Support Board
Date/Time: Tue, 13 Oct 2026 17:54:22 +0000
Denali Data Feed – MBO Order IDs for Developing a Big Trades Indicator (ACSIL)
View Count: 12
| [2026-10-13 15:42:45] |
| Sivle - Posts: 86 |
|
Hello I am developing a custom Big Trades indicator using ACSIL, similar to the Big Trades functionality available in platforms such as ATAS and DeepCharts. I currently use the Denali Exchange Data Feed for CME futures (primarily ES and NQ). My goal is to identify and aggregate executions belonging to the same original aggressive order, rather than simply combining trades based on a time window or price distance. However, I understand that Market by Order (MBO) data primarily provides information about resting passive limit orders in the order book, and that the Order IDs available through MBO may not directly identify the aggressive market orders responsible for executions. I have not been able to obtain the Order IDs needed to reliably associate individual executions with their originating aggressive orders. I would appreciate clarification on the following: 1. Does the Denali Exchange Data Feed provide any Order IDs or identifiers that can be used to link multiple executions to the same original aggressive order? 2. If Denali provides MBO data, why are these identifiers not available for this purpose through ACSIL? Is this a limitation of the CME data, the Denali feed, or the Sierra Chart API? 3. Is there an alternative method or workaround to reconstruct large aggressive orders accurately without access to their original Order IDs? 4. Can the Unbundled Trade Indicator or CME Summary Trade information be used through ACSIL to identify executions belonging to the same original order? 5. Is there any way to access additional execution-level information through ACSIL, such as exchange-provided trade identifiers or matching-event information? 6. Would using a different data feed, such as Rithmic, provide access to the required identifiers, or is this information fundamentally unavailable? I am trying to avoid relying solely on arbitrary aggregation windows, such as 250 milliseconds, because this can incorrectly combine unrelated trades. My objective is to build a reliable Big Trades indicator that accurately represents aggressive buying and selling activity. Any technical guidance or recommended ACSIL functions would be greatly appreciated. Thank you. |
To post a message in this thread, you need to log in with your Sierra Chart account: