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Date/Time: Sat, 27 Apr 2024 13:57:32 +0000

Post From: US equities consolidated depth data?

[2023-05-22 22:54:33] Link To Thread - Link To Post [Go To First Post]
MarketWrench - Posts: 20
I'm looking for help on this. has anyone consolidated depth data from multiple US equity exchanges on sierra chart (nasdaq, nyse, amex)? I would love to use the sierra chart trading DOM with consolidated US equities data. My assumptions on the situation after some time researching and playing around with sierra chart and IB data: -sierra chart only directly provides US equities depth data via NQTV, Nasdaq exchange. -sierra chart does not have a way to consolidate exchange depth data from IB (AAPL-STK-NYSE + AAPL-STK-ISLAND [or AAPL-NQTV] + AAPL-STK-AMEX = consolidated data) -sierra chart does not process IB consolidated "smart" exchange depth data (AAPL-STK-SMART = AAPL-STK-NYSE + AAPL-STK-ISLAND + AAPL-STK-AMEX) What I think the solution might be: write an ACSIL script that requests IB smart exchange depth data and processes it the way it is supposed to be processed. I have a hunch there is a significant difference in the way the data is output between IB single exchange depth data (that SC supports just fine), and the consolidated IB smart exchange depth data (that displays all messy and occasionally flashes numbers up and down the trading DOM).