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Direct MessagesDate/Time: Sun, 05 May 2024 14:04:28 +0000
Combining orders in Sierra Chart Data Feed
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| [2019-05-23 21:20:08] |
| jeremy3s - Posts: 2 |
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My question involves using the 'Combine into Exchange Reported Original Summary Trade' with the SC data feed and a CME instrument. If for instance a 5000 lot market order hits price 10 and sweeps it with 2500 contracts, then the remaining 2500 contracts are filled at 11, will the time and sales show 2 orders - the first being 2500 contracts @ 10 and second 2500 contracts @ 11 or will it just show one order of 2500 @ 10 only and ignore everything that takes place at the next price? Date Time Of Last Edit: 2019-05-23 21:50:10
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| [2019-05-23 21:48:10] |
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Yes there are two orders.
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