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Date/Time: Sat, 04 Apr 2020 21:11:44 +0000



Post From: denali dom

[2019-08-08 23:27:29]
Sierra Chart Engineering - Posts: 83133 | Ending Date: 2020-06-09
There are two possibilities. The CQG depth is inaccurate which is a very strong possibility.

Or CQG could be merging in what is called implied depth. The CME provides two levels of implied depth. In about a week we are going to merge in the implied depth. But only for the top level. Not for the second level for performance reasons. But eventually we can get to the second level.

However, if you see differences from level 3 through 10, then CQG is absolutely wrong. We can say that with total confidence. Unless it happens to be the CME is giving out more than two levels of implied depth but their specification is quite clear on that. It is two levels.

If you see differences after 10 levels, if you are on the Denali feed, then we can also say with confidence CQG is wrong as well. Because we have absolutely no packet loss on that feed and we are processing the market by order data correctly.

Reference:
https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Consolidating+Implied+and+Multiple+Depth+Books

We will also get out the 500 levels, in about a week. That should not be a problem at all.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2019-08-08 23:34:26