Support Board
Date/Time: Wed, 30 Sep 2026 09:19:30 +0000
MBO DATA ES and NQ
View Count: 11
| [2026-09-30 07:47:56] |
| GARYtheG - Posts: 36 |
|
Hello Sierra Chart team, I use the Denali Exchange Data Feed and work extensively with Market by Order (MBO) data for the CME ES and NQ futures. Right now, individual orders below a minimum quantity are not shown in the MBO data. I'd like to ask whether this minimum could be lowered to 1 contract, or made user-configurable so it can be set to 1. Reason for the request: Much of my analysis estimates queue position and queue dynamics at individual price levels. That work needs the full sequence of resting orders at each level. When the smaller orders are filtered out, several problems follow: The visible queue no longer matches the actual queue, so the estimated position of an order is biased. Queue depletion and cancellations from small orders can't be attributed. A large share of activity in ES and NQ happens in 1–2 lot sizes. The aggregated depth at a level and the sum of the visible individual orders no longer reconcile. |
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