Date/Time: Sun, 21 Oct 2018 09:16:01 +0000
Post From: What is Sierra Chart Working On
Sierra Chart Engineering - Posts: 65036
Hopefully this week we should be done with completing support for recombining/bundling CME trades into the original size/quantity trades.
This feature is only going to be available when using the Sierra Chart Exchange Data Feed and only be effective for trade data starting this week or next.
Also, the combining of trades, is only going to be for trades at the same price. If a larger order, matches up with orders at multiple price levels, which is less likely with liquid markets like the ES, those will still be separate because they are reported as separate trade summaries.
Also our CME Multicast processing code which separates a trade summary into smaller trades, has been rewritten. Not that there will be much difference, but there may be a small degree of improvement.
The splitting of trades is actually somewhat complex, due to the fact that there are certain situations involving spread trades, which generate implied trades, opening and velocity logic events and packet loss, all which causes significant complexity in accomplishing this.
All of the orders which are matched at the open of a futures market on the CME or after a velocity logic event, are now all going to be reported separately and not as one summary as Sierra Chart previously has been doing. IQ Feed does report them separately. The CME recommends reporting them as one. But for consistency we will report them separately.
Sierra Chart Support - Engineering Level
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Date Time Of Last Edit: 2017-06-25 22:23:08