Support Board
Date/Time: Sat, 25 Jul 2026 00:17:48 +0000
Post From: Question about accessing live Market By Order (MBO) data with Sierra Chart Service Package
| [2026-07-24 21:41:05] |
| User621450 - Posts: 1 |
|
Hello Sierra Chart Support, I am evaluating Sierra Chart with the Denali Exchange Data Feed and Service Package 12 for a research and analysis project involving CME futures. Before subscribing to Service Package 12, I would like to clarify how Market By Order (MBO) data can be accessed programmatically. My goal is to receive live order-level market data in an external application (Python), including information such as: - Individual orders - Order additions, modifications, and deletions - Price - Quantity - Queue position (if available) I understand from the Sierra Chart documentation that Service Package 12 provides Market By Order data in the Trade/Chart DOM. My questions are: 1. Does Sierra Chart provide any official and supported method to access live Market By Order data externally? 2. Does the Sierra Chart DTC Protocol Server support MBO order-level data, or does it only provide Market Depth Level (Market By Price) data? I have reviewed the DTC Market Data Messages documentation and found messages such as: - MARKET_DEPTH_SNAPSHOT_LEVEL - MARKET_DEPTH_UPDATE_LEVEL but I could not find MBO order-level messages. 3. If DTC does not support MBO, is ACSIL the recommended approach to access MBO data from Sierra Chart and forward it to an external application such as Python? For example: Denali Exchange Data Feed | v Sierra Chart (Service Package 12) | v ACSIL study | v Python application 4. Is there any official example or documentation showing how to access Market By Order data through ACSIL or another supported interface? I would like to confirm the correct architecture before subscribing and starting development. Thank you. |