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Direct MessagesDate/Time: Sun, 28 Apr 2024 12:50:25 +0000
Tools for reading market depth
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| [2019-09-30 22:04:36] |
| a Gem Tree - Posts: 60 |
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I'm wondering if Sierra Chart provides any tools for telling the end user if: limit orders sitting above or below the NBBO are being pulled at the last (milli/nano) second. I'm not sure if I would need a special data package, or a special platform - I'm hoping I can keep using SierraChart. Is there a way to see these limit orders (and the number of them) - which have been sitting in Queue for longer than X seconds - have been pulled when the Ask reaches them - OR have been pulled after the Ask reaches the next tick. Again, I'm not sure if I'd need a special data package, but maybe you guys can point me in the right direction, or let me know if you have any tools designed for reading this. Date Time Of Last Edit: 2019-09-30 22:06:37
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| [2019-10-01 06:47:45] |
| norvik_ - Posts: 106 |
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Only one way - use RApi version higher than 10.0.0.0 and code a custom tool. Limited list of tikers, Globex only, you can find MarketByOrder supported tickers on cme.com. Another data may be very expensive, 5K p/month and more.
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| [2019-10-01 07:52:32] |
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When using these data feeds: Real-Time Exchange Data Feeds Available From Sierra Chart then the number of orders per price level is available and also available programmatically. And you do have the ability to see and programmatically access the changes in market depth at each price level. 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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