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Date/Time: Thu, 13 Dec 2018 07:31:37 +0000



[Sticky] - Available: More Market Depth Levels for CME Futures with SC Exchange Data Feed!

Support Request:
[2018-09-15 19:23:54]
Sierra Chart Engineering - Posts: 66930
We continue to get a lot of questions about additional levels of market depth with the Sierra Chart Exchange Data Feed. For CME symbols this is provided through the market by order data from the CME which is literally order by order data which makes up the entire order book.

Use of this data to create additional levels of market depth is by no means simple. And it is also very clear that the use of this data for the first 10 levels of market depth, would be unreliable and provide faulty results if there is ever packet loss. And trying to recover from that state is also inefficient. These are the basic facts.

The first 10 levels will always be provided by the standard market depth data from the CME. We have done the programming to support the market by order data, many months ago, to create additional levels of depth but there is some small issue that still has to be debugged. We have all of the necessary debugging processes in place to do this. We just have not yet had time to focus on this. We will be doing it this coming week if possible . Once we get that problem resolved we can release an additional 10 levels on select markets. And if that goes okay, we could try doing an additional 20 levels of depth. But we are not comfortable going more. And inevitably, the processing of this data will have a performance impact with high market volumes. But the impact will have to be evaluated.

Ultimately we wish we could provide everyone market data through our own data feed, but CME market data rules prevent this because it simply raises the cost. This is what creates so much complexity for users and us. It all has to do with the garbage market data rule policies from exchanges. They are hurting themselves and why they do that, we do not know. But we do believe in the coming years the consequence of what they are doing is going to clearly be detrimental to them.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-09-15 19:31:24
[2018-09-19 05:39:57]
Sierra Chart Engineering - Posts: 66930
We have now released 30 additional levels of market depth for GC futures on one of our servers. This seems to be working just fine but it does require further review and testing.

You can use the symbol GCZ18 to see the additional depth if you are using the Sierra Chart Exchange Data Feed. If you do not see it, reconnect to the data feed:
https://www.sierrachart.com/index.php?page=doc/FileMenu.html#ProcedureToReconnect
Sierra Chart Support - Engineering Level

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[2018-09-19 07:45:20]
Sierra Chart Engineering - Posts: 66930
Here is an example for the GC December futures:
http://www.sierrachart.com/image.php?Image=1537343146724.png
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-09-19 07:45:57
[2018-09-19 09:08:56]
Sierra Chart Engineering - Posts: 66930
The minor issue we had with CME Market by Order data has been resolved and there is going to be some additional work we are going to do to improve the overall reliability of it. By the end of this week, we are confident that it will be functioning properly and we should be able to release it fully next week.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-09-19 09:09:52
[2018-09-19 11:11:42]
Sierra Chart Engineering - Posts: 66930
40 levels of market depth is now available for YMZ18, GCZ18 when using the Sierra Chart Exchange Data Feed on one of the servers.

It looks to be working quite well. Let us know if you see any issues.

We are happy to finally get this out. This had been developed many months ago, but we just had a little problem that needed to be resolved and we just had time now to concentrate on it. It was a simple issue.

Our main concern, is whether this is going to cause any data lag during heavy market activity. We were not planning to put out 40 levels but we thought that was okay for this initial release and see how it goes. Most likely though we will back this off to 20 or 30 levels later. There is further optimization we can do by limiting the market by order data just to the active and most popular futures contracts.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-09-19 11:21:39
[2018-09-19 12:59:11]
user8888 - Posts: 79
If the processing of that data is going to have a performance impact, would you please consider make it a switchable option?

Thank you
[2018-09-19 15:36:52]
Sierra Chart Engineering - Posts: 66930
No, that cannot be done. And we will make sure that it does not by keeping the number of additional levels to a minimum.
Sierra Chart Support - Engineering Level

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[2018-09-20 07:01:35]
Sierra Chart Engineering - Posts: 66930
And inevitably, the processing of this data will have a performance impact with high market volumes. But the impact will have to be evaluated.
We want to clarify this. While certainly there will be an impact, we will be able to manage this. And we do not think it is going to cause any noticeable issue. During very high market volumes, perhaps the impact could be an extra hundred milliseconds of latency at a particular moment. Perhaps this happens .01% of the time. This is in general what we are talking about. The general approach for us to resolve this is that market by order data is only going to be maintained for a select set of symbols. And only for the current actively traded contract. This will minimize the impact dramatically.

Furthermore, over the last several months there have been major performance improvements with our real-time data feed delivery.
Sierra Chart Support - Engineering Level

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[2018-09-21 02:36:09]
Sierra Chart Engineering - Posts: 66930
We have now released 40 levels of market depth for symbol ESZ18, with the Sierra Chart Exchange Data Feed, on one of the servers.

Feedback on this would be appreciated. If there is any issue with this data, just reconnect to the server to go to the other server:
https://www.sierrachart.com/index.php?page=doc/FileMenu.html#ProcedureToReconnect
Sierra Chart Support - Engineering Level

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[2018-09-21 05:45:55]
User19165 - Posts: 168
Can you please clarify if this new feature applies to all the SC real-time data? If not, please update the title to reflect.

Thank you.
[2018-09-21 06:59:46]
Sierra Chart Engineering - Posts: 66930
No it would only apply to the CME markets. We will update the title.
Sierra Chart Support - Engineering Level

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[2018-09-21 13:39:47]
User322949 - Posts: 194
how about crude oil , as depth pressure can move markets up to 500 ticks away >?
[2018-09-21 13:42:40]
User322949 - Posts: 194
as u can see here even 100 ticks out the dom imbal on the pressure is effected price , so new as much as u can provide
Private File
[2018-09-21 22:17:51]
Sierra Chart Engineering - Posts: 66930
At this point we are not comfortable with more than 40 levels.

We were monitoring the market by order data for ESZ18 and it was quite clear that the calculations were 100% accurate.

This is easily verified by looking at the 10th and 11th depth level. Sierra Chart maintains two sets of market depth. The first 10 levels provided by the exchange and then the market depth built from the market by order data, which consists of all levels. So when you see a price and quantity at level 10 move to level 11 and you notice that the quantity and number of orders is identical, then this is a clear validation that the market by order calculated depth is accurate since you are seeing basically from one moment the exchange calculated depth at level 10 and then you see the market by order calculated depth at level 11.
Sierra Chart Support - Engineering Level

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[2018-09-22 03:57:22]
Empty - Posts: 27
I think this is awesome, but I wish it was configurable. It sounds like the method of implementation makes that difficult. Thank you for everything you do.
[2018-09-22 05:48:52]
Sierra Chart Engineering - Posts: 66930
It is configurable on the client side through a new Chart Setting:
https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#MaximumMarketDepthLevels

You need to update to the current version for this setting:
https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate
Sierra Chart Support - Engineering Level

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[2018-09-25 04:35:38]
Sierra Chart Engineering - Posts: 66930
Any questions regarding market depth data from external services that are not the Sierra Chart Exchange Data Feed, we will be declining support for them. We do not control the market depth from those services. And Rithmic for unknown reasons has an unstable level of market depth. It really is crazy the behavior we hear about.

And the future of Rithmic support is uncertain in Sierra Chart. We are not going to pull support for it, but we are not going to do any further development with it either. And we cannot help with certain types of problems with it either. Their current API, is not the ideal method of integration and has issues. They are coming out with a new websocket API which uses Google protocol buffer encoding. But whether we have time to support that or not is unknown. And it really at this point in time, it is maddening for us to be supporting too many different services with all of the associated problems and limitations.


We have more than reached the breaking point in regards to the number of services being supported. It is an absolute absurdity. So anytime you ask about new services, you can be assured of not to get a response from us on that. For example, Oanda support will never happen. At least that is our position now. We use very firm positions on this in the present time, so not to be bothered about this.

And we are going to have to consolidate, and start routing orders more through centralized connections that we control. There are way too many connectivity problems otherwise.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-09-25 23:14:32
[2018-09-26 21:12:36]
User12089 - Posts: 112
if there are concerns about more data traffic and hence more expensive and scalable ticker plant to support it, why agonize over that ? Just offer that at extra fee - trust me, there gona be many willing subscribers, I am one of them

Also if there is a need for upfront investment to upgrade the SC ticker plant, then you can raise the money for that from us the clients, too

ps: the above is in relation to the SC data feed and its (experimental) increased market depth coverage

ps1: also my advice is to continue maintaining the support for the Rithmic data feed - or a lot of customers (including myself) are going to be upset. You have to understand that part of the popularity of SC is its support for broad range of market data and trading services - moaning about that (as in the above post from SC) shows lack of business understanding what factors drive the sales of SC (hey we pay money for SC it is not a free product - so what exactly is your problem. Or if you have a "problem" then just increase the price. The alternative is just keep moaning and leave a void in the market - trust me it will soon be filled by somebody else, as history shows)
Date Time Of Last Edit: 2018-09-26 22:40:17
[2018-09-27 16:11:07]
User12089 - Posts: 112
another business idea - you can introduce a two tier infrastructure and subscriptions for market data - the SC market data subscribers who want the full market depth pay higher fees, BUT use a dedicate, separate market data ticker plant. In this way you can manage the overload of the current common ticker plant and also pay off the eventual new separate ticker plant
[2018-09-28 05:02:16]
Sierra Chart Engineering - Posts: 66930
Just offer that at extra fee -
This is more work than it is worth.

you can introduce a two tier infrastructure and subscriptions for market data - the SC market data subscribers who want the full market depth pay higher fees, BUT use a dedicate, separate market data ticker plant. In this way you can manage the overload of the current common ticker plant and also pay off the eventual new separate ticker plant
This is vastly more work than it is worth. And primarily only the CME and Barchart benefit by this. We do not. There is very little gain for us in this.

ps1: also my advice is to continue maintaining the support for the Rithmic data feed - or a lot of customers (including myself) are going to be upset. You have to understand that part of the popularity of SC is its support for broad range of market data and trading services - moaning about that (as in the above post from SC) shows lack of business understanding what factors drive the sales of SC (hey we pay money for SC it is not a free product - so what exactly is your problem. Or if you have a "problem" then just increase the price. The alternative is just keep moaning and leave a void in the market - trust me it will soon be filled by somebody else, as history shows)
Our statements are an expression of the absurdity of the exchange policies, and that our abilities are far above everyone else we work with. And ultimately if we have to drop some services, and if we lose business, that is the desired outcome because ultimately our objective is to increase business dramatically like 10 times, by creating more practical and efficient operations and ultimately benefiting our user base by providing the services reliably that are required.


And ultimately our problem is we are not happy with the quality of the backend services. Because when those are of poor quality, it creates more of a support burden on us, and a poor impression of us. That is just not acceptable. At this point the only reason Rithmic is being held onto it is because it is used for trade simulation and there is not an alternative and the alternative is not there because of CME market data policies because we have our own ultra high quality alternative but it is not entirely viable due to CME market data policies.

And if these backend services, are not meeting our standards, we have to at some point drop them and create our own. The problem is when you deal with exchanges this is very difficult due to the high cost of exchange connectivity. This is why in the end you suffer.

What would we be worth if we do not openly complain about this stuff and talk about the garbage crap from exchanges and there crap policies. And we are only being too kind here. Who comes out and calls out the absurd policies for what they are. To our knowledge this is not really commonly done although the SEC is looking at what the equity exchanges are doing in the United States in regards to market data policies. So clearly the problem is being understood.

Even take FTSE Russell and their new market data policies. Barchart dropped FTSE Russell and called their new market data agreement "draconian".

They called it "draconian". It is not just us complaining.

Anyway we are talking to TT now, about low cost order routing. TT can do order routing at .05 a contract and even lower, and then if use our data feed at 25 a month and if we can get Barchart to increase the number of symbols, we think this is going to be an excellent solution. You have to already now pay Rithmic 25 a month plus trade fees.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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Date Time Of Last Edit: 2018-09-28 05:36:33
[2018-09-28 05:25:38]
Sierra Chart Engineering - Posts: 66930
Also to be clear, our comments in regards to Rithmic above, are not meant to put them down. They are just being used an example because we see some users says they get 15 levels of depth, someone else has 20 levels of depth, someone else says several hundred levels of depth. It is all over the place and we just don't understand why that is even the case when we have changed nothing all of this time.

But that's not even the issue because we have a problem with every single service we work with. And we could be dramatically more productive and get a lot more done if we are not wasting so much time on so many different problems. And yes we ourselves have our own issues at times but we recognize them and quickly take care of them. And yes, there are certainly weaknesses and areas of improvements needed in Sierra Chart. And that is why we need to focus more on those and we continue to do that.

So Rithmic should not be singled out here. There are others as well. We have said on our Rithmic page on our website that Rithmic is a fine service.

The more recent example of aggressive market data policies is now coming from ICE. There is a document we have to complete for CQG related to ICE market data policies.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-09-28 05:28:51
[2018-09-28 09:34:12]
User12089 - Posts: 112
Most of your users are non-technical. I happen to be a professional (practicing) software engineer with MS in Computer Science. If I didn't have a day job as a software engineer and was not a practicing trader, then I would have developed myself a platform like SC.

So I can tell you authoritatively that with the current version of SC, 1806, THERE ARE NO problems with the handling of the Rithmic data feed by SC.

Should anybody complain to you about "problems", then first you the SC, ask me to do some tests on my side and I will let you know.

Also users with "problems" must understand that they should not be wasting the time of anybody if they are using a trial paper trading account .... Pay properly for production account and then chase "problems"

Finally, should you ever "discontinue" the support for Rithmic e.g. in the case they change their Communication Protocols (sorry that's the real life, all market data vendors are entitled to do that and without consulting and getting permission from SC haha), then just handover to me the current code for the current Rithmic feed handler in SC. I will adapt it myself to the eventual new protocol of Rithmic. I can then sell the new feed handler either to SC or to clients of SC who want to use it.

==---

Regarding - "But that's not even the issue because we have a problem with every single service we work with. " - but so is every other vendor of Trading Platforms of which there are many, my friends. (however my humble opinion is that SC is simply the best! - I am saying that as end user who has paid for and used virtually any trading platform out there, as a professional software engineer and as experienced and profitable trader)

so view that as a way to differentiate from your competition - not a reason to moan. You could moan if you were facing a challenge which was relevant ONLY to you. But that's not the case here - every single vendor of trading platforms is going through this.

And if the above is "wasting your time" and your current team can not cope then simply hire more people and increase the price for the product or create a tiered pricing structure for the product - personally I am happy to pay for ALL features and feed handlers and more or less ANY price

You have to understand that a Trading Platform is also a Communications Hub, which has to deal effectively with multiple Data Vendors and Brokers and their idionsyncratic communication protocols, which on top of that may change from time to time. Especially for key Data Vendors and Brokers and Rithmic is one of them. And that's one of the key features of the Trading Platform product and hence a key competitive advantage for those who get it right. One of the many strong sides of SC is its support for wide range of market data vendors and brokers. That allows more users with different preferences to use the platform and also power users with more than one preference for data feeds

==---

finally it has not become clear to me what is meant by "draconian this and draconian that" when talking about "exchange policies". Do you mean price ? If yes, then trust me there are people like me (who happen to trade successfully) who can absorb it if the money they make are going to be more than the price of the data feeds
Date Time Of Last Edit: 2018-09-28 11:34:29
[2018-10-01 00:31:15]
Sierra Chart Engineering - Posts: 66930
Thank you for your comments. They are appreciated.

We just had time to respond now.

THERE ARE NO problems with the handling of the Rithmic data feed by SC.


Yes we know. But there is actually an outstanding issue where according to Rithmic the connection parameters are not fully up-to-date but the problem is we cannot do a new release because there is an incompatibility between the binary executables provided by Rithmic and the Visual C++ 2017 bridge program project we are using. We are fairly certain it is due to an incompatibility. There is no other explanation. Basically the execution becomes unstable very early on in the execution of the bridge program.

The current bridge program build which you are using is older from late last year using apparently an earlier version of Visual C++. We would have to look back in our logs to find out what we were using back then.


Finally, should you ever "discontinue" the support for Rithmic e.g. in the case they change their Communication Protocols (sorry that's the real life, all market data vendors are entitled to do that and without consulting and getting permission from SC haha), then just handover to me the current code for the current Rithmic feed handler in SC. I will adapt it myself to the eventual new protocol of Rithmic. I can then sell the new feed handler either to SC or to clients of SC who want to use it.
If you are interested in doing this, we would be interested in talking with you about this. We could give you free Sierra Chart usage time. Basically there is going to be a substantial change. Rithmic has developed a new websocket interface using Google protocol buffer encoding and that needs to be supported. The old C++ API is going to go. while Rithmic did not consult with us on the details, they did basically follow our advice not to use a C++ API.


On another subject, there is a real difference between businesses like TT and CQG and Sierra Chart. TT and CQG maintain direct interfaces to exchanges primarily if not always using protocol-based communication, not API components, and provide a full backend and front end trading environment. What we provide is primarily the front end. But we also have developed full backend market data functionality and we now have full backend trading functionality. What we lack though is the exchange connectivity. We can obtain exchange connectivity economically through TT or CQG and then we can provide a full solution to brokers just by having them use an omnibus account and where our own systems maintain the subaccounts.

A solution like this will solve the issues. We have gotten to the point where we can now offer this. Still though the problem is once again market data due to market data rules by the CME. While we have a market data feed, the cost is going to be a little higher compared to what TT and CQG can do this for. But then again as we build up users Barchart hopefully will accommodate us. And then the other problem is that the authorization system for that market data, goes through Barchart and whenever there are issues with that during the sign-up or account management process, it affects us and our users. That does create a fair amount of burden on us.

And then every now and then Barchart cuts off someone from the NYSE and NASDAQ feeds because they are deemed to be a professional. Sometimes this analysis is faulty, but you can understand the fear that the US equities exchanges have instilled in Barchart over this because if there is a mistake and Barchart does not recognize a professional user there is a heavy penalty for this. Do you see that problem here?

We see the background situation of what is going on and we see the fear that gets instilled in these providers. We heard one time many years ago that the Nymex when they were an independent exchange imposed a $50,000 penalty on a data provider because the delaying time for delayed data was off a few seconds. Now tell us, this is not draconian.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2018-10-02 08:45:20
[2018-10-03 00:41:32]
Acro - Posts: 234
Hi,
Can you summarize the current and future products that will get extended depth please on the SC feed.

I believe there are currently 40 levels for ES, YM and GC

I hope that there are plans to extend this to CL and maybe NQ.
[2018-10-03 01:38:03]
Sierra Chart Engineering - Posts: 66930
NQ extended depth is already out and CL depth we can probably put out tomorrow.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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[2018-10-03 10:51:57]
User975626 - Posts: 13
Any info about EU6 please ?
[2018-10-03 16:43:26]
Sierra Chart Engineering - Posts: 66930
Additional depth levels for the CME 6E market has already been added.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-10-03 16:43:34
[2018-10-03 21:08:37]
Sierra Chart Engineering - Posts: 66930
Currently we offer more levels of depth on the following: ES, NQ, YM, 6E, GC, CL

Let us know what other markets you would like to see the extended depth on.
Sierra Chart Support - Engineering Level

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[2018-10-05 09:44:13]
Acro - Posts: 234
When will all your servers have extended depth for each of the above instruments (CL, ES, GC, YM, NQ, 6E)?
At the moment it appears that the server with extended CL depth does not have extended GC depth and vice versa.

It would be good to know that if there is an outage that a user will reconnect to the same level of depth and that if the user traded CL and GC both would have extended depth on the same server
[2018-10-05 16:53:00]
Sierra Chart Engineering - Posts: 66930
This was intended to be done by now. We apologize for this. We did not have the market by order data enabled for all of the servers. This was an oversight. We will do this after the close.
Sierra Chart Support - Engineering Level

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[2018-10-05 20:59:24]
Sierra Chart Engineering - Posts: 66930
All Sierra Chart Exchange Data Feed servers are now providing market by order data for these CME symbols:
CL, ES, GC, YM, NQ, 6E

If there are other symbols there is an interest in, let us know.
Sierra Chart Support - Engineering Level

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[2018-10-11 13:45:05]
User56280 - Posts: 6
Hello,

is there currently an issue with the additional market data? I am connected to my broker as well as the Sierra Chart Data Feed and my charts and doms are marked [M], however my DOMs - both for ES and NQ - returned to displaying only 10 levels. The extra levels have been amazing for order flow trading

Thanks in advance
[2018-10-11 14:03:56]
User209118 - Posts: 1
Same problem here, only 10 levels is currently displayed. Thank you for your answer!
[2018-10-11 15:43:17]
conr - Posts: 148
Hello,

is there currently an issue with the additional market data? I am connected to my broker as well as the Sierra Chart Data Feed and my charts and doms are marked [M], however my DOMs - both for ES and NQ - returned to displaying only 10 levels. The extra levels have been amazing for order flow trading

Thanks in advance

Disconnect and then reconnect.
[2018-10-11 17:50:55]
Sierra Chart Engineering - Posts: 66930
Due to a report of lagging data by one user, which is still unconfirmed by us, we disabled the additional levels on one of our servers for the CME channels. We just do not want to take any chances until we determine what the origin of that issue was.

Just give us a few more days to restore it, if we do not see an issue like this.

For now reconnect to the data feed to get to the other server:
https://www.sierrachart.com/index.php?page=doc/FileMenu.html#ProcedureToReconnect
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-10-11 17:51:26
[2018-10-16 11:50:11]
User164231 - Posts: 136
Hi, where is the page to view pricing and subscribe to the 40 level market depth for futures indices and precious metals?
Date Time Of Last Edit: 2018-10-16 11:51:15
[2018-10-16 16:37:36]
Sierra Chart Engineering - Posts: 66930
There are no additional fees for the additional market depth levels, you just need to be using the Sierra Chart Real-Time Market Data feed. The information for pricing for the feed can be found here: https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php#Pricing

Note that only a limited number of symbols are available with the additional depth at this time. Those are the following CME symbols: CL, ES, GC, YM, NQ, 6E
Sierra Chart Support - Engineering Level

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[2018-10-17 12:47:51]
User164231 - Posts: 136
Hi, so it is the base $35 plus $15.75 for all futures? What is 1st connection, 2nd connection?
[2018-10-17 16:13:05]
Acro - Posts: 234
Is there any chance you will be adding any more levels of depth for CL ?
I believe it would make a difference for that particular instrument
[2018-10-17 18:14:39]
Sierra Chart Engineering - Posts: 66930
Hi, so it is the base $35 plus $15.75 for all futures? What is 1st connection, 2nd connection?
Yes. Connections are documented here:
https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php#Connections

There are no plans to provide more levels for CL. The way the CME does this market by order data is terribly inefficient. There is no other way to explain it other than it is simply substandard and inefficient. For example, when an order is modified they should give the prior price and quantity so we do not have to store that. And they should just simply provide more levels of depth outright rather having to build it with market by order data.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-10-17 18:16:04
[2018-10-23 01:28:53]
Acro - Posts: 234
Hi,
Is there any update on the server with the lagging data ?
Will it be switched back to 40 levels of depth soon ?

Thanks

(I ask as it's still luck of the draw when you disconnect reconnect whether you will get that server or one of the servers with the 40 level depth)
[2018-10-23 02:47:02]
Sierra Chart Engineering - Posts: 66930

Is there any update on the server with the lagging data ?
Do you notice a problem with this? We have not observed this but we do have some reports of this. Some of it is related to the US equities data feed which is a separate connection and has a separate cause from what we can tell.

Being an issue like this is isolated to some users and only occurs briefly, it is really hard to pin point the cause but some changes have been made.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-10-23 02:48:31
[2018-10-23 02:51:12]
Acro - Posts: 234
I have not noticed any lagging problems but I am only using it for CME Futures.

My issue relates to the fact that one or more servers only have 20 levels and the other servers have 40 levels.
It would be good to achieve consistency across all your servers so when one connects or reconnects you know you going to get 40 levels of depth for those futures products (YM, NQ, ES, CL, GC, 6E)
[2018-10-23 03:13:30]
Sierra Chart Engineering - Posts: 66930
I have not noticed any lagging problems but I am only using it for CME Futures.
This is good. And this is what we would expect. It was quite surprising to hear this from some users. In any case, there are certainly additional performance improvements which can be made and we are making.

So we should be able to add in the additional levels this later this week.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2018-10-25 16:19:23]
Sierra Chart Engineering - Posts: 66930
Another user reported momentarily stopping data here:
https://www.sierrachart.com/SupportBoard.php?ThreadID=37939

We are going to have to reduce the number of levels to 20 levels on the other server as well. We cannot have this kind of problem until we are able to fully understand and resolve. This is a step we need to take and we apologize for this.

Although we have mentioned potential performance issues in this thread, this particular issue is not something that we ever would have known would have happened in some cases. The particular performance issue we were concerned with was in regards to the processing of the MDP feed itself from the CME. We have not noticed any obvious performance issue with that and it has been working well. The major concern is two reasons . The fact that the prior price and quantity for every order has to be stored. That simply takes time due to the lookup time and the time for allocating and releasing memory.

The CME does not make this efficient. They could but they do not. The other reason relates to merging of the standard 10 market depth levels with the additional levels.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2018-10-25 16:29:18
[2018-10-25 17:02:54]
Sierra Chart Engineering - Posts: 66930
Actually we are going to hold off with decreasing the levels to 20 but we are not going to increase them to 40 on one of the servers yet.

We are first going to increase the operating system outgoing buffer size for clients. We are going to double it.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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[2018-10-29 00:14:01]
Acro - Posts: 234
Have the levels available now been reduced from 40 down to 30 ?

If so, can I ask why as this seems to be going backwards ??
[2018-10-29 03:15:57]
Sierra Chart Engineering - Posts: 66930
This is only intended to be temporary but we do not want to say for how long for because there is some other related work which we do not know how long it will take to be done.

We have had a few users report the data feed stopping for a few seconds and while we are quite sure the reason is understood and we have implemented a solution/patch, we want to limit the number of depth levels for now. A more comprehensive solution will take us more time.

We do not want to have any type of issue like this.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2018-10-30 15:52:17]
Acro - Posts: 234
Is there any chance of seeing what more levels of depth in ZN (10 year treasuries) would like ?

Thanks
[2018-10-30 16:59:19]
Sierra Chart Engineering - Posts: 66930
Yes we can set up extended depth for that symbol.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2018-10-30 21:51:33]
Sierra Chart Engineering - Posts: 66930
We did add support for extended market depth for ZN, but we may withdraw this. This is quite frightening because it has an enormous amount of orders. Currently there are over 150,000 just for the first 30 levels. Correction: The number of orders is about 7000 for the first 30 levels. The 150,000 was the volume.

If we notice any kind of consequence, then we have to immediately withdraw this and we cannot get involved in this.

We already removed it from one of the servers.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2018-10-31 01:55:21
[2018-10-31 00:02:55]
Acro - Posts: 234
I see what you mean.
I'm happy to withdraw that request as I do agree that it may have an adverse effect on your servers and your ability to return to 40 levels of depth.
[2018-10-31 01:53:55]
Sierra Chart Engineering - Posts: 66930
Actually we were mistaken about the number of orders and that should be clear at this point in time when you look at it. The number of orders for the first 30 levels is 7000 at this moment for ZNZ18. The 150,000 was the volume. That is not relevant to performance.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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Date Time Of Last Edit: 2018-10-31 01:54:42
[2018-11-10 05:24:37]
Acro - Posts: 234
Is there any update on reverting back to 40 levels of depth instead of 30 ?

Thank You
[2018-11-11 09:51:06]
Sierra Chart Engineering - Posts: 66930
We still need to complete an essential change in the network socket core to properly resolve a problem some users have been having. And we also have to reduce the amount of bandwidth, used by this data.

We are doing our best to get these done as soon as possible.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2018-11-16 17:07:56]
nonojnet - Posts: 8
I've read the entire thread but I still don't get why if Max T&S Depth levels is set to 10 I keep watching hundreds of them in my DOMs. I only need to watch 10 can't find the way to do it (I mean bid/ask levels, not pull/stack).

Any idea?
[2018-11-16 18:41:05]
Sierra Chart Engineering - Posts: 66930
There is a different setting for this which is specific to a chart. Refer to:
https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#MaximumMarketDepthLevels
Sierra Chart Support - Engineering Level

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[2018-11-17 07:53:47]
User164231 - Posts: 136
Ever since I switched to SC data, the big lots on ES futures (1,000) executed have disappeared from my T & S window as well as the studies (Large Volume Trade Indicator).

When I compared SC data to IQ feed, Interactive broker data seems to be more closer than IQ feed than SC data. Did I miss any settings?
[2018-11-17 10:43:34]
Sierra Chart Engineering - Posts: 66930
It does not make sense you would see any sub trade with a volume of 1000. If you are looking for that, use this particular setting:
https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#CombineTradesIntoOriginalSummaryTrade

Also disregard Interactive Brokers data, it is not going to be accurate in this way.
Sierra Chart Support - Engineering Level

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[2018-11-22 13:39:39]
numas9 - Posts: 2
A request for A6 :D
[2018-11-22 20:56:33]
Sierra Chart Engineering - Posts: 66930
Okay we will see about that. Another note is that if users update to pre-release 1846, this takes advantage of a 25% reduction in bandwidth for the market depth data.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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[2018-12-05 09:54:36]
speedtrade - Posts: 4
Hi, I would like to express my interest in full book market depth for CME products. Surely there is a way you can do this? CQG offer it for CL and Rithmic offer it for all CME products. I understand the technical explanation/concerns above, but this is clearly possible given others are already doing it. Seriously, I will pay you 2x, 3x, 4x, 5x the current price to have this data - fast & reliable. I'm sure I'm not the only one.
Date Time Of Last Edit: 2018-12-05 09:55:09
[2018-12-05 22:08:55]
Sierra Chart Engineering - Posts: 66930
Our understanding that Rithmic offers 20 levels of market depth and not more.

As far as doing more levels than the 30/40 we have been offering, that will have to be looked into later.

And it will have to be an additional cost as well. The first thing we need to develop is the ability for the user to control the number of levels because otherwise we cannot push all that data out because some users can have trouble with it based upon their Internet connection.
Sierra Chart Support - Engineering Level

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[2018-12-05 23:50:15]
Acro - Posts: 234
I have a live Rithmic feed and I am seeing full book on both CL and ES via Sierra.
However, there are some prices a long way from current bid ask where there are some gaps in depth - normally blocks of two or three contiguous prices.

I understand Rithmic provided Sierra with a new api recently but I'm not sure whether that is the one that is currently being used by Sierra.

This full book is having no detrimental impact on my internet feed
[2018-12-09 11:51:12]
User12089 - Posts: 112
I have that too and it works fine ("gaps" have to do with the operation of the market not SC) - don't confuse the SC team (which on top of that doesn't seem to have a full knowledge of whats offered by Rythmic), it just wastes their time and on top of that they start writing negative stuff about how "bad" rhythmic is and that "they will be discontinuing the support for it" haha (if that happens I will code a feed handler for SC myself in the form of DTC Server and will be selling it, and mind you the price will be steep haha)

ps: I have already written earlier in this thread that for anything Rytmic+SC related the SC team can contact me directly to validate feedback from "non-technical" users, before wasting any of their time (with what is usually incorrect statements/claims)
Date Time Of Last Edit: 2018-12-09 12:24:07
[2018-12-09 11:56:38]
User12089 - Posts: 112
does SC intend to provide increased market depth for Eurex and if yes, then when?
[2018-12-10 19:11:35]
Sierra Chart Engineering - Posts: 66930
In regards to increased market depth levels for EUREX, we will have to see if Barchart can provide that data. It is not known at this time.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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Date Time Of Last Edit: 2018-12-10 19:11:58
[2018-12-11 09:51:12]
User12089 - Posts: 112
ok understood, fyi Eurex does (already) provide the data, but my educated guess is that Barchart are not yet processing and distributing it since it requires subscription to different, relatively new and dedicated Eurex interface. And I also spoke to Eurex who said that Barchart are not one of the data vendors registered for the special interface I am referring to (but I know other vendors who are not "registered" according to Eurex but actually do have business relationship with Eurex and provide the data haha). But by all means do check with Barchart and also what their plans are
Date Time Of Last Edit: 2018-12-11 10:31:06
[2018-12-12 08:07:04]
Sierra Chart Engineering - Posts: 66930
Our understanding is Barchart obtains the EUREX data through CQG. So most they can do the number of levels CQG provides and we will request them to do that.

They have a new Open Feed version they are coming out with, that we are switching over to in the coming weeks that is supposed to be more efficient so they should have no trouble with this.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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[2018-12-12 08:19:03]
Sierra Chart Engineering - Posts: 66930
they start writing negative stuff about how "bad" rhythmic is and that "they will be discontinuing the support for it" haha
We have a good basis for what we say. And we are working on a replacement/alternative for Rithmic, CTS and CQG. This is going to be a cost competitive solution.

We do not want to go into all details right now but this is being actively worked on.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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Date Time Of Last Edit: 2018-12-12 08:20:35
[2018-12-12 08:20:48]
Sierra Chart Engineering - Posts: 66930
We also expect to be able to increase the number of depth levels to 40 next week.
Sierra Chart Support - Engineering Level

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