Staff,

it is currently 4:02 am New York.

Bunds currently have a high for the day of 113.75

eSignal intraday bars are showing a high of 113.72.

3 ticks off!

This is happening every hour of every day. The range averages between 1-3 ticks difference.

FuturesSource and PATSystem are printing all trades. eSignal is not.

Please let me know if and when you are going to address this problem.

Thank you
MarketMonk

[JayF]

Hello MarketMonk,

I apologize for the delay in a response.

I am able to verify the problem, and will be researching this further with our QA staff. More information to follow as I receive it.

[ScottJ]

Re: Upgrading System - Finally!

Originally posted by MarketMonk
To ScottJ and the Troubleshooting Team at eSignal,

What I find interesting is that I suggested doing the same thing back in January. But I was told, through this thread, that bandwith, direct connections and hardware were not the problem. Your old system could handle the data flow. You just had to configure it correctly.

I can see where you or other customers might come to that conclusion but increasing the bandwidth on the Eurex feed has been just a small part of the puzzle. Most of the problems have indeed centered around the configuration of the database server in London.

One of the earliest tests we ran was to measure the bandwidth stress throughout the system. For the most part, even when we had problems with lags, the bandwidth stress tests looked just fine and we were running well below capacity on most segments.

Over the past few weeks, volumes on Eurex have risen somewhat dramatically ( 10-15% day over day increases in some cases ) and that began to create new problems in the system. We could have, and perhaps should have, ordered a bigger pipeline earlier but that was not the cause of the problems in Jan and Feb.

Spending money to solve these problems has not been an issue. We were dealing with problems that money simply couldn't solve in the near-term. We're pleased with our continued progress and once we have these other changes in place, we are more optimistic than ever that the feed will be both fast and reliable, once again.

Thanks.

[JayF]

MarketMonk,

We continue to research this issue. More information to follow as soon as we have it.

[JayF]

MarketMonk,

It is suspected that the discrepancy is caused by the DTB is setting the high and low for the day (daily charts) by the bid/ask activity if they exceed the price action, while the intraday charts use only the actual trades. We are waiting to hear back from the exchange for confirmation of this.

[Momentum]

I don't think so as I have traded new highs and lows without esig charts posting the trades

TomB

[MarketMonk]

DTB setting high and low

_____________________________________
Jay F. with eSignal Community Support writes:
It is suspected that the discrepancy is caused by the DTB is setting the high and low for the day (daily charts) by the bid/ask activity if they exceed the price action, while the intraday charts use only the actual trades. We are waiting to hear back from the exchange for confirmation of this.

TomB writes:
I don't think so as I have traded new highs and lows without esig charts posting the trades
_____________________________________

TomB is exactly right. I also have traded at prices that eSignal has not printed on their intraday charts. Jay F's suspicion is incorrect. If only someone at eSignal was actually trading off their price feed and charting program then maybe the real traders using this subpar service would get some respect.

Jay F. and all of you at eSignal, wake up and smell the coffee. The price feed delays are not the only problem.

I will not repeat my previous posts here but to say that they speak for themselves.

The bottom line is the eSignal price feed DOES NOT print all the trades. I see this happening every hour of every day in the Bunds and DJ Euro Stoxx 50. I am sure the same thing is happening in other Euro futures contracts. I use Futures Source and PATSystem also and see them print all the trades.

Please understand that I know what I am seeing in real time every hour of every day. There is a problem JayF. Please do not write this off. Investigate this issue deeply and find the cause. It is completely and totally unacceptable to me, and should be to eSignal, that your real time software and price feed ARE NOT printing all the trades.

Thank you for your time. I would hope everyone at eSignal appreciates how important it is to fix this specific problem.

Good Trading
MarketMonk

[JayF]

Thank you MarketMonk and Momentum for your replies. I will take this to our QA team for further investigation, and will follow up as soon as I have further information.

Sincerely,
Jay F.
eSignal Community Support

[JayF]

MarketMonk & Momentum,

Our QA Team has done some further research on this issue. Eurex has stated that they send out data in "2 second snapshots", and that this is how all data vendors receive their data. The high or low for the day (or any trade for that matter) might not be included with these snapshots.

The vast majority of the trades are 2 or more seconds apart. Every once in a while you will get some timestamps that are 1 second apart, but that is probably due to them straddling the edge of the division between each second.

If there is a higher high or lower low made that is not included in the snapshot, then the exchange sends this as separate field within a message. We are not currently processing this separate field, but we are tentatively planning on adding this (QA is still working out these details.)

If I can answer anything further or if you had any further comments you wish to add, please let me know.