Support Board
Date/Time: Wed, 08 Oct 2025 08:15:11 +0000
Post From: MBO-allow minimum market by order quantity lower than 3
| [2025-10-06 10:46:05] |
| Data Trader - Posts: 4 |
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I totally understand your point, but not having this information is a big "issue" because we cannot fully leverage the power of MBO and a big part of the benefits are wasted, expecially because the head of the queue (before price reaces the level) is often composed of many 1 and 2 contract. Knowing the composition of the head of the queue (expecially if it's composed of 1 and 2 contracts) give us some usefult insight on how that particolar level is strong or fragile (implications of canceling an order of 1 contract is hugely different when a big order is on the head), mainly for scalping but also for any other key stats. Having the huge power of Sierra Chart and ACSIL without allowing this type of analysis is a non sense, also if I understand your points about possible performances issue. Mauybe you can start a beta of this feature with a single intrument like ES, to precisely measure the performance impact? Or maybe a midpoint solution could be implemented like the following: if the actual MBO is 20, 5, 15, 30 and the full ask level is 90, we know that somewhere 20 contracts are distribuited in form of 1 and 2, inside die queue, but we don't know the exact position So if, for example, before the 20 contract order there are 10 orders all composed of 1 contract, you can show an aggregated metric like -10. So you aggregate (count) all adiacent orders of 1 or 2 contracts by showing the sum of the with the negative sign. So that important informations uses less overhead but the information is this time given to the trader. If the number 1 contract orders are a lot greater than 2 contracts, maybe you can lower the actuale 3 contract limit to 2 and apply the above "aggregation of adiacent contract orders rule" only for 1 contract orders. So the MBO could be something like this: -10, 20, 5, -5, 15, 30, -5 that is derived from: 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 20, 5, 1, 1, 1, 1, 1, 15, 30, 1, 1, 1, 1, 1 What do you think about my proposals? Thanks Date Time Of Last Edit: 2025-10-06 10:51:37
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