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Date/Time: Wed, 27 May 2020 07:04:44 +0000



CQG data for crude CL has only 400/400 levels + SWITCH TO DENALI

[2020-03-30 15:09:58]
User216714 - Posts: 48 | Ending Date: 2020-05-31
Could you confirm that CQG data for crude CL has only 400/400 levels? Thats all/max what Im getting for last few weeks. I check available levels with ACSIL sc.GetBid/AskMarketDepthNumberOfLevels().

Also I have 2 questions about Denali:
1. How many levels for crude CL you provide at the moment?
2. After I choose Denali+TT in AMP form how should I select and pay for Exchanges data? I see after selecting Denali+TT on AMP form I can choose all CME options. Should I do it there?

Thanks!
[2020-03-30 17:29:29]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
It is not going to be much different with the Sierra Chart data feeds. But in general you would be better off.

Currently for May crude oil (CL) we see 455/480 levels.

You will pay for market data through your AMP account.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-03-30 18:02:44]
User267701 - Posts: 34 | Ending Date: 2020-05-31
I am also a bit confused.

I switched to Denali + TT Routing on the AMP site and i am not 100% sure if i have to select the cme markets (or bundle)
on their site or in my SC account controll panel.
[2020-03-30 18:34:59]
User216714 - Posts: 48 | Ending Date: 2020-05-31
It is not going to be much different with the Sierra Chart data feeds. But in general you would be better off.

Currently for May crude oil (CL) we see 455/480 levels.


You advertise Denali as:

Up to 800 levels of market depth data is provided for CME, CBOT, NYMEX, and COMEX.

1. So why do you say it won't be different from only 400/400 on CQG?

2. SC Delayed Data for last few weeks gives max 480/480 levels for crude so seems like being capped at 480. So is crude @Denali also capped at 480/480 max?

Thanks
Date Time Of Last Edit: 2020-03-30 18:35:18
[2020-03-30 18:49:47]
User267701 - Posts: 34 | Ending Date: 2020-05-31
I think 800 = 400/400. Just a matter of how you count the levels: as a whole or splitted between BID/ASK.
[2020-03-30 21:08:46]
User216714 - Posts: 48 | Ending Date: 2020-05-31
Looking at:

Currently for May crude oil (CL) we see 455/480 levels.

is already over 900 so I hope it meant 800/800. Would be nice if Sierra could confirm that.
[2020-03-30 22:41:52]
User267701 - Posts: 34 | Ending Date: 2020-05-31
I am not going to tell you what you need or want...how can i know, right?

But what do you need 800/800 for? I mean seriously, what would be the use of such a deep bookview be?
[2020-03-30 23:34:28]
User216714 - Posts: 48 | Ending Date: 2020-05-31
Not here to educate. I just trade man.

Let's keep private discussion in private messages. I don't want this thread to be marked as User Discussion cause I have a real concern here. Thanks.
[2020-03-31 00:32:15]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
Based on observation, it appears like the CME is limiting the depth to 480 levels for CL. We do not see how that could be happening within the Denali feed itself because the upper limit is 800 per side.

I think 800 = 400/400. Just a matter of how you count the levels: as a whole or splitted between BID/ASK.
No it is not counted this way. It is 800 each side. And really at this point we can make that anything. We could make it 5000. We can then say we have got 5000 levels of depth. It is meaningless because 5000 levels do not even exist. We just found that 800 was more than sufficient.

We should probably make the number 1000 and just say there is full depth. We should not even be mentioning a number any longer.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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Date Time Of Last Edit: 2020-03-31 00:33:05
[2020-03-31 00:33:54]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
I switched to Denali + TT Routing on the AMP site and i am not 100% sure if i have to select the cme markets (or bundle)
on their site
Yes through AMP.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-03-31 03:34:21]
User322949 - Posts: 263 | Ending Date: 2020-05-31
so your claiming there to be 800 with denali ?
[2020-03-31 03:37:14]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
Yes up to that. But not necessarily that many levels based on the order activity.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-03-31 04:24:44]
User322949 - Posts: 263 | Ending Date: 2020-05-31
well denali is being cut off at 480 fwiw , as u can see the depth data goes to 38.00 which is in cell 484 on spread sheet , and order was placed at 40.00 and does not pick it up past 480 levels above price .
[2020-03-31 10:49:50]
User216714 - Posts: 48 | Ending Date: 2020-05-31
well denali is being cut off at 480 fwiw , as u can see the depth data goes to 38.00 which is in cell 484 on spread sheet , and order was placed at 40.00 and does not pick it up past 480 levels above price .

Exactly. Im seeing the same.

Dear SierraChart could you clear this up with your data provider? Thank you.
[2020-03-31 16:04:51]
User136422 - Posts: 33 | Ending Date: 2021-03-30
I am seeing the same data on CL.
I am watching total levels (denali feed) on ES too and they seems not working like you described they would have too. currently there are 480 levels on ask and 583 on bid, been like that all day long, stable, never ever we had more than 480/583, please take a look. Hope this can help.
i am on SC 2060
[2020-03-31 18:33:20]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
The exchange must be placing a limit on the transmitted order activity. They may have implemented this due to all of the price volatility.

It makes no sense that Sierra Chart would be causing described behavior like this:
there are 480 levels on ask and 583 on bid, been like that all day long

Notice that number 480. Where is that number coming from? We see that on CL and ES. There is no limit like this anywhere within Sierra Chart.

Dear SierraChart could you clear this up with your data provider?
The provider is the exchange. In this case the CME.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2020-03-31 18:35:25
[2020-03-31 18:40:22]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
Actually disregard post 16, we did find the 480 limit. It is a limit we put in, due to users on older versions. We did not want to cause problems for users on older versions. But most users have now updated.

We will have that removed, after the close.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-03-31 22:28:34]
User322949 - Posts: 263 | Ending Date: 2020-05-31
can you let us know when this is fixed cause still stuck at 480 on 2073
[2020-03-31 23:34:21]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
Sorry we got behind on this. Will be done over the next 30 minutes. We just need to do a little more code review related to this.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-04-01 00:42:56]
User322949 - Posts: 263 | Ending Date: 2020-05-31
seems to be working but can you check something , im seeing this on CL and ES as well , offers that are misplaced in number order, you can see the 5000 offer is showing up before 3900.5 , thanks
Attachment Deleted.
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[2020-04-01 03:28:44]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
We do not know what that is a screenshot of. Looks like a spreadsheet, but we have no additional context to be able to verify this.

We see no issue with the market depth displayed in the File >> Open Market Depth Window.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-04-01 07:10:11]
User216714 - Posts: 48 | Ending Date: 2020-05-31
We do not know what that is a screenshot of. Looks like a spreadsheet, but we have no additional context to be able to verify this.

Im sure it's a native sierra study: Depth of Market Data and with output to native sierra Spreadsheet Study.
[2020-04-01 07:14:42]
User216714 - Posts: 48 | Ending Date: 2020-05-31
Actually disregard post 16, we did find the 480 limit. It is a limit we put in, due to users on older versions.

Is the limit 400/400 for CQG CL.F data a result of the same capping in your code? CQG was streaming 500/500 and it's only 400/400 for last weeks. Could you check that too? Thank you.
[2020-04-01 08:51:48]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
No, the limit of 400/400 is coming from CQG. The 480 limit was specific to the processing of the CME multicast feed. This is why it was overlooked.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-04-01 08:52:42]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
Also, you are able to restrict Market Depth to the number of levels that you want:
Refer to 5 and 6 here: https://www.sierrachart.com/index.php?page=doc/GlobalTradeSettings.html#TroubleshootingMarketDepthDataNotDisplayingInDOM
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-04-01 12:43:15]
User216714 - Posts: 48 | Ending Date: 2020-05-31
No it is not counted this way. It is 800 each side. And really at this point we can make that anything. We could make it 5000. We can then say we have got 5000 levels of depth. It is meaningless because 5000 levels do not even exist. We just found that 800 was more than sufficient.

We should probably make the number 1000 and just say there is full depth. We should not even be mentioning a number any longer.

Hey, Im glad this 480 capping is being sorted out, but per what you said above, please take a look at enclosed chart showing historical number of levels for ES. As you can see Ask side often reaches 800 levels and is being cut off. So if theres no problem for you to make the number of available levels higher, could you make it so it would surelly contain all available depth from the exchange?

1500 levels per side would be a really reasonable value. Thanks in advance!
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[2020-04-02 20:00:31]
User136422 - Posts: 33 | Ending Date: 2021-03-30
Thank you for removing the 480 cap. Watched CL and ES depth last 2 days, CL has been cut off only one time, today at 10:34.
Unfortunately ES depth is always severely cut off since the 800 cap is too small for the huge liquidity of the instrument, making the depth not very usable; as said by the user above increasing levels per side would be a great enhancement. Let us know if you need further information.
As a said note, thank you for all the hard work on the feed, i was skeptical about Denali, but due all this improvements (implied depth, adding levels of depths, etc etc) is definitly becoming the best retail feed available on the market. Thanks
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[2020-04-03 10:49:45]
Sierra Chart Engineering - Posts: 85537 | Ending Date: 2020-06-09
Yes we can increase it, but due to the method of market depth data management, which involves the client and server side, all users will need to update when we increase it. Otherwise there could be some unusual problems at the bottom of the depth for users who do not.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2020-04-03 10:50:08
[2020-04-03 19:37:08]
User216714 - Posts: 48 | Ending Date: 2020-05-31
Yes we can increase it

Oh thats great news!!! We're so looking forward to it!!!!

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