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Date/Time: Sat, 18 May 2024 04:55:10 +0000

Post From: Better CTS or CQG

[2017-07-08 01:12:21] Link To Thread - Link To Post [Go To First Post]
cmet - Posts: 538
CQG is very stable, however I run their data only and I scratch my head at the DOM every now and again when they show large prints that should have wiped 2 levels of liquidity in ES but price fails to tick higher or lower. I've asked them about this thinking it was spreads and was told by them that spread trades are not included in the feed. So either I'm not seeing true liquidity displayed, they are off market block trades or something else is going on. Similar with time/sales when using same price/time. Total volume prints from Sierra DOM sometimes don't match TAS. Hard to see in fast markets but it's obvious when it's slower. Date Time Of Last Edit: 2017-07-08 01:12:30