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Direct MessagesDate/Time: Fri, 03 May 2024 13:32:48 +0000
Market By Order Test Release
View Count: 2169
| [2018-03-18 21:52:55] |
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For users of the Sierra Chart Exchange Data Feed, we have released market by order data from the CME for the purpose of creating additional market depth levels and showing the number of orders at each level, on one of the servers for the GC futures. We will be monitoring the performance of this over this week. Attached is an example. To see the number of orders at each price level you need prerelease 1719 or higher. We are still quite concerned as to the impact of processing this data during very active times in the market. And while it almost certainly is going to have a latency impact, we just hope it does not create an impact of anything more than 100 ms in the worst cases on average. Our general strategy is that we are going to limit it to outright futures, and only a select set of contracts. The processing of the data has also been optimized as much as reasonably possible. There is an additional step that can be taken, but we want to see if it is going to be worthwhile. Also we have limited the number of levels to 20 levels. We may take that further, but we have no intention any time soon to take that up to the full available levels. The more levels that are added, the greater the latency impact. 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: 2018-03-18 21:55:10
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 CME 20 Levels Depth GC with Orders.png / V - Attached On 2018-03-18 21:52:46 UTC - Size: 21.86 KB - 640 views |
| [2018-03-19 20:26:57] |
| Cavalry3162 - Posts: 523 |
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this is great news! you might make it a setting and those users who doesnt need it, can disable it so for them the performance impact would negligible... do you plan on adding the "Position in Queue" for orders? now, that you feed the MBO data? thank you, Andreas |
| [2018-03-19 20:42:13] |
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We want to point out that there is a problem apparently with the deletion of quantities at prices in some cases. Since the quantities gradually are rising when they should not be. We are going to look into this. Having a user side setting does not solve the performance impact on the server. What impact that will be, is not totally clear. We do not know how we can do position in queue because we do not know the actual true CME order numbers when users are trading through systems like CQG, TransAct and IB or other systems. 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 |
| [2018-03-20 08:24:54] |
| Cavalry3162 - Posts: 523 |
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Re Position in Queue.. i dont understand your reply.. you said, MBO will only be available for users using the SC feed.. you also said, your SC feed is directly connected to the CME, so what does CQG or whatever other system has to do with it? please explain... thank you, Andreas |
| [2018-03-21 17:58:55] |
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The only thing we will say is implementing true order position in queue is an impossibility for us to offer unless we are routing orders direct to the CME. Which at this time is not the case.
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: 2018-03-21 17:59:08
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| [2018-03-21 23:35:07] |
| canyiah - Posts: 48 |
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So no MBO for Rithmic yet? if so how do i add the quantity column
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| [2018-03-22 01:03:04] |
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This is only supported with the Sierra Chart Exchange Data Feed but it is still undergoing testing and not yet available.
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 |
| [2018-11-02 16:58:21] |
| nioko54130 - Posts: 108 |
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Hello dear Support! IS there the MBO calculation finnally accessible with the SC futures data feed? thank's |
| [2018-11-02 17:27:37] |
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There are extended levels of market depth available and that is now up to 30 levels. The market by order data is only available in this way.
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 |
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