Date/Time: Wed, 23 Sep 2020 09:26:13 +0000
Post From: What is Sierra Chart Working On
Sierra Chart Engineering - Posts: 89828 | Ending Date: 2021-04-05
As we continue to work through the CME market by order data, to create additional levels of market depth, this indeed is difficult. It is not going to come out this coming week.
There are a lot of complications with this. The problem is, this data creates increased latency and faulty depth data, at least beyond the first 10 levels, in the case were there is any data loss which is inevitable. Trying to correct that faulty depth data is a ridiculously intensive process which we would not do.
We really do not think this was ever designed properly from the CME. The whole concept of transmitting mass amounts of information like this on a multicast feed without any ongoing corrective data, fundamentally makes no sense. Not to mention that it is very confusing with the way that is sent with template extensions, and different templates for the same data.
So we are quite worried, about the potential delays processing this data will introduce into the Sierra Chart Exchange Data Feed for CME data.
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Date Time Of Last Edit: 2018-01-14 21:34:21