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Direct MessagesDate/Time: Fri, 03 May 2024 07:38:34 +0000
Denali levels of depth in DOM
View Count: 2009
| [2020-04-30 06:19:58] |
| Japhro - Posts: 120 |
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I am a current Rithmic user with SC, there are a few reasons why I use Rithmic : 1. More levels of depth than CQG (Rithmic has up to 100 levels of bid/ask depth on the DOM, so it's easy to see where the big orders are hiding if any and also potential up or downside targets. 2. Simultaneous connections - with Rithmic via AMP, I can connect to other platforms that I use occasionally, especially Jigsaw to use a few of their order flow tools 3. I also trade futures options, and I can easily have Rtrader open which is fine to trade options with. Since you are discontinuing support for Rithmic now, and will no longer include Rithmic as a feed option in future releases, it seems that I will be forced to go onto CQG, the CTS based solution, or your Denali/TT solution. CQG and CTS only have 10 levels of depth per side available, this is a huge limitation. Does the Denali feed offer more depth? For trading options, I prefer not to do this with SC because of the issue with pricing on the DOM. SC dom does not support automatic price increment changes such as in the case of ES options where they are priced in 5c increments for options under $5 and in 25c increments when the same option is over $5. The only solution in SC is to manually change back and forth all the time. Also, there is no options quote board so it is impossible to view the most liquid and active strikes. I do not have these issues with Rtrader, CQG platforms or CTS T4 or mobile There was mention of a mobile/web-based solution for Denali/TT, though I have seen nothing more on that. Is there a link to more info on this, please? Can I connect to SC and the mobile/web platform concurrently and does that support options? Thanks - |
| [2020-04-30 11:52:32] |
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First see our answer here in regards to Rithmic: Regarding Rithmic (Our Final Post on this Subject) | Post: 216704 Are you just trading on the CME group of markets? 1. There are 800 levels of depth included with the Denali feed which will be increased to 1400 over the weekend. 2. Others can take advantage of the DTC server port on Sierra Chart, they can access the data and trading functionality. This is based upon the open specification DTC protocol: https://www.dtcprotocol.org/ For trading options, I prefer not to do this with SC because of the issue with pricing on the DOM. SC dom does not support automatic price increment changes such as in the case of ES options where they are priced in 5c increments for options under $5 and in 25c increments when the same option is over $5. The only solution in SC is to manually change back and forth all the time. Also, there is no options quote board so it is impossible to view the most liquid and active strikes. I do not have these issues with Rtrader, CQG platforms or CTS T4 or mobile Yes this is an area that we have to develop over time.There was mention of a mobile/web-based solution for Denali/TT, though I have seen nothing more on that. Is there a link to more info on this, please? Can I connect to SC and the mobile/web platform concurrently and does that support options? https://www.sierrachart.com/index.php?page=doc/SierraChartOrderRoutingServiceWithData.php#WebBasedTradingPanel Yes you can be logged into it concurrently. 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: 2020-04-30 11:53:19
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| [2020-04-30 13:03:55] |
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Regarding options functionality, one thing that we can do is add a function or special symbol capability to the Quote Board to list all the options that are listed when you get options in the Find Symbol window for an underlying as explained here : Real-Time Exchange Data Feeds Available From Sierra Chart: Futures Options This would only apply though to the options from the CME group of exchanges. 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: 2020-04-30 13:04:52
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| [2020-04-30 14:35:52] |
| Japhro - Posts: 120 |
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Hmmm, not sure how deeply you have looked into this, options are a can of worms. I really would love expanded options functions in SC, but just as an FYI, for ES options alone, you have : EW1 (End of Week 1) EW2 (End of Week 2) EW3 (End of Week 3) EW4 (End of Week 4) EOM (End of Month) then, Monday expiring weekly options for each week Wednesday expiring weekly options for each week and quarterly options that expire when the underlying futures contract expires. Each of these options is divided into hundreds of strikes ie 2790,2795,2800,2805,2810...and each strike has calls and puts So, you are talking about calling up thousands of strikes at a time. Usually, platforms that handle options ask for the underlying symbol, for example, ES again, then the expiry date, then it will pull up a board that looks like a spreadsheet listing calls on one side and puts on another like the picture shown here. on Rtrader as shown you can then right-click on any strike and it will pull up a dom to trade that strike, whether a call or put, or you can manually enter the symbol string in an existing dom, chart etc. Not sure how deeply you want to get into this can of worms, but being able to have options with correct pricing on a DOM is a great thing for trading |
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| [2020-05-01 13:54:59] |
| Japhro - Posts: 120 |
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I would forgo additional option functionality, for 2 things: the expanded options list as you described here Real-Time Exchange Data Feeds Available From Sierra Chart: Futures Options and the ability for a user to set a threshold for tick increments on the dom, so I could have 2 different tick increments depending on a price threshold. This is necessary for ES options as explained before. See here for an example of how an options dom is impossible to trade with a .25 tick increment under the $5 threshold
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| [2020-05-02 07:20:16] |
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It is very impractical to be supporting different Tick Sizes at the same time on the price ladder/column. There could be a change between tick sizes based upon the current price. That would be the only practical thing we could implement.
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: 2020-05-02 07:20:36
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| [2020-05-02 08:05:20] |
| Japhro - Posts: 120 |
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What I am suggesting is that you have a DOM for options, where the only change is a threshold level (price level) and 2 different tick increment settings. If you do not check that you want these 2 different increments, you will not have them and the dom will be standard. If you check that feature, you can set the increments above and below. I realize that this is inconvenient, and you may not choose to do it, but having a fixed tick increment dome with price going above and below a certain threshold constantly, makes it impossible to trade those $5 options. What I find amazing is that this should be automatic, that the tick increment size should be detected and automatically adjusted, but it is not. |
| [2020-05-06 08:36:17] |
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We do have the ability to obtain the full tick table from the security definition data from the exchange. We will gradually work on implementation of what we said in post #6. We cannot guarantee any timeframe but these items will expected to be done this 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 |
| [2020-05-07 06:17:43] |
| Japhro - Posts: 120 |
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It occurs to me that it would be possible to build an options pricing table in a spreadsheet, either yours or excel, but I think you discontinued support for excel some time ago? Creating and saving a template in excel would be straightforward |
| [2020-05-07 09:53:50] |
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Have a look at: Getting Quotes: Quotes on Spreadsheets Yes Excel support was discontinued. For various reasons, including the fact working with the type of interface that Excel provides at a low operating system level which would be necessary as we remove dependency on Microsoft libraries, is very complicated. 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: 2020-05-07 09:55:07
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