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Direct MessagesDate/Time: Sat, 27 Apr 2024 09:15:39 +0000
[Locked] - bids offers closes to price on market depth historical graph
View Count: 9297
| [2019-10-04 18:34:49] |
| user9990910 - Posts: 15 |
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bids and offers closest to price not accurate on the this is using your sierra denali data. 2- 3 ticks out from price. compare it to CQG, or even bad rithmic data. is there plans to fix this ?
Date Time Of Last Edit: 2019-10-04 18:37:06
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| [2019-10-04 19:10:51] |
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We have little idea what you are referring to here. Can you provide a screenshot? There cannot be any inaccurate data. That is not even technically possible. If you are referring to the bid size and ask quantities in the market depth data, the first 10 levels, that data is 100% accurate. We can assert very clearly that CQG and Rithmic if they differ they are wrong. We stand by this data. It cannot be wrong. We are the point of reference that others need to go by. 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: 2019-10-04 19:12:06
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| [2019-10-04 19:14:35] |
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But if you are referring to level 2 and 3 starting off at 1, that the depth quantities differ or perhaps in some cases the prices, potentially that could be the case but only at level 2 because we don't merge in implied depth beyond level 1. But the exchange only offers implied depth for two levels. So there cannot be any differences at level 3 and beyond. The market depth quantities you see at level 2 and beyond are exactly what are provided by the exchange. They are unaltered. 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: 2019-10-04 19:15:07
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| [2019-10-04 19:18:05] |
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Here is more on the subject here: https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Consolidating+Implied+and+Multiple+Depth+Books We only merge in or combine or consolidate, level 1. But the exchange only provides implied depth out to level 2. 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 |
| [2019-10-04 19:24:44] |
| user9990910 - Posts: 15 |
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thank you for the explanation
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| [2019-10-08 14:45:59] |
| user9990910 - Posts: 15 |
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after using sierra denali data for a few days i can conclude that the way you guys are calculating the depth in the order book close to price is not ideal. i want to be a customer but i simply cannot. hope you can fix this in the future to have it calculated more like cqg calculates it or even horrible rithmic. will be first in line as a customer for it as i love the platform, and would love to support you guys.
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| [2019-10-08 15:28:12] |
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Why do you say that? How can it not be ideal? In what way. What Sierra Chart does is what is explained here: https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Consolidating+Implied+and+Multiple+Depth+Books But it is only done for the first level. We can do it also for the second level but it is just an additional performance impact. 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: 2019-10-08 15:30:06
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| [2019-10-08 16:57:08] |
| zippyzip - Posts: 293 |
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can i ask the reason you do this for level 1 ?
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| [2019-10-08 19:19:07] |
| zippyzip - Posts: 293 |
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it would be nice if you offered an option to turn this off like other platforms , thanks
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Private File |
| [2019-10-09 18:08:38] |
| Shairzad - Posts: 6 |
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+1
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| [2019-10-09 18:14:58] |
| trinikee - Posts: 7 |
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+1
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| [2019-10-09 18:20:53] |
| User886711 - Posts: 5 |
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yes it would be great to be able to switch it on and off
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| [2019-10-09 18:21:32] |
| User700573 - Posts: 13 |
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+1
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| [2019-10-09 18:26:56] |
| RogerT - Posts: 10 |
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I'd happily take a performance hit in order have this more comprehensive bid/offer data adjacent to current price.
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| [2019-10-09 18:34:57] |
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can i ask the reason you do this for level 1 ? From the CME website:The MBP multiple-depth book should be used in conjunction with the implied prices book to create an accurate book for all contracts with implied functionality.
It cannot be disabled because it happens on the server. 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: 2019-10-09 18:35:21
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| [2019-10-09 18:41:28] |
| User920076 - Posts: 5 |
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+1
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| [2019-10-09 18:50:48] |
| zippyzip - Posts: 293 |
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i have shown you here on intergrated client , it can be switched as a good amount of people use this data for trading or auto, so please consider this for your clients , thank you
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 2019-10-08_13h45_40.png / V - Attached On 2019-10-09 18:40:21 UTC - Size: 203.85 KB - 474 views |
| [2019-10-09 19:07:29] |
| user9990910 - Posts: 15 |
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+1^ hope you guys can pull thru with this. it’s the only thing keeping me from using your data, and i want to throw money at you guys. great platform.
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| [2019-10-09 19:26:51] |
| User852559 - Posts: 40 |
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+1, If you could please look into modifying the way this is processed it would be quite helpful. The data has been really great thus far, but this would take it above and beyond. Thanks.
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| [2019-10-09 22:45:20] |
| User918738 - Posts: 31 |
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+1, liking the denali data but having this option will allow me and the others to see the market depth accurately. enabling this option/request would put you guys ahead of the competition. thanks
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| [2019-10-10 06:42:21] |
| eslavio - Posts: 5 |
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+1
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| [2019-10-10 08:11:59] |
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This really really is very surprising here. We really do not know what the actual genuine practical problem is here. What is the exact problem here? Can you honestly explain that? We have no idea. So you are saying you do not like a slight increase in the quantities at the best bid and ask level from the implied market depth data and that is causing you some major problem? You have got to be kidding us. Why? This is absolutely unbelievable. This is something that happens automatically with most data feeds. This is going to be the case with CTS, CQG, IQ Feed we assume and others. And no there is no option for this with the data provided by the CQG Web API. And we know very well that the overwhelming majority of users who think there is a problem, do not even understand the facts. Look if you do not want to use the data feed, then do not use it. We can assure you there are no changes coming other than us possibly merging in the second level of implied depth. The main reason we just did the top level is to ensure that the best bid and ask are as tight as can be on the non-front month contracts. This is the thread about that: Problem with CTS T4 Quotes Another thread related to this whole subject: denali dom | Post: 187953 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: 2019-10-10 09:22:04
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| [2019-10-10 10:55:21] |
| zippyzip - Posts: 293 |
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that is the issue , there is no increase its a decrease in the best bid best ask .
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| [2019-10-10 11:14:38] |
| zippyzip - Posts: 293 |
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very clear there is a decrease in quanity not increase , and increase would make sense
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| 2019-10-10_07h01_56.png / V - Attached On 2019-10-10 11:07:58 UTC - Size: 134.5 KB - 703 views |
| [2019-10-10 11:27:07] |
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There is definitely no decrease. And you cannot make that judgment based on comparison to CQG. The quantity does not decrease. It will only increase. So what this tells us is simply that CQG is just wrong at the best level. And notice how on the the best ask side they show 5 and Sierra Chart shows 12. And when you look at the three top levels on the CQG side as compared to Sierra Chart they are all different numbers but the exchange only provides two levels of implied depth but we have to check on that through actual observation rather than referring to documentation. So therefore our conclusion upon everything we see is CQG is not providing accurate depth quantities. 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: 2019-10-10 11:28:27
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