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Direct MessagesDate/Time: Thu, 16 May 2024 11:24:57 +0000
ACSIL requests
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| [2019-01-31 11:43:25] |
| User336946 - Posts: 37 |
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Can you please make available (or point me to the doc for it) the following information about each trade received (time and sales): - aggressor side - exchange order ids I’m using Rithmic which should provide that information. - also would be nice if there was a programmatic way to detect if a trade was part of an aggregate Thank you Date Time Of Last Edit: 2019-01-31 11:43:43
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| [2019-01-31 19:15:05] |
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This information is part of the Time and Sales structure and is fully documented here: sc.GetTimeAndSales() There is an indication of the beginning and ending of a summary trade. But for this you need to use the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed And no this will never be supported with Rithmic. 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 |
| [2019-01-31 20:58:30] |
| User336946 - Posts: 37 |
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Not seeing - aggressor side - exchange order ids |
| [2019-01-31 22:34:02] |
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This is the equivalent of the aggressor: For the possible values that the Type member of the s_TimeAndSales structure, refer to the list below:
SC_TS_MARKER: This indicates a gap in the time and sales data. SC_TS_BID: This is a trade and it is considered to have occurred at Bid price or lower. SC_TS_ASK: This is a trade and it is considered to have occurred at Ask price or higher. SC_TS_BIDASKVALUES: This is a Bid and Ask quote data update only. We assume you are interested in the exchange order ID to know if the trade is part of a larger summary trade. And you can determine that through the UnbundledTradeIndicator structure member. But that is only going to be set in the case of the Sierra Chart Exchange Data Feed. 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: 2019-01-31 22:34:31
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