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Date/Time: Fri, 19 Apr 2024 06:47:43 +0000



Post From: Question real-time futures data feed

[2013-12-05 19:38:02]
ganz - Posts: 1048
Corefan

FYI: Announcement: New Sierra Chart Real-Time Futures Data Feed (CME, CBOT, NYMEX, COMEX data) | Post: 17971

We would also like to comment on Cumulative Delta-Volume with this new Sierra Chart real-time futures data feed.
The CME data feed provides a field called "Aggressor". We use this field, to identify whether a trade is considered at the bid or ask.

...

Using this field is the definitive method to do this rather than comparing the last trade price to the bid or ask. This aggressor field is passed straight through from our server which gets it from the CME data feed, into Sierra Chart.

We have noticed that the Cumulative Delta values are slightly different than IQ Feed. The graph appearance is the same. Therefore, what we provide is the definitive reference and is 100% accurate. You cannot achieve any better accuracy than what the Sierra Chart data feed offers.

Looks like there is no hard link to a last price in this case.
This is something new for anybody who reads a T&S. Hm...m