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Direct MessagesDate/Time: Thu, 25 Apr 2024 08:57:41 +0000
DTC & Combine Trades Into Original Summary
View Count: 1177
| [2018-06-01 07:33:40] |
| Usermb - Posts: 126 |
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I'm getting my feet wet using a Sierra DTC Server from Python over Protobuf v3, I use the most recent proto file(11th April, 2018) and the newest stable SC release (1750) When requesting tick data, it must be possible somehow to instrunct the server to send data with the flag "Combine Trades Into Original Summary", but I can't figure it out how, could you please help? |
| [2018-06-01 16:46:46] |
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On the logon message Integer_1 field you need to set this bit: 0x4 But this just means the Market data UpdateTrade messages indicate the beginning and ending of a bundled trade. You have to still do the combining. 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: 2018-06-01 16:48:27
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| [2018-06-03 22:30:29] |
| Usermb - Posts: 126 |
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Thank you for the reply. Unfortunatelly I forgot to mention that I'm only downloading historical data, not streaming real time. I set the field Integer_1 to 4 during the login request, but it didn't change anything. Is there something else that works with historical data? |
| [2018-06-05 21:20:42] |
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What is available is the ability to have the historical tick by tick records indicate the beginning and ending of a bundled trade. Would that help? None of this is documented though.
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: 2018-06-05 21:20:54
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| [2018-06-05 22:52:56] |
| Usermb - Posts: 126 |
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Yes indeed that would be very helpful, I will do the combining on my own. Thank you.
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| [2018-06-10 02:52:58] |
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The beginning and ending trade of a summary trade is specified through the Open field of the Intraday file record. The following are the values: const float c_IntradayFile::s_IntradayRecord::SINGLE_TRADE_WITH_BID_ASK = 0.0F; const float c_IntradayFile::s_IntradayRecord::FIRST_SUB_TRADE_OF_UNBUNDLED_TRADE = -1.99900095e+37F; const float c_IntradayFile::s_IntradayRecord::LAST_SUB_TRADE_OF_UNBUNDLED_TRADE = -1.99900197e+37F; To request these particular values be set, when making a historical data request you need to set: HistoricalPriceDataRequest.Flag_1 |= DTC_HISTORICAL_PRICE_DATA_REQUEST_SUPPORT_UNBUNDLED_TRADES; const unsigned int DTC_HISTORICAL_PRICE_DATA_REQUEST_SUPPORT_UNBUNDLED_TRADES = 0x8; 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: 2018-06-10 03:44:23
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| [2018-06-10 18:23:36] |
| Usermb - Posts: 126 |
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Thank you so much. I implemented the bundler and first tests produce the same results SC displays, so it appears to work fine :-) Am I correct asserting that: - the price of all ticks (HISTORICAL_PRICE_DATA_RECORD_RESPONSE messages) within a bundle must be the same - the timestamp of all ticks within a bundle must be the same - the side of the trade (bid or ask) of all ticks within a bundle must be the same |
| [2018-06-10 22:17:23] |
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The answer is yes to all of these items.
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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