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MARKET_DEPTH_UPDATE_LEVEL limits in DTC protocol

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[2016-09-12 16:03:07] #1 [Go To First Post]
Guilherme - Posts: 66
Is there any limit for the number of levels Sierra can support? My data provider gives me all levels it has (theorical infinite levels). When they are created, deleted or updated I create the MARKET_DEPTH_UPDATE_LEVEL and send to Sierra. I don't know if I miss something, but in Sierra's DOM the levels appear, and disappear continuously, in a random way.

[2016-09-12 16:33:01] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
No there are no limits. With what you are noticing this indicates a problem with the data you are transmitting. Or the Value Format is not set correctly in the Global Symbol Settings for the symbol: Global Symbol Settings Make sure there are symbol settings for the symbol in the Global Settings. You only need to set the Tick Size and Value Format. These are the only basic settings needed. 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, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2016-09-12 17:29:00] #3 [Go To First Post]
Guilherme - Posts: 66
I have it configured right in Symbol Settings. Double checked... Is mandatory to send first the MARKET_DEPTH_SNAPSHOT_LEVEL messages? Or if I did not send any SNAPSHOT LEVEL message Sierra assumes the book is empty? Does Sierra read messages in an indepotent way? I mean, if I sent in a row 2 delete messages for the same price level it behaves ok? Ps. I'm using Protocol Buffer encoding. Date Time Of Last Edit: 2016-09-12 17:29:41

[2016-09-13 04:21:05] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
It is not mandatory to send MARKET_DEPTH_SNAPSHOT_LEVEL. The book will be in an empty state. if I sent in a row 2 delete messages for the same price level it behaves ok? Yes. This is completely fine. We will run a test using Google protocol buffering and market depth. But we do not think we would find a problem. 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, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2016-09-13 06:20:51] #5 [Go To First Post]
AC96176 - Posts: 1
Hi Guilherme, may I ask you, who is your data provider who support you all levels? Thanks.

[2016-09-13 09:50:12] #6 [Go To First Post]
Guilherme - Posts: 66
may I ask you, who is your data provider who support you all levels? Hi. It's a market data provider for the Brazilian exchanges. Not available for US markets.

[2016-09-13 10:59:05] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We tested market depth data using Google protocol buffer encoding by using the DTC Client in Sierra Chart connected to the DTC Server in another instance and did not see any issues. You can perform the same kind of test. 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, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2016-09-19 16:41:24] #8 [Go To First Post]
Guilherme - Posts: 66
One more question: Does the update in market depth messages mean ADD the volume or REPLACING it?

[2016-09-19 17:44:39] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Replace. There is never an addition performed. 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, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2016-09-19 17:53:11] #10 [Go To First Post]
Guilherme - Posts: 66
Replace. There is never an addition performed. And in the case of DELETE messages? I SUBTRACT the volume received from the volume of the price level?

[2016-09-19 18:00:45] #11 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
In the case of a delete operation, the price level is completely removed. 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, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2016-09-19 18:05:18] #12 [Go To First Post]
Guilherme - Posts: 66
In the case of a delete operation, the price level is completely removed. So the volume field in the message is not used in this case? Sorry for asking too much, but the documention is not very clear as far as market depth is concerned. Correct if I'm wrong, but if the volume is irrelevant, there could be no different flag to indicate a delete. Just setting volume to zero would be ok. And the last question: Does Sierra expects a delete depth message when the price level is consumed by a trade? Date Time Of Last Edit: 2016-09-19 19:12:50

[2016-09-19 21:08:50] #13 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
In the case of a delete the quantity is not used and should be 0. This is already documented. Correct if I'm wrong, but if the volume is irrelevant, there could be no different flag to indicate a delete. Just setting volume to zero would be ok. No this is not OK. Obviously you need to use a delete action in order to to delete a level. 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, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-09-19 21:21:25

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