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Direct MessagesDate/Time: Tue, 23 Apr 2024 05:29:25 +0000
Post From: Denali Data Feed to Offer Market by Order Support in December!
| [2020-12-04 09:13:24] |
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We think there is a good chance we can have the basic market by order functionality out next week. Fundamentally there is not any logic to transmitting to every user all of the order activity on the exchange for a symbol. So the basic question is, how is the market by order data used on the end-user side? On the server side, we use the market by order data to create additional levels of market depth beyond 10 in the case of CME. For EUREX Extended Order Book Interface, we use market by order data to entirely build the market depth arrays. If the interest in market by order data is to find large orders, then as we indicated, the transmission of just orders over a quantity of 2 would greatly cut down on the order flow. So would there be an interest in orders over a quantity of 10 or what typically would be the number? There will be a setting to control this within Sierra Chart to request order activity over a specified quantity for a particular symbol. For now we can set the minimum to 10 to reduce data flow. So it looks as though that there is an interest in a display like this showing the order quantities at each price level with a rectangle background denoting the size of the order in a dedicated market data column: https://support.motivewave.com/wp-content/uploads/2020/05/Depth-Of-Market-DOM-Window-2048x1506.png It looks like the minimum order quantity is 5 in this display. We will develop a market data column for the Chart/Trading DOM like is shown in the above image showing the individual order quantities at each price level. We will try to get a basic implementation out in December. So long as we can manage the bandwidth usage of the market by order data to a reasonable level and it creates no practical consequence, we may not bill anything extra for it. As we see an increased use of the Denali data feed, there may not be a need to bill extra for it. So we will see. As we get more CQG users onto our Denali data feed, that will help. And the basic trend is that as we expand our direct data feed offerings and they are so superior to everyone elses data feeds, it is not going to make sense really to use any other data feed other than Sierra Chart provided data feeds with Sierra Chart. And that is the only thing that would make sense anyway. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-12-04 10:49:34
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