Date/Time: Fri, 24 Mar 2023 22:41:44 +0000
Post From: How to Use New NASDAQ Total View Data Feed
Sierra Chart Engineering - Posts: 104367
There definitely are more trades being processed now with the NASDAQ TotalView data feed.
However, we are still seeing lower volumes as compared to the Sierra Chart Exchange Data Feed US Equities data. At this point we need to do a comparison with data from official NASDAQ sources. We are checking with them on this.
We are also not including non-printable trades. From NASDAQ TotalView documentation:
These executions may be marked as non-•-printable. If the execution is marked as non-•-printed, it means that the
shares will be included into a later bulk print (e.g., in the case of cross executions). If a firm is looking to use the data
in time-•-and-•-sales displays or volume calculations, Nasdaq recommends that firms ignore messages marked as non-
-- printable to prevent double counting.
Maybe those should be included. We are not sure. Would seem like they should not be.
There currently is a problem where there are undeleted bid or ask levels. This can be a problem with an order by order data feed for different reasons. This can cause reversed Bid Ask prices. And a negative Ask - Bid difference.
We may do a software update during the day to resolve these undeleted levels. This will interrupt the data feed for about a minute. We will need to do an in-depth analysis, as to why this issue is occurring to determine a solution.
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:
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: 2022-02-02 15:13:14