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Date/Time: Mon, 30 Mar 2020 21:58:21 +0000



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

[2019-12-08 00:32:05]
Sierra Chart Engineering - Posts: 82864 | Ending Date: 2020-06-09
. This discrepancy and lag presents so many issues on a moral and legal level and it just needs to be corrected not worked around
There is no discrepancy to the standard market depth book. Sierra Chart has never said that we offer the implied order book. And the exchange does not include this in the standard order book and if you think it should be included, you should ask the CME why they do not include it. There is a reason! It is not our responsibility to offer this. It is optional. You cannot be dumping your belief upon us (in regards to thinking that somehow we are doing something which is not legal). That is not fair to us at all. You should be dumping your complaints upon the CME. It is not appreciated to be dumping them here to the extent we are seeing. You should give the CME maximum hell as to why they did not include it in the standard market by price order book it if you think it should be. If it makes so much sense to include, why do they not do it.

But as you know we are working on this.

And it is a very poor architecture, to be providing two separate market depth streams and then having to combine them and retransmit them as one. And the other thing is is why does not the implied order book go beyond two levels? That in itself is incomplete. So the exchange itself is providing incomplete data. Why do you not ask them for 500 levels of implied book (Update: Thinking about this some more, this may not actually make sense because a spread order is what is creating the implied orders and may only make sense that it would affect the top of the book and not extend down).

The exchange has no requirement for implied book at all. We did not complete any certification for the implied book data feed. It is optional and it is for a reason. The implied book does not consist of real orders. Here is more information about this:
https://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Orders

And traders can hide their actual order quantities from the limit order book, through the MaxShow quantity field through the trading interface:
https://www.cmegroup.com/confluence/display/EPICSANDBOX/New+Order

So the limit order book can never be considered a completely accurate representation of the limit orders. Clearly it can be very inaccurate.

And also when it comes to subsecond lag across the Internet, there are so many possibilities for this. The only fair way to evaluating this is at the server side. Which we will do. We may even produce a video of this. What happens external to that is not within our control but there may be things we can do to possibly help.

We have actually been looking to create some videos with an inside view of Sierra Chart architectures so this may be the first in a series. This will go a long way to help create a better understanding of the background architecture.

Now having said all of that, we are still working on the implied order book. This is not very simple to do it efficiently.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2019-12-08 02:54:41