Support Board
Date/Time: Sun, 26 Jul 2026 02:50:27 +0000
Clarification about live MBO access and data completeness with Denali + Service Package 12
View Count: 15
| [2026-07-26 00:40:06] |
| User621450 - Posts: 2 |
|
Hello Sierra Chart Support, I am evaluating Sierra Chart with the Denali Exchange Data Feed and Service Package 12 for a project that requires live CME Market By Order (MBO) data. Before subscribing, I would like to clarify a few technical points: 1. I understand that DTC cannot be used to access market data due to exchange rules and that ACSIL is required for MBO access. Are sc.GetBidMarketLimitOrdersForPrice() and sc.GetAskMarketLimitOrdersForPrice() the correct and complete methods to access live MBO data? 2. What fields are available in the s_MarketOrderData structure? Does it provide information such as: - Order ID or unique order identifier - Queue position - Order quantity - Timestamp - Order add/modify/delete information 3. Is the MBO data provided through ACSIL event-based (add/update/delete events), or is it only the current snapshot of resting orders? 4. The Market By Order documentation mentions that only orders with quantity greater than or equal to 3 contracts are transmitted and displayed. Is this limitation only applied to MBO data, or does it also affect Market Depth (MBP) data? 5. Are the Bid and Ask quantities shown in the DOM Market Depth calculated from the complete exchange order book (including 1 and 2 contract orders), or only from the filtered MBO data? 6. Is the minimum MBO order quantity threshold configurable, or is the >=3 contract limitation fixed? 7. What is the expected latency when accessing MBO data through the following path? CME Exchange → Denali Exchange Data Feed → Sierra Chart → ACSIL → External application 8. What is the recommended method for sending real-time MBO data from ACSIL to an external application such as Python? (For example, WebSocket, TCP socket, or another method.) Thank you for your help. |
| [2026-07-26 01:55:13] |
| Sierra_Chart Engineering - Posts: 24306 |
|
1. Yes. 2. There is the Order ID and Quantity only. 3. Only the current snapshot. 4. It only applies to MBO data and not market depth data. 5. The complete market depth data is provided. This is a fact. 6. This is not configurable. 7. There are too many variables involved to answer this. And what you are doing is not allowed anyway. 8. This is not allowed and we will provide no help with this. 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: 2026-07-26 01:55:49
|
To post a message in this thread, you need to log in with your Sierra Chart account: