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Date/Time: Sun, 05 May 2024 19:53:09 +0000

Post From: Sierra Data Feed - Depth Levels Available on Crude Oil Futures

[2018-07-18 13:13:49] Link To Thread - Link To Post [Go To First Post]
Acro - Posts: 436
20 levels would certainly be better but I have been doing a direct comparison of the Level II data in the book using the Sierra real time data and the CQG data and from what I have noticed the Sierra feed very often has a lower number of resting orders at prices close to the inside bid offer. Since the Sierra feed is unfiltered I am at a loss to explain the difference. Could you shed any light on this please