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Date/Time: Wed, 27 May 2020 11:47:22 +0000

Post From: Technical Help for Rithmic is Now Discontinued as of December 1, 2019.

[2019-12-06 21:45:33]
Sierra Chart Engineering - Posts: 85543 | Ending Date: 2020-06-09
Two things in regards to this:
The only problem with translating Rithmic to DTC is that DTC does not support transactional (atomic) multi-part book depth updates.
It is not true because there is this message which we use ourselves. Notice: FinalUpdateInBatch

  struct s_MarketDepthUpdateLevelFloatWithMilliseconds
    uint16_t Size;
    uint16_t Type;

    uint32_t SymbolID;
    t_DateTimeWithMillisecondsInt DateTime;
    float Price;
    float Quantity;
    int8_t Side;
    int8_t UpdateType;
    uint16_t NumOrders;
    FinalUpdateInBatchEnum FinalUpdateInBatch;

And it is very easy to add messages or an additional field or two.

And furthermore, the way that we process CME multicast data ourselves and this is also according to specifications, is that you do not send out updates for the order book until there is an end of event indicator. And that end of event indicator, is only after all related book updates are done. Typically this is going to be at the end of a message. But could be after more than one message if there is a lot of related updates and trades.

We also have another version of this message which does not use a timestamp when there is no timestamp change to preserve bandwidth.

You can get the updated files here:
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2019-12-06 21:52:56