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Available: More Market Depth Levels for CME Futures with SC Exchange Data Feed!

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[2018-10-01 00:31:15] #25 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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: 2018-10-02 08:45:20

[2018-10-03 00:41:32] #26 [Go To First Post]
Acro - Posts: 436
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] #27 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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

[2018-10-03 10:51:57] #28 [Go To First Post]
Clean Floppy - Posts: 17
Any info about EU6 please ?

[2018-10-03 16:43:26] #29 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Additional depth levels for the CME 6E market has already been added. 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: 2018-10-03 16:43:34

[2018-10-03 21:08:37] #30 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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 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

[2018-10-05 09:44:13] #31 [Go To First Post]
Acro - Posts: 436
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] #32 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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 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

[2018-10-05 20:59:24] #33 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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 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

[2018-10-11 13:45:05] #34 [Go To First Post]
User56280 - Posts: 10
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] #35 [Go To First Post]
User209118 - Posts: 1
Same problem here, only 10 levels is currently displayed. Thank you for your answer!

[2018-10-11 15:43:17] #36 [Go To First Post]
conr - Posts: 204
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] #37 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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: File Menu: Procedure to Reconnect to the Data and Trade Servers 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: 2018-10-11 17:51:26

[2018-10-16 11:50:11] #38 [Go To First Post]
User164231 - Posts: 278
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] #39 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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: Sierra Chart Exchange Data Feed: Data Feed 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 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

[2018-10-17 12:47:51] #40 [Go To First Post]
User164231 - Posts: 278
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] #41 [Go To First Post]
Acro - Posts: 436
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] #42 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Hi, so it is the base $35 plus $15.75 for all futures? What is 1st connection, 2nd connection? Yes. Connections are documented here: Sierra Chart Exchange Data Feed: 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 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: 2018-10-17 18:16:04

[2018-10-23 01:28:53] #43 [Go To First Post]
Acro - Posts: 436
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] #44 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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 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: 2018-10-23 02:48:31

[2018-10-23 02:51:12] #45 [Go To First Post]
Acro - Posts: 436
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] #46 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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

[2018-10-25 16:19:23] #47 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Another user reported momentarily stopping data here: Delay in exchange data feed 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. 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: 2018-10-25 16:29:18

[2018-10-25 17:02:54] #48 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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

[2018-10-29 00:14:01] #49 [Go To First Post]
Acro - Posts: 436
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] #50 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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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