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Direct MessagesDate/Time: Fri, 19 Apr 2024 22:35:11 +0000
Post From: Available: More Market Depth Levels for CME Futures with SC Exchange Data Feed!
| [2018-09-15 19:23:54] |
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We continue to get a lot of questions about additional levels of market depth with the Sierra Chart Exchange Data Feed. For CME symbols this is provided through the market by order data from the CME which is literally order by order data which makes up the entire order book. Use of this data to create additional levels of market depth is by no means simple. And it is also very clear that the use of this data for the first 10 levels of market depth, would be unreliable and provide faulty results if there is ever packet loss. And trying to recover from that state is also inefficient. These are the basic facts. The first 10 levels will always be provided by the standard market depth data from the CME. We have done the programming to support the market by order data, many months ago, to create additional levels of depth but there is some small issue that still has to be debugged. We have all of the necessary debugging processes in place to do this. We just have not yet had time to focus on this. We will be doing it this coming week if possible . Once we get that problem resolved we can release an additional 10 levels on select markets. And if that goes okay, we could try doing an additional 20 levels of depth. But we are not comfortable going more. And inevitably, the processing of this data will have a performance impact with high market volumes. But the impact will have to be evaluated. Ultimately we wish we could provide everyone market data through our own data feed, but CME market data rules prevent this because it simply raises the cost. This is what creates so much complexity for users and us. It all has to do with the garbage market data rule policies from exchanges. They are hurting themselves and why they do that, we do not know. But we do believe in the coming years the consequence of what they are doing is going to clearly be detrimental to them. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2018-09-15 19:31:24
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