Support Board
Date/Time: Sun, 15 Nov 2026 13:56:45 +0000
MBO DATA ES and NQ
View Count: 528
| [2026-09-30 07:47:56] |
| GARYtheG - Posts: 37 |
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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. |
| [2026-10-01 23:53:35] |
| Sierra_Chart Engineering - Posts: 25426 |
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Lowering it to 1 will cause higher data transmission delays and this is why it is not done. The more data being transmitted, the higher the lag even if it is milliseconds. But during extreme market activity could be tens of milliseconds. This is why 3 is the lowest. Maybe we could change it to 2. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-10-02 00:18:08] |
| blt - Posts: 229 |
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... ...@GARYtheG... ...although you didn't invite anyone but SCT just wanted to suggest to you that if you use "Orders" column with MBO you could make "very satisfying" approximation of size of orders <3 ...light combinatoric will guide you to "discovery" of "invisible orders 1 ad 2" |
| [2026-10-02 06:38:40] |
| GARYtheG - Posts: 37 |
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Thanks blt, great point. With N and S per level plus the visible MBO orders, the hidden 1s and 2s are uniquely determined (#2 = R − m, #1 = 2m − R), and tracking count/size deltas event by event recovers most of the queue order too. The remaining ambiguity is which hidden order cancels or reduces when several of the same size sit in the queue, so native size-1 MBO would still be preferable. Appreciated! And thanks to the Sierra Chart team for the effort to lower the minimum to 2. That simplifies things a lot: with only 1-lots hidden, the reconstruction becomes trivial (#1 = m, and R = m serves as a built-in consistency check), and the remaining queue ambiguity shrinks to same-size cancels among the 1-lots. Much appreciated. |
| [2026-10-02 07:11:51] |
| Sierra_Chart Engineering - Posts: 25426 |
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We notice that you have this exchange active: CBOT non-professional top-of-book You do not need it because you also have the full CME Group active. We recommend deactivating it. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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