So we have signed CME ILA agreement. But when getting data time stamps and OHLC values do not match up.
Support said”
I have confirmed with one of our Solutions Engineers that there are no means available to correlate the incoming ticks from md/getChart to the incoming ticks from md/subscribeQuote to get an exact match between the two separate data streams.
This means it would not be possible to exactly correlate the incoming ticks from the two separate data streams.”
HOW IS THAT POSSIBLE?!? there has to be a solution because inconsistency in data means the whole algo can be thrown off.
That needs to be corrected.
It sounds like they use a “cheaper” data feed for drawing the charts while another data feed for filling order.
I know that this might be frustrating, but all that really matters is that your bot uses the data feed that is used for filling orders and that is md/subscribeQuote.
The fact that the charts might look slightly different is going to make visual troubleshooting harder, but should not derail your efforts IMO.
Hope that makes sense.
I am using DataBento for my data feed and seems to be spot on with the actual fills and much cheaper than the ILS fee.
Good luck and please keep us posted so we can learn from your experience.
