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Date/Time: Sat, 18 May 2024 21:05:19 +0000

Post From: Combining orders in Sierra Chart Data Feed

[2019-05-23 21:20:08] Link To Thread - Link To Post [Go To First Post]
jeremy3s - Posts: 2
My question involves using the 'Combine into Exchange Reported Original Summary Trade' with the SC data feed and a CME instrument. If for instance a 5000 lot market order hits price 10 and sweeps it with 2500 contracts, then the remaining 2500 contracts are filled at 11, will the time and sales show 2 orders - the first being 2500 contracts @ 10 and second 2500 contracts @ 11 or will it just show one order of 2500 @ 10 only and ignore everything that takes place at the next price? Date Time Of Last Edit: 2019-05-23 21:50:10