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Direct MessagesDate/Time: Sun, 05 May 2024 06:04:33 +0000
market depth data recording limited by Maximum Depth Levels Displayed?
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| [2018-02-03 06:19:28] |
| whats1thingnow - Posts: 407 |
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Hi support, When i recorded the market depth date, i had global setting > chart dom setting > Maximum Depth Levels Displayed = 10 now when i replay the day and changed the Maximum Depth Levels Displayed to 100, i still only see 10 levels (which is fine). the problem is, on my market depth historical chart study, i want it to show at least 50 levels, but it's only showing 10. is this how it supposed to be? does that mean i need to leave the Maximum Depth Levels Displayed to be 100, if i want to record all that data for the market depth historical chart study? thanks! |
| [2018-02-03 06:52:58] |
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The limitation is that the CME only provides 10 levels of market depth data.
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 |
| [2018-02-04 01:49:43] |
| whats1thingnow - Posts: 407 |
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thank you for your answer! damn, i wonder how FT71 has so many levels of market depth data. on his youtube video for feb 2nd, 2018, his S5 Bookmap shows 30 levels (i counted by hand). S5 should have the same CME limitation right? |
| [2018-02-04 03:08:42] |
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The CME provides 10 standard levels of depth, and to do additional depth, requires using the market by order data which is very complicated and inefficient. We talk about this in posts # 15 through 19 here: What is Sierra Chart Working On At this point we may or may not get that out. Essentially what we have to do is merge the 10 levels, with additional levels, maintained in completely separate data containers from the market by order data. And do this at every market depth update. This is totally inefficient. It must be done in this way, in order to maintain the proper integrity of the first 10 levels. Otherwise, the first 10 levels inevitably are going to get inaccurate when there is packet loss and trying to recover from that using the market by order snapshot feed is ridiculously inefficient. And our own data provider Barchart, also has had trouble with market by order data and has not released it. And they agree that the CME is making this whole thing unnecessarily complicated. 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: 2018-02-04 03:14:30
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| [2018-02-04 03:19:23] |
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Or perhaps one thing we can do is we could slow down the rate of updates on the levels beyond 10 and perhaps update them every 10 seconds unless there is a price shift on either the bid side or the ask side. Just thinking out loud. But still inevitably there is a performance hit, from just processing that market by order data. There are some potential ideas we have thought of and require a little research though. We just have not had time to continue on this. But in the end, we think it is best to provide a stable and efficient standard data feed rather than screwing it up, with this stupidly inefficient market by order data. And instead focus our developments efforts elsewhere especially being the CME longer-term is not going to maintain the dominance they have due to decentralized trading. 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: 2019-06-03 21:56:49
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| [2019-06-03 19:40:47] |
| Andersenqwer1 - Posts: 4 |
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Hello SC Support! 1. In regard to post #1 about "Maximum Depth Levels Displayed = 10" I can't find this option now. Has it been deleted? https://i.ibb.co/MkJ1TG5/6-3-2019-10-14-23-PM.png 2. I have a question about recording Market Depth Data: will it still be recording if I do replaying of my single chartbook (with all 4 charts replying in it)? Or do I need to keep a separate chart/ chartbook with recording options on when I do replaying of my main chartbook to keep recording the data? 3. Rithmic Demo has 102 ticks Bids and Asks. https://i.ibb.co/C2x6chj/6-3-2019-10-25-12-PM.png http://www.sierrachart.com/image.php?Image=155959067491.png They all recorded just fine. But as far as I can understand from your post #4 CME provides only 10 levels of Depth Data. Where do the other 92 levels come from? Can I trust/consider them as a sourse of reliable information? Thanks! Best regards, Andrew Date Time Of Last Edit: 2019-06-03 20:04:09
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| [2019-06-05 04:54:02] |
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1. The option referred to in the first post has been moved. You will find the option to limit the display of the Market Depth data in this option: Chart >> Chart Settings >> Advanced Settings 3 >> Maximum Market Depth Levels. Refer to the documentation for this here: https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#top 2. As long as the chart for the symbol is open and you have specified in the Symbol Settings to store the Market Depth Data, then it will collect and store the data. It does not matter if the chart is running in Replay mode, it is still getting the data. 3. As noted in post #4, there is additional levels available from the CME, but it requires implementing a different data stream. Since Rithmic has additional depth levels, then they have simply implemented this and it should be accurate. We have also implemented this in our data feed, so you can now get 200 levels of depth with the major symbols when using the Sierra Chart Real-Time Exchange Data Feed. Refer to the following post about the additional levels in the Sierra Chart Real-Time Exchange Data Feed: 200 Levels (Now 300!) of Market Depth with Sierra Chart Exchange Data Feed 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: 2019-06-05 04:54:51
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