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Direct MessagesDate/Time: Mon, 29 Apr 2024 00:51:51 +0000
Post From: Formal request for MBO enhancements in the SC data feeds due to Rithmic & CQG policies
| [2019-10-19 10:13:34] |
| binaryduke - Posts: 360 |
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It's very exciting to read about Sierra Chart's planned developments for direct order routing to the CME: Sierra Chart Does Not Recommend CQG (Various Reasons) This combined with Sierra Chart's new position on CQG and Rithmic makes selection of Sierra Chart data and routing a very logical choice. Today, Rithmic provide full MBO information including the size of individual orders at each price level. There are other platforms that utilise this information to provide a full picture of the DOM. This is also something that has been available in TT's Market Grid. A couple of images of what can be achieved with this data are attached. It would be excellent if Sierra Chart's ongoing development delivered this capability. Initially exposure of the data within ACSIL would be fine (for my purposes). This would allow replacement of code that directly connects to the Rithmic API (and exposes it to Sierra Chart studies) with native, in-ACSIL support delivered through Sierra Chart's data. The existing s_MarketDepthEntry structure provides a good framework for this information. Enhancing it to contain an array of the orders at each price level including their exchange ID and size would provide everything necessary to develop some very powerful trading tools to utilise the full MBO information. I appreciate that previous requests for this have been met with 'this will never be developed', however, your recent announcements regarding Rithmic and CQG change the landscape somewhat, hence starting this thread to enable others to demonstrate their support for these enhancements to potentially enable Sierra Chart to review the possibility of this development. Thank you. Date Time Of Last Edit: 2019-10-19 11:02:34
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 TTmarketgrid.png / V - Attached On 2019-10-19 10:58:56 UTC - Size: 284.6 KB - 1189 views DOMwithMBO.png / V - Attached On 2019-10-19 11:02:31 UTC - Size: 163.65 KB - 1055 views |