Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Thu, 25 Apr 2024 17:05:16 +0000
Sierra Data Feed - Depth Levels Available on Crude Oil Futures
View Count: 1769
| [2018-07-16 14:31:13] |
| Acro - Posts: 436 |
|
Hi, Since CQG and Rithmic provide full depth levels for this instrument (eg 500) is there any possibility that Sierra's datafeed will do likewise in the near future ? This would improve the accuracy of the bid depth bars on this market |
| [2018-07-16 16:20:01] |
| |
|
Yes but only up to 20 levels. We are not going to go further than that for performance reasons. At least not until we are certain we can go more but certainly not 500. But we cannot say when this would be offered. Probably by September. The development has been done, but there is an issue we need to troubleshoot and resolve.
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: 2018-07-16 16:20:17
|
| [2018-07-18 13:13:49] |
| Acro - Posts: 436 |
|
20 levels would certainly be better but I have been doing a direct comparison of the Level II data in the book using the Sierra real time data and the CQG data and from what I have noticed the Sierra feed very often has a lower number of resting orders at prices close to the inside bid offer. Since the Sierra feed is unfiltered I am at a loss to explain the difference. Could you shed any light on this please |
| [2018-07-18 17:21:43] |
| |
|
This means CQG market depth data is inaccurate. That we are 100% certain of. Unless they are including the implied order book. We do not.
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: 2018-07-18 17:21:53
|
| [2018-09-05 02:14:02] |
| Acro - Posts: 436 |
|
Hi Any news on whether the 20 depth levels on CL (Sierra data feed) is likely to be implemented in September ? |
| [2019-10-28 04:41:49] |
| uM8137 - Posts: 180 |
|
This means CQG market depth data is inaccurate. That we are 100% certain of. Unless they are including the implied order book. We do not.
Could SC elaborate on why the implied book is not included? When I read the CME documentation they seem to say that this is necessary (their word is "must") in order to give an accurate book. https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Consolidating+Implied+and+Multiple+Depth+Books "The book update message for a Market by Price (MBP) multiple-depth book reports modifications to prices, quantities, and order count; the data block for an implied prices book reports modifications to prices and quantities. The MBP multiple-depth book should be used in conjunction with the implied prices book to create an accurate book for all contracts with implied functionality. To create a consolidated book, the multiple-depth book and the implied book must be built and managed separately, then consolidated to reflect the current state of the market." |
To post a message in this thread, you need to log in with your Sierra Chart account: