Support Board
Date/Time: Sat, 07 Feb 2026 20:36:18 +0000
Post From: Using sierra chart for stocks
| [2025-12-31 08:27:07] |
| lanredocemo - Posts: 2 |
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Sharing my 2 cents in case OriolCasas comes back, or for anyone else who is interesting in using SierraCharts for trading equities. The Level 2 window shared in the picture is typical for equities markets, in which retail traders rarely trade on the DOM. As you probably know, the level 2 window for Futures is different, popularly known as DOM, which is why Sierra Engineering/Support finds the version in the picture strange. I will do some investigation to see if I can build something similar for Sierra Chart. Anyone interested can inbox me. Now, to address the big concern in OriolCasas last message. Yes, the consolidated tape displays level 1 data. It is created from Level 1 (highest bid and lowest ask) which is the best Bid/Offer across all exchanges (19+). This is because all exchanges are legally obligated to report each exchange's Best Bid/Offer (BBO) and last trade to a central system (Tapes A B C), that then picks the best Bid/Offer from this BBOs, to create an NBBO which is disseminated to anyone who is interested in what is called a Consolidated Tape. This is what you get in the Consolidated Tape Data Feed. This is the data that shows up when you open the symbol AAPL. This introduces a bit of latency (which IMO is irrelevant and imperceptible to retail traders) because the BBOs have to go to the central system first. If you want a "faster" feed (by a few microseconds), then you could get your Level 1 / BBO straight from any of the 19+ exchanges. Each exchange has different rules about how to get their data. Infrastructure requirements and data formats can also pose a headache. It is expensive and time consuming for a company that builds software for retail traders to incorporate all equity exchanges. So, Sierra has integrated Nasdaq TotalView piped through Denali Datafeed. This supplies the BBO from Nasdaq exchange. This is the data that shows up when you open the symbol AAPL_NDTV. With respect to market depth, there is no centralized system for aggregating this data due to its sheer volume and data processing requirement. The market depth on Nasdaq is available through TotalView. Due to cost and time constraints, it is not practical to get market depth for all 19 venues. The benefit of the data from some venues is not worth the cost. And this is why even on ThinkOrSwim, the number of levels display on the market depth is capped to a maximum. On platforms like DAS and Trader Workstation, you can subscribe to data from other venues like NYSE, but the market depth data from Nasdaq suffices for most of your needs unless you are trading some low float equity that no one cares about enough to trade on Nasdaq. Now, you may be thinking "not all stocks are listed on Nasdaq, and I might not be able to see the data", and you will be wrong. Even though AAPL is listed on NYSE, it still trades on the Nasdaq exchange at significant volumes, and the level 2 data you see from TotalView might even be better than whatever you get from NYSE, because Nasdaq has a technology advantage and operates a decentralized market maker system. This data is what you get when you open the symbol AAPL_MBO. You don't need all 19 venues for level 2. No retailer-focused trading platform will give you all 19. TOS does not show level 2 data from all 19 venues. Bookmap only provides access to Nasdaq TotalView (and they charge $60 per month for it compared with $16 at Sierra). Das charges $150 per month for the platform + totalview. If you want NYSE + Amex, you'd be paying $200+ per month for extra data that may not give you an edge. Only HFTs, hedge funds, and arb shops care about level 2 in the other venues. The ability to display your Level 2 data as a heatmap in Sierra beats the side-by-side table view in TOS. Happy to answer any other questions, and I am also open to corrections. |