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Direct MessagesDate/Time: Sun, 12 May 2024 00:15:33 +0000
[User Discussion] - Market by Order
View Count: 1703
| [2020-03-07 20:55:46] |
| SpearChucker - Posts: 101 |
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Any plans to take advantage of the rest of the data (beside Full Market Depth) available from the CME MBO? Like - 1) View Individual Queue Position and 2) Size of Individual Orders at each Price Level. Some nice info available: https://www.cmegroup.com/education/market-by-order-mbo.html |
| [2020-03-08 06:33:05] |
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Basically this whole concept of pushing out market by order data to users is really extremely inefficient and impractical. It makes no sense. We eventually we will make this available, but it will carry a substantially higher price for those who want it and it will be on a separate connection. So it is not going to be part of the standard Denali exchange data feed. So for every connected user, they are going to see the entire order activity getting pushed out to all of those users. It simply makes no sense. Do not expect this to come this year. There simply are no plans for this. 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: 2020-03-08 07:02:58
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| [2020-10-13 17:00:31] |
| ertrader - Posts: 645 |
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Now that efficient compression is implemented within SC, is there any possibility of getting access to MBO? There are some exciting leading edge capabilities and trade setups for getting access to this information similar to a DOM format.
Date Time Of Last Edit: 2020-10-13 17:14:22
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| [2020-10-13 17:14:46] |
| seandunaway - Posts: 213 |
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What's the DOM format look like, ertrader?
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| [2020-10-13 18:00:58] |
| ertrader - Posts: 645 |
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The display shows volume at various levels by order. For instance, if there is one order with 500 contracts and another with 200 contracts and all the other smaller orders at a particular price level, each would be shown. It gives you the ability to not only identify total volume, but to qualify and identify that volume by order. Another example, if the price level is made up of lots of orders each being very small number of contracts, that qualification is different than if you have a few very large orders. Also, added filters enable to only look at large volume areas in a price ladder format. Our trading group reviewed a product today in a learning session and I'll take screen shots once the session recording is available and post here. EDIT... now attached. With and without filtering. One of the challenges is that there is quite a lot of information updated in real time on a price ladder. It's kind of like a combination of the market depth historical graph and DOM. SC may have to charge a bit extra but I'm thinking as long as it's a reasonable price, there may be interest. Updated. Date Time Of Last Edit: 2020-10-14 21:28:21
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 MBO.pdf - Attached On 2020-10-14 21:26:08 UTC - Size: 124.32 KB - 350 views |
| [2020-10-14 21:31:29] |
| ertrader - Posts: 645 |
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The image is a bit blurry but at each price level, the orders are separated by quantity of contracts.
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| [2020-10-15 00:20:08] |
| zippyzip - Posts: 293 |
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so why do most professional platforms offer it then if its so impractical ?
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| [2020-10-16 14:13:07] |
| ejtrader - Posts: 688 |
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@ertrader - Would you mind sharing the name of the product in the image? Thanks |
| [2020-10-19 11:42:06] |
| ertrader - Posts: 645 |
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motivewave Also, if you do a search on their website for MBO, there is a PDF describing the DOM MBO setup. Date Time Of Last Edit: 2020-10-19 12:33:28
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