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Date/Time: Thu, 28 Mar 2024 14:06:57 +0000



Formal request for MBO enhancements in the SC data feeds due to Rithmic & CQG policies

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[2019-10-19 10:13:34]
binaryduke - Posts: 351
It's very exciting to read about Sierra Chart's planned developments for direct order routing to the CME:
Sierra Chart Does Not Recommend CQG (Various Reasons)

This combined with Sierra Chart's new position on CQG and Rithmic makes selection of Sierra Chart data and routing a very logical choice.

Today, Rithmic provide full MBO information including the size of individual orders at each price level. There are other platforms that utilise this information to provide a full picture of the DOM. This is also something that has been available in TT's Market Grid. A couple of images of what can be achieved with this data are attached.

It would be excellent if Sierra Chart's ongoing development delivered this capability. Initially exposure of the data within ACSIL would be fine (for my purposes). This would allow replacement of code that directly connects to the Rithmic API (and exposes it to Sierra Chart studies) with native, in-ACSIL support delivered through Sierra Chart's data. The existing s_MarketDepthEntry structure provides a good framework for this information. Enhancing it to contain an array of the orders at each price level including their exchange ID and size would provide everything necessary to develop some very powerful trading tools to utilise the full MBO information.

I appreciate that previous requests for this have been met with 'this will never be developed', however, your recent announcements regarding Rithmic and CQG change the landscape somewhat, hence starting this thread to enable others to demonstrate their support for these enhancements to potentially enable Sierra Chart to review the possibility of this development.

Thank you.
Date Time Of Last Edit: 2019-10-19 11:02:34
imageTTmarketgrid.png / V - Attached On 2019-10-19 10:58:56 UTC - Size: 284.6 KB - 1180 views
imageDOMwithMBO.png / V - Attached On 2019-10-19 11:02:31 UTC - Size: 163.65 KB - 1045 views
[2019-10-19 13:40:56]
Meklon - Posts: 210
I am strongly supporting the concern expressed by the thread originator.

There are many serious traders using Sierra Chart that require advanced tools and this functionality is fundamental for making those tools working. Order Flow is becoming essential as part of decision making process in trading on many levels and the prospect of discontinuing support for Rithmic by Sierra severely limits the ability to read and deliver the information properly.

This not only includes the Reconstructed Tape but also the assessment of orders at each levels of the book and the ability to capture the dynamics of the market to project the historical flow of Supply and Demand in a way similar to what BookMap product delivers. Sorry Sierra, but the native Heat Map study offered in Package-5 is seriously inferior to what TT X-Trader or BookMap offers.

If Sierra is serious about capturing large stake of professional traders market it needs to consider the importance of this request and provide the functionality natively, using the Sierra Data Feed.

Thank you.
[2019-10-19 14:02:43]
Sierra Chart Engineering - Posts: 104368
prospect of discontinuing support for Rithmic by Sierra severely limits the ability to read and deliver the information properly.
No it does not in any way because Sierra Chart does not even support this data from Rithmic now and never has. What you say is totally factually untrue. And on top of that it does not even make sense to be using Rithmic for market data, when we hear about all kinds of problems reported.
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: 2019-10-19 14:04:26
[2019-10-19 14:10:33]
Meklon - Posts: 210
I would recommend you read my post again and try to understand what it implies. I was referring to the information provided by the Rithmic feed and NOT the functionality of Sierra. The third party custom developed tools were able to access this information and display it in Sierra. A suggestion I am making is to make this functionality native from Sierra side so it matches what would be missing if (when) the technical support for the Rithmic is dropped.
[2019-10-21 08:12:26]
norvik_ - Posts: 106
Hi.
A year ago I started to develop a custom tool for mbo analysis using rapi 10.0.0.0 version.
There were continuous problems with incorrect order sequence of some tickers and I had a long time communication with Rithmic developers via email, but failed to get the clear answer.
Also, have to notify, cme supports mbo for very limited list of symbols.
Is anyone here who work with Rithmic mbo data now? What is with the quality?
[2019-10-21 08:18:15]
binaryduke - Posts: 351
I'm using rapi 10.6.0.0 and it's ok. As regards limited lists of symbols, I'm fine with that. ES, CL, ZB, etc., is fine and the edge given by being able to see the composition of the book is useful.
Date Time Of Last Edit: 2019-10-21 08:18:20
[2019-10-21 08:31:27]
norvik_ - Posts: 106
Thanks, I will try to check newer libraries
[2019-10-21 13:01:43]
Sierra Chart Engineering - Posts: 104368
You should be aware that Rithmic now has a websocket connection. It makes much more sense to use that rather than these in process API libraries. For the reason why refer to:
Sierra Chart Does not Support External Service API Components

Anyway very briefly in regards to the original request here. There is a lot of development work to accomplish this, and it increases bandwidth usage, and therefore it will degrade service because transmission time of data is going to be slower. So then it starts generating complaints as to problems, and we have to also charge more money for it. So it overall increases the price of the data feed. It is not something that would come until much later next year.
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: 2019-10-21 14:49:57
[2019-10-21 22:48:12]
User237090 - Posts: 14
Hello Sierra Charts,

I'm a trader with exposure to platforms dating back to TradeStation in the '90s. I'm using Rithmic and so far it's working well. My time using Sierra Charts has proven to further my insight into the indexes as it has for many others I've spoken to. One of the inputs I focus on is fed specifically by large trades and the "standing trades" in the book intraday. The basics of order flow and the book are too important to disregard and will continue to be a cornerstone in my trading toolset.

Please, work on providing the extended view of every order in the book and retain that information if they trade as the sessions progress so we can use this in our trading. (Further to this - In all my time speaking with other serious traders I've never found one that didn't comment on whether a noteworthy order got filled "he's real" or disappeared "spoofed"). This "extended view" would allow us to have the data right in the DOM where we place the orders to get in and take the profits, and also to set risk with our stops. I would very much look forward to Sierra Charts having this exposed in your API to allow products to be developed to track such occurrences.

Best regards,
[2019-10-21 22:55:08]
Sierra Chart Engineering - Posts: 104368
Regarding Rithmic, consider using the Denali Exchange Data Feed which is much better:

Denali Exchange Data Feed

And also consider using this order routing service which is less expensive than Rithmic:
Sierra Chart / Trading Technologies Futures Order Routing Service

The connectivity is much more stable.
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: 2019-10-21 22:55:20
[2019-10-21 23:09:47]
User234172 - Posts: 44
Here to demonstrate support.
[2019-10-22 10:42:17]
nosast - Posts: 288
I was a long time user of Rithmic and recently switched over to Denali. Denali is a top feed and very stable also on fast market moves but it is not an MBO feed. Rithmic on the other hand utilizes MBO but it was never used for Sierra afaik. Rithmic works perfect for Bookmap (stable and with MBO data). Rithmics integration with the bridge in Sierra wasn't working for me - too many disconnects.

So if you need MBO you currently should use Bookmap. They have a big advantage over all competition in that regard.
If you want to use the all-in-one solution form Sierra you should consider Denali feed without MBO data.

@Sierra Engineers: Is the integration of MBO data from Denali planned in the near future? Or is this something we could use with your planned direct connection to CME?
[2019-10-22 11:28:44]
norvik_ - Posts: 106
Agree with post #8. The really right way to use mbo data is place a data processing module to the collocated server and do not use internet fo delivering such amount of data to user dectop.
Institutional providers, like Quant House, allowing such types of connections only through their local network.
Only results of prosessing mbo can be received via the internet.
Date Time Of Last Edit: 2019-10-22 12:33:57
[2019-10-22 18:31:41]
Sierra Chart Engineering - Posts: 104368
Rithmic works perfect for Bookmap (stable and with MBO data). Rithmics integration with the bridge in Sierra wasn't working for me - too many disconnects.
Yes this is the reason why we no longer list Rithmic and will not provide technical help for it any longer because it creates a poor impression for both Rithmic and Sierra Chart and then the user suffers as well.

@Sierra Engineers: Is the integration of MBO data from Denali planned in the near future?
No. Accessing individual order market data with the Denali data feed would not be for a long time.
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: 2019-10-22 18:32:41
[2019-10-28 16:49:26]
User375840 - Posts: 7
I support SC in their request for MBO data
[2019-11-08 21:20:48]
markyj - Posts: 5
Full MBO Data for the Sierra Chart/Denali feed would be great.
[2019-11-10 02:23:40]
Sierra Chart Engineering - Posts: 104368
Yes it is a great way to introduce all kinds of problems which we have no interest in and neither do you. The concept is inherently flawed. It is highly inefficient. The concept to be transmitting all order activity out to users in real time makes no sense. Do not look around for it anytime soon.

This is going have to be something which is an additional cost and will have to be something which is provided on a separate port. And the simple fact is, only those users with fast Internet connections could even receive this data. Many users simply could not even begin to receive this data without trouble.


Anyway, do not even think this is going to come anytime soon. We are not going to be paying attention to any further discussion in here. It is not going to be a reality any any anytime soon.
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: 2019-11-10 02:58:54
[2019-11-30 04:48:28]
User726297 - Posts: 13
I used SierraChart before and that was for my liquidity analysis, but quickly figured out that not having the MBO view was like using a TV without turning the sound on. It is a better market resolution and now I am using Rithmic API without SC, which gives me infinite control over what I need to be displayed, but this is only a solution for coders and not everyone wants to go into coding. On the other hand, I think MBO data would only benefit a few traders, so it could come in the paid package or as an option... However, you would certainly gain from providing this data.
[2020-02-12 19:37:02]
Profile Trader - Posts: 164
Those of you using Bookmap software please go into Bookmap Forums and go into Features and Benefits request.
Open the Thread Please add Support for Sierra Chart Data Feed.
An post a support message if you would like another data feed option that is
1. More then 10 levels
2. Tick by Tick data
3. Reasonably Priced
4. Possible future integration (based on building a relationship) between two great platforms.

Thanks in advance for the time and consideration

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