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Date/Time: Thu, 25 Apr 2024 00:36:01 +0000



Post From: Denali Data Feed to Offer Market by Order Support in December!

[2020-12-08 21:35:53]
Sierra Chart Engineering - Posts: 104368
We have completed the market by order development. Although we are not going to have anything out this week for users to actually see. It will be next week. We will do some testing this week though.

...the key here is seeing the progression/development of the order queue at each price level and seeing the large orders progress towards the front of the queue/get consumed/get partially consumed as the smaller orders are traded through. It is also important for DOM traders to see the queue on each side of the book, i.e. a bid column and an ask column, not just a combined bid/ask column.
We will work on this. The display will be simplified at first.

e.g. a vector of each order at price (similar conceptually to the VAP data structures) that exposes the orders' sizes, IDs and queue positions.
Yes this is planned and how the data is already internally stored. Not a vector though but in sorted containers in order to maintain queue positions.

I would like to note that it would be visually better to have the bid/ask depth columns separately just as they are in the "plain" DOM.
Yes we can do this.

The choice of bid and ask columns as well as a combined bid/ask column would be great to have. It might be easier for some people to visualize it that way.
Yes this will be supported.

. I was planning to bit the bullet and sign up for MotiveWave this week but really didn't want to have to.
Good to know.

Would it be possible to add a filter for this to the Market Depth Historical Graph?
This is difficult because the market depth data used by the Market Depth Historical Graph is a different category of data. It uses what is known as consolidated depth and there is no information about the individual order quantities. It is not impossible to do, but just far from easy with the way everything is designed.


One basic question looking at the motivewave image (and also thinking of the jigsaw DOM), one day would it be possible to get a notes column in the DOM so we could note potential resistance where we see it the market by order data ?
You can do this now by using the Horizontal Line study:
Line

And using Name Label:
Chart Studies: Subgraphs Tab >> Name and Value Labels
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: 2020-12-08 21:36:34