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Date/Time: Sun, 29 Mar 2020 22:12:13 +0000



Post From: bids offers closes to price on market depth historical graph

[2019-11-30 22:32:44]
Sierra Chart Engineering - Posts: 82826 | Ending Date: 2020-06-09
What has made this difficult, is that Sierra Chart uses the most efficient method for processing market depth data, merging it, and relaying it.

None of this is very easy. There are essentially three categories of market depth data:

-Standard market by price data
-Implied market depth data
-Generated market by price data from market by order data.

All three of these, are combined in real time during the relaying process using a very efficient model. There is not any direct combining, just the final output which is relayed, the data is combined.

And the relaying of this data is also very efficient. So none of this is easy.

When you look at the CQG Web API, it is clear the transmission of market depth data is not even efficient because they periodically do refreshes every 20 minutes by deleting all the levels and then resending all levels. Perhaps they do this in case they are dropping market depth data, but then why is it when the corresponding flag for dropping data is not set, there should not be any dropped data, do they still go through this process.

You can just imagine, what problems this causes with functionality like pulling and stacking, and when adding all of the market depth data together to create Bid and Ask Depth Bars to have all the levels of suddenly deleted and then are re-presented. With no indication of when that process is even finished.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2019-11-30 22:32:55