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Direct MessagesDate/Time: Fri, 26 Apr 2024 23:36:58 +0000
CL Calendar Spread
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| [2018-03-30 18:40:18] |
| Trade Nice - Posts: 75 |
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I am using a DTC-Server and DTC-Sub Instance A) To receive RT data for a CL Calendar Spread, for example CLM18-CLN18.FUT_SPREAD.NYMEX, do i need to use the 'Sierra Chart Real-Time and Historical Exchange Data Feed'? Assuming your answer is yes... B) Do i need to tick on BOTH the Server and Sub Instance....Data/Trade Service Settings>'Allow Support for Sierra Chart Data Feed'? Thank you |
| [2018-03-30 21:41:39] |
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1. Yes this is correct. 2. That setting is only relevant on the Server instance but can be enabled on a sub instance as well. 3. Currently in a sub instance you cannot search/list for the futures spread symbols through the Find Symbol window, but if you know what they are you can use them. 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: 2018-03-30 21:41:56
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| [2019-01-12 19:25:17] |
| Chad - Posts: 231 |
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Hi SCE, Continuing on this inquiry...you mentioned that the user cannot search/list for the futures spread symbols in a sub-instance...can a full list of spread symbols be found by requesting them through the DTC-Server instance? Also, are parameters to receive the following data for each individual futures contract available through DTC-Server as well? 1) expiration date 2) open interest Lastly, is the 'Multiplier' parameter (i.e. in the 'Difference' study) available here too? For example, if I wanted to receive historical price bars for a NYMEX crack spread but need to spec a multiplier for the Gasoline leg/contract relative to the WTI Crude leg. |
| [2019-01-12 21:24:56] |
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The DTC server now supports providing futures spreads and strategies for an underlying symbol and sub instances can access those as well through the Find Symbol window. This limitation no longer exists. Also, are parameters to receive the following data for each individual futures contract available through DTC-Server as well? Expiration date is not. We will make sure open interest is supported in an upcoming release.1) expiration date 2) open interest Lastly, is the 'Multiplier' parameter (i.e. in the 'Difference' study) available here too? For example, if I wanted to receive historical price bars for a NYMEX crack spread but need to spec a multiplier for the Gasoline leg/contract relative to the WTI Crude leg. 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: 2019-01-12 21:25:27
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| [2019-02-21 17:00:10] |
| Chad - Posts: 231 |
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Hi SCE, just following up on this with regard to your response about access to futures OI data being supported in an upcoming release - is there an estimate on when this might be done? I'll refrain from obtaining it by another avenue if this feature will be added soon-ish.
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| [2019-02-22 01:51:40] |
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We realize that this cannot be supported other than if you do a market data request and access the futures open interest data through market data snapshot message.
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: 2019-02-22 01:51:51
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| [2019-02-22 17:57:42] |
| Chad - Posts: 231 |
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Thanks, I think I found the appropriate functions to use for a snapshot as you mentioned...for futures OI, as-listed in DTCprotocol.cpp, line 1994: s_MarketDataUpdateSessionOpen_Int::GetMessageSize()
As for expiration date, would s_SecurityDefinitionResponse::GetSecurityExpirationDate() (line 5776) be appropriate? The word 'security' in this makes me wonder.Otherwise I could simply use a Quote Board and enable the fields 'OpenInterest' and 'LastTradingDate', but it seems I would have to manually manage that. Date Time Of Last Edit: 2019-02-23 22:10:25
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| [2019-02-26 00:39:11] |
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For open interest that data can be received in the market data snapshot: Market Data Messages: MARKET_DATA_SNAPSHOT [s_MarketDataSnapshot structure] Server >> Client s_SecurityDefinitionResponse::GetSecurityExpirationDate() Yes this is correct for the expiration date.
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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