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Direct MessagesDate/Time: Thu, 25 Apr 2024 15:27:47 +0000
Post From: New Upcoming EUREX Full Order Book Data Feed (Now Available!)
| [2021-02-22 15:05:19] |
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The EUREX feed worked today with no issues. The only a potential outstanding issue is going to be undeleted market depth levels which would result in an overlap of the best bid and ask for a particular futures contract. The reason this occurs, and we forecasted that this potentially could occur, is because we have to build the market depth order book completely ourselves from individual orders. If the exchange does not send through a delete, for a particular order, or there is some loss of data, although we have not observed loss of data, then this problem can occur. It is technically challenging to resolve because the exchange does not transmit through the best bid and ask throughout the trading day. So it is not known definitively what the best bid and ask are when looking at the current state of the market depth data for a particular symbol. To the human mind it may be obvious just when looking at the data what are the undeleted levels. Programmatically though it is not so simple. We have to come up with a way to determine what are the undeleted levels. We have developed a solution though. Although it is running only on the secondary feed which is used in the background for failover. 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: 2021-02-22 15:08:44
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