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Direct MessagesDate/Time: Fri, 03 May 2024 07:22:24 +0000
Post From: Allow Disabling of Compression or Do It in Another Thread
| [2013-11-18 08:43:17] |
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The Sierra Chart real-time futures data feed uses DTC. Although some of the logon details are not public. And we have to be a little careful about that because the connection is only allowed if someone gets a connection to their trading service. We can provide you the specifications, but just give us until January until we get more work done in this area. I would like to get more than 120 days of historical tick data. I would like to get historical BBO or market depth data. We certainly do not have historical market depth data, and I cannot imagine ever offering that. You can indirectly get the best bid and offer by looking at the Bid volume and Ask volume of every tick.Better than millisecond level resolution, however I'm not sure if CME offers this to anyone but huge organizations. CME does not offer this to anyone, From what we can see, and they do not even offer millisecond resolution. It does not exist. And we question the the validity of even trying to analyze the milliseconds. Unless you fully understand how the CME computers and networks work, we do not see how you can get reliably accurate information from looking at the sending or receiving time of FIX messages. A data provider claiming they have got millisecond time stamping from the CME, honestly is stretching the truth. They are not completely forthcoming with what they are giving you. Perhaps they disagree, but the fact is all they are giving you is the sending time of a FIX message which can contain a large number of trades. The individual trades are time stamped to the second. The CME does not provide millisecond resolution. It is only the FIX protocol which supports milliseconds in the sending time of a message which the CME has bundled multiple trades into and have decided to send out at a particular moment in time. 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: 2013-11-18 08:50:21
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