Support Board
Date/Time: Wed, 08 Oct 2025 08:16:12 +0000
MBO-allow minimum market by order quantity lower than 3
View Count: 189
| [2025-10-02 15:44:05] |
| Data Trader - Posts: 4 |
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Hello, I'm developing some Quantitative Finance custom studies based on MBO data analysis. I need to be able to analize (in ACSIL) all order quantities but actually there is a "hard filter" that don't allow me to read orders lower than 3 (1, 2 contracts). Actually I can only read order quantitirs >= 3 and it's a very big problem. Can you please allow reading all the mbo quantities? That would be great! Thanks Date Time Of Last Edit: 2025-10-02 15:44:18
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| [2025-10-03 14:46:06] |
| Sierra_Chart Engineering - Posts: 21036 |
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We definitely will not allow going lower than 2. Right now 3 is the lower limit.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2025-10-03 14:46:15
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| [2025-10-03 14:56:57] |
| Data Trader - Posts: 4 |
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Can you please help me to understand the reason? Are you expecting a big performance degradation? Are there any other cons? Being able to see 1 and 2 contract orders would be very useful in MBO analysis. Thanks |
| [2025-10-03 16:01:50] |
| John - SC Support - Posts: 42262 |
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Are you expecting a big performance degradation?
Yes, this is the largest issue that we are worried about. Keep in mind that most orders are quantities of 1, so this would add a lot of bandwidth, and then consider how often this is changing with orders going in and out and it is definitely a lot to keep up with and manage. And then having to do this for all symbols. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-10-06 10:46:05] |
| Data Trader - Posts: 4 |
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I totally understand your point, but not having this information is a big "issue" because we cannot fully leverage the power of MBO and a big part of the benefits are wasted, expecially because the head of the queue (before price reaces the level) is often composed of many 1 and 2 contract. Knowing the composition of the head of the queue (expecially if it's composed of 1 and 2 contracts) give us some usefult insight on how that particolar level is strong or fragile (implications of canceling an order of 1 contract is hugely different when a big order is on the head), mainly for scalping but also for any other key stats. Having the huge power of Sierra Chart and ACSIL without allowing this type of analysis is a non sense, also if I understand your points about possible performances issue. Mauybe you can start a beta of this feature with a single intrument like ES, to precisely measure the performance impact? Or maybe a midpoint solution could be implemented like the following: if the actual MBO is 20, 5, 15, 30 and the full ask level is 90, we know that somewhere 20 contracts are distribuited in form of 1 and 2, inside die queue, but we don't know the exact position So if, for example, before the 20 contract order there are 10 orders all composed of 1 contract, you can show an aggregated metric like -10. So you aggregate (count) all adiacent orders of 1 or 2 contracts by showing the sum of the with the negative sign. So that important informations uses less overhead but the information is this time given to the trader. If the number 1 contract orders are a lot greater than 2 contracts, maybe you can lower the actuale 3 contract limit to 2 and apply the above "aggregation of adiacent contract orders rule" only for 1 contract orders. So the MBO could be something like this: -10, 20, 5, -5, 15, 30, -5 that is derived from: 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 20, 5, 1, 1, 1, 1, 1, 15, 30, 1, 1, 1, 1, 1 What do you think about my proposals? Thanks Date Time Of Last Edit: 2025-10-06 10:51:37
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| [2025-10-06 16:14:50] |
| John - SC Support - Posts: 42262 |
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We have set this as a Feature Request. We understand why you want this, but we can not say when (or how) it will be implemented. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-10-06 16:16:10] |
| User907968 - Posts: 846 |
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+1
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| [2025-10-06 20:52:43] |
| Data Trader - Posts: 4 |
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Thanks John. I hope that a lot of people will upvote this feature because it will be a top feature for all scalpers and for all trader, to maximize a good and solid entry. Too many times we enter an order in the book and almost instantly many order in front of the queue disappear, we got executed, many levels are taken and so causing our "start of the trade" with many ticks in loss. Date Time Of Last Edit: 2025-10-06 20:53:17
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| [2025-10-07 10:09:40] |
| Sébastien - Posts: 90 |
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Hello Data Trader, Just out of curiosity, in your opinion, for fast market like ES, is MBO exploitable by discretionary traders, or is it only doable with algorithmic trading ? I'm a DOM trader but I got ride of the Pull/Stack data because I find it too random, and to changy. I couldn't find repeatable patterns that I can exploit within human reaction time. Since MBO data is basically the same thing as the Pull/Stack data, but more detailed, is it worth using it for manual trading ? |
| [2025-10-07 19:05:31] |
| blt - Posts: 96 |
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... @Sebastien; @Data Trader ... ... "I'm a DOM trader but I got ride of the Pull/Stack data because I find it too random, and to changy. I couldn't find repeatable patterns that I can exploit within human reaction time." Sebastien...you just answered your original Q ... ... Data Trader Allow me my take on this I think that SC Support answered out of kindness What we proposing to SC is to give us "proper read out of illusion/level2" Not even Citadel or any HFT have that when they making Market Analogy wise SIERRA CHART has that beautiful feature when you placing order "estimated position; EP) That is the closest we can get Feature like this will be brought NEVER !!! (my take) It's useless like when Sebastien trying to find pattern in DOM Sorry to all if I sounded a bit harsh I am open to dialog and learn from you guys because trading is my living and I want to know everything Wish you all the best good trading |
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