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Date/Time: Sat, 23 Jan 2021 14:43:25 +0000



[Sticky] [Locked] - Denali Data Feed to Offer Market by Order Support in December!

[2020-11-28 05:28:41]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
We are starting to do some work on delivering market by order support through the Denali data feed. This will cover the entire CME group and later EUREX.

We will do this as soon as possible.

The main concern is the data flow and bandwidth requirements. We will compress the data, and another limitation is that we will not send out orders with a quantity of 2 or less. And this will be a controllable value on the connection. Although it could not be set lower than 2. Only orders with a higher quantity will be sent until we can have the time to evaluate and implement the necessary processes to manage the higher data rates although we may never change this because it is just way too much data to be sending to end-users.

So we think this limitation is going to make sense because it reduces the burden on Sierra Chart.

The cost is going to be something like an additional 20 USD per month for the Denali feed to have access to this data.

This data will be made available initially through ACSIL only. So in the beginning it will be up to developers to do with it what they want.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2020-12-04 09:25:33
[2020-11-30 18:17:27]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
And over time, we will add a market data column on the Chart/Trading DOM to show orders over a particular quantity.
Sierra Chart Support - Engineering Level

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[2020-12-03 03:42:24]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
We will do our best to get this functionality out in January. That should not be a problem.

It will be supported with the Denali Exchange Data Feed for CME group and EUREX.
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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[2020-12-04 09:13:24]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
We think there is a good chance we can have the basic market by order functionality out next week.

Fundamentally there is not any logic to transmitting to every user all of the order activity on the exchange for a symbol.

So the basic question is, how is the market by order data used on the end-user side?

On the server side, we use the market by order data to create additional levels of market depth beyond 10 in the case of CME. For EUREX Extended Order Book Interface, we use market by order data to entirely build the market depth arrays.

If the interest in market by order data is to find large orders, then as we indicated, the transmission of just orders over a quantity of 2 would greatly cut down on the order flow. So would there be an interest in orders over a quantity of 10 or what typically would be the number?

There will be a setting to control this within Sierra Chart to request order activity over a specified quantity for a particular symbol. For now we can set the minimum to 10 to reduce data flow.



So it looks as though that there is an interest in a display like this showing the order quantities at each price level with a rectangle background denoting the size of the order in a dedicated market data column:
https://support.motivewave.com/wp-content/uploads/2020/05/Depth-Of-Market-DOM-Window-2048x1506.png

It looks like the minimum order quantity is 5 in this display.

We will develop a market data column for the Chart/Trading DOM like is shown in the above image showing the individual order quantities at each price level. We will try to get a basic implementation out in December.

So long as we can manage the bandwidth usage of the market by order data to a reasonable level and it creates no practical consequence, we may not bill anything extra for it. As we see an increased use of the Denali data feed, there may not be a need to bill extra for it. So we will see.

As we get more CQG users onto our Denali data feed, that will help.

And the basic trend is that as we expand our direct data feed offerings and they are so superior to everyone elses data feeds, it is not going to make sense really to use any other data feed other than Sierra Chart provided data feeds with Sierra Chart. And that is the only thing that would make sense anyway.
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: 2020-12-04 10:49:34
[2020-12-04 12:47:12]
User542430 - Posts: 35 | Ending Date: 2021-02-22
Thank you for looking into implementing this MBO data. A great addition to an already great product.
A thought about order quantities of 1, would it be possible to 'see' these order without actually receiving the data? Meaning, if there is say 500 total orders at a given price, and we are receiving data for orders >=2 and the sum of all those >=2 orders is 450, could it be inferred that the other 50 orders have a size of 1 even if the actual data for those orders is not received?
[2020-12-04 14:29:25]
binaryduke - Posts: 273 | Ending Date: 2021-01-31
To post #4:

...minimum quantity is VERY contract-dependent. 10 will be too high a filter for some instruments and too low a filter for others. Your logic of minimum 2 is very smart. I think you need to allow users (and there will be work to educate non-informed users of the impact of poorly-selected settings) to set a filter from 2 upwards, otherwise the opportunity will not be realisable on some thinner contracts. Control panel to set filtering per symbol is an excellent idea.

To post #5 and your example screenshot:
...the key here is seeing the progression/development of the order queue at each price level and seeing the large orders progress towards the front of the queue/get consumed/get partially consumed as the smaller orders are traded through. It is also important for DOM traders to see the queue on each side of the book, i.e. a bid column and an ask column, not just a combined bid/ask column.

The question in post #5 is looking to clarify if this will be realisable as a result of the filtering is a very sound question. Sure, MBO enables us to understand the size and queue position of each order. An MBO DOM that allows the movement/progression of the large orders to be seen is (one of) the value(s) of implementing MBO support. Just throwing e.g. a '50' in a new column without it moving (until it disappears) is ok, but suboptimal.

There are other very useful and powerful analytics one can perform programatically once one has access to the full queue data so I would hope that within ACSIL a data structure and associated functions are provided that allow us to programatically see the full queue at each price level, e.g. a vector of each order at price (similar conceptually to the VAP data structures) that exposes the orders' sizes, IDs and queue positions.

Happy to engage in an offline detailed conversation around this stuff.
Date Time Of Last Edit: 2020-12-04 14:51:46
[2020-12-04 15:11:15]
markuz - Posts: 90 | Ending Date: 2019-01-31 [Expired]
So long as we can manage the bandwidth usage of the market by order data to a reasonable level and it creates no practical consequence, we may not bill anything extra for it. As we see an increased use of the Denali data feed, there may not be a need to bill extra for it. So we will see.As we get more CQG users onto our Denali data feed, that will help.
[2020-12-04 15:32:46]
alemar - Posts: 3 | Ending Date: 2021-02-08
Thank you for this evolution. It will very helpful for SC users. I would like to note that it would be visually better to have the bid/ask depth columns separately just as they are in the "plain" DOM. I believe if someone is used to seeing the DOM in this way (separate columns) he'd also like to see the stacked big orders in the same way.

Kind Regards

Alex M.
[2020-12-04 16:15:55]
stephenvosloo - Posts: 2 | Ending Date: 2021-02-04
Having access to the MBO data would be a fantastic and welcome addition. The choice of bid and ask columns as well as a combined bid/ask column would be great to have. It might be easier for some people to visualize it that way. Thank you for involving us, and always working to make Sierra Chart better. Love this platform!
[2020-12-04 16:33:18]
User347037 - Posts: 138 | Ending Date: 2021-06-16
SC Engineering, the MBO functionality would place this already excellent platform way ahead of the competition. No reason IMHO to display the order quantities below 2 and ability to control this setting as per specific contract is definitely good choice. I would also vote to have BOTH - separate Bid/Ask columns and a combined column option.
[2020-12-04 16:42:15]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
Absolute game changer, super excited to see this come to reality. I was planning to bit the bullet and sign up for MotiveWave this week but really didn't want to have to. Now I will be holding off since it would be far better to have it natively within SC! Can't wait!

Also I second the notion from post #8 that we need to see it split side-by-side, in order to most easily make sense of what we're seeing.
[2020-12-04 17:11:42]
User542430 - Posts: 35 | Ending Date: 2021-02-22
Would it be possible to add a filter for this to the Market Depth Historical Graph? I realize this would not be anywhere near as precise as the normal DOM display, but it would still be useful info to have.

An new option for, "Only display orders that have quantity of less than/more than X", while still having the current threshold filter. The logic would be, "Only display orders with quantity of less than 3 where the total sum of such orders is greater than 100".
[2020-12-04 19:13:01]
Almost - Posts: 2 | Ending Date: 2021-02-12
A much desired update which will only make SC MORE competitive with the few other vendors (data & software) currently providing this level of market depth and visibility! Sierra Chart is a professional Trading platform for the financial markets. Yay!!
https://support.motivewave.com/wp-content/uploads/2020/05/Depth-Of-Market-DOM-Window-2048x1506.png
...and if you could, please add functionality to accommodate depth on both sides of the DOM?
https://www.sierrachart.com/Download.php?Folder=SupportBoard&download=45965
Date Time Of Last Edit: 2020-12-04 19:22:12
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Attachment Deleted.
[2020-12-04 21:57:44]
User215984 - Posts: 15 | Ending Date: 2021-01-31
+1

This would be an important addition!
[2020-12-05 10:36:21]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
A thought about order quantities of 1, would it be possible to 'see' these order without actually receiving the data? Meaning, if there is say 500 total orders at a given price, and we are receiving data for orders >=2 and the sum of all those >=2 orders is 450, could it be inferred that the other 50 orders have a size of 1 even if the actual data for those orders is not received?

Yes this is correct. In the market depth data already provided, the total quantity and number of orders is given. So this kind of calculation can be accurately done.
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: 2020-12-05 10:36:34
[2020-12-05 11:55:57]
Acro - Posts: 400 | Ending Date: 2021-05-04
This sound like a very good addition. Thank you in advance.
One basic question looking at the motivewave image (and also thinking of the jigsaw DOM), one day would it be possible to get a notes column in the DOM so we could note potential resistance where we see it the market by order data ?
[2020-12-08 14:08:17]
User462086 - Posts: 132 | Ending Date: 2021-08-22
+1 for combined like screenshot in post #4 with option to align left or right
[2020-12-08 21:35:53]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
We have completed the market by order development. Although we are not going to have anything out this week for users to actually see. It will be next week. We will do some testing this week though.

...the key here is seeing the progression/development of the order queue at each price level and seeing the large orders progress towards the front of the queue/get consumed/get partially consumed as the smaller orders are traded through. It is also important for DOM traders to see the queue on each side of the book, i.e. a bid column and an ask column, not just a combined bid/ask column.
We will work on this. The display will be simplified at first.

e.g. a vector of each order at price (similar conceptually to the VAP data structures) that exposes the orders' sizes, IDs and queue positions.
Yes this is planned and how the data is already internally stored. Not a vector though but in sorted containers in order to maintain queue positions.

I would like to note that it would be visually better to have the bid/ask depth columns separately just as they are in the "plain" DOM.
Yes we can do this.

The choice of bid and ask columns as well as a combined bid/ask column would be great to have. It might be easier for some people to visualize it that way.
Yes this will be supported.

. I was planning to bit the bullet and sign up for MotiveWave this week but really didn't want to have to.
Good to know.

Would it be possible to add a filter for this to the Market Depth Historical Graph?
This is difficult because the market depth data used by the Market Depth Historical Graph is a different category of data. It uses what is known as consolidated depth and there is no information about the individual order quantities. It is not impossible to do, but just far from easy with the way everything is designed.


One basic question looking at the motivewave image (and also thinking of the jigsaw DOM), one day would it be possible to get a notes column in the DOM so we could note potential resistance where we see it the market by order data ?
You can do this now by using the Horizontal Line study:
https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=17&Name=Line

And using Name Label:
https://www.sierrachart.com/index.php?page=doc/ChartStudies.html#NameValueLabels
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: 2020-12-08 21:36:34
[2020-12-16 06:29:09]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
Another feature we can offer with the market by order data is for users of the Sierra Chart Order Routing Service, highlighting your working orders in the queue, and then you can actually see them move towards completion.

Since the exchange order IDs are known and provided in the market by order data, and the exchange order IDs are also included with order updates with the Sierra Chart Order Routing Service.

We should be able to release the market by order data before the end of this week ending 2020-12-18, but it is being provided on the same connection as all of the other market data. It is intended to be moved to a separate connection but until then, only orders with a quantity of 10 or higher will be provided. We cannot take any chances and provide market activity with lesser quantities, at this time.

We are already afraid of any detrimental impact and we will do a staged release. We will first release this on one server for COMEX.
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: 2020-12-16 06:29:37
[2020-12-16 07:21:39]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
This is an example of the market by order data:
http://www.sierrachart.com/image.php?Image=160810312174.png
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.
[2020-12-16 09:02:21]
User216714 - Posts: 92 | Ending Date: 2021-01-31
Since the exchange order IDs are known and provided in the market by order data, and the exchange order IDs are also included with order updates with the Sierra Chart Order Routing Service.

Does it mean you could provide a new method of combining orders in Time&Sales and charts showing this time a true original order size? Seems CME every partial fill of original order has the same order ID again. Is that right?
Date Time Of Last Edit: 2020-12-16 09:40:56
[2020-12-16 09:02:41]
binaryduke - Posts: 273 | Ending Date: 2021-01-31
A really fantastic start! Is there any preliminary documentation for the relevant ACSIL access?

Suggestion... for the initial text-based display, you could display a "." instead of "1" to save space and eliminate the need for a comma delimiter.
Date Time Of Last Edit: 2020-12-16 09:03:26
[2020-12-16 12:34:35]
stephenvosloo - Posts: 2 | Ending Date: 2021-02-04
Christmas has come early and 2020 just got a silver lining. Thank you Sierra Chart engineers!
[2020-12-16 13:42:29]
alemar - Posts: 3 | Ending Date: 2021-02-08
That's really cool! Looking forward to the "official" release.
[2020-12-16 15:44:38]
User138602 - Posts: 165 | Ending Date: 2020-12-02 [Expired]
Really good news. Will you try to provide something like bookmap does, aka "StopRun indicator" and/or "Iceberg Detector". Its not hocus pocus, what bookmap offers but i am also not sure, if SC can additinally handle something like this.
[2020-12-16 15:54:32]
binaryduke - Posts: 273 | Ending Date: 2021-01-31
Actually the 'stop run' IS hocus pocus/cheesy marketing as described as identifying this has nothing to do with MBO information. Exchange-held icebergs do relate to MBO information.
[2020-12-16 16:11:32]
User138602 - Posts: 165 | Ending Date: 2020-12-02 [Expired]
Bookmap uses MBO based information to determine if a stup run has likely occured. Its not a sure thing, but they figured out how to make an aducated guess. Has to do with how the orders "behave", how they come into the book. IMO they found some quite fitting treshholds for what ever metrics they use.

Writing this makes it clear, that SC wont spend any time on such a feature. They try to be perfect and 2nd, they dont have the time to figure something out like this.

Advertising it as a sure thing might be a bad marketing habit. But i suggest to look beyond that and focus on the potential applications for your trading.
Same goes for Iceberg detector.
Date Time Of Last Edit: 2020-12-16 16:25:43
[2020-12-16 16:55:54]
binaryduke - Posts: 273 | Ending Date: 2021-01-31
Expired User138602 - identifying how orders arrive in the queue has nothing to do with MBO. Marketing nonsense. Their identification of exchange-held icebergs is using MBO data. The rest is marketing obfuscation.
[2020-12-16 17:30:53]
User138602 - Posts: 165 | Ending Date: 2020-12-02 [Expired]
Ok, then lets have an Iceberg Detector.

And besides if the StopRunTracker is MBO based or not...(OFC!!!!!!!!!! MBO itself doesnt label an order as a stop order.)

But arent OrderIDs unique to the MBO format? Is it really too far stretched to imagine something built around those OrderIDs, that makes identifying StopRUNs somewhat reliable?
[2020-12-16 17:38:52]
binaryduke - Posts: 273 | Ending Date: 2021-01-31
Is it really too far stretched to imagine something built around those OrderIDs, that makes identifying StopRUNs somewhat reliable?
Yes.

I'm not engaging on this further. What Bookmap offer and the accuracy of how they describe/imply how it's derived is distracting from the thread.
[2020-12-16 17:42:15]
ticinotrader - Posts: 250 | Ending Date: 2021-03-25
I agree with binaryduke. I tried and already been able to come up with something close to Iceberg detector, purely with indicator (bid/ask data)'hacking' using SC's built-in functions, without MBO.

I guess the same can be done with stops: hacking. Stop orders are practically market orders with a trigger price.

Btw: interesting fact, that when someone watches/reads the DOM, simply based on the behavior of orderflow, most of these activities are clearly visible/understandable - without the need to create/use indicators.
[2020-12-16 19:04:13]
User138602 - Posts: 165 | Ending Date: 2020-12-02 [Expired]
@ticinotrader: thats not the point...and btw. try to read the DOM for several instruments at the same time and catch these details in the orderflow...good luck with that.

Im honestly disappointed that you guys dont give bookmap any credit for their stoprun tracker and label it as pure marketing BS without even knowing how it works.

But I also wont distract any further from the thread.
[2020-12-16 19:22:26]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
Umm... DOM traders routinely "read the DOM for several instruments at the same time and catch these details in the orderflow". That's exactly the job.
[2020-12-16 19:26:18]
User347037 - Posts: 138 | Ending Date: 2021-06-16
Completely agree with BinaryDuke and Ticino. Let's stay on the subject of this thread and place a debate of methodology to the appropriate channel. MBO information will be a great addition to new Sierra functionality!
[2020-12-17 03:21:24]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
Does it mean you could provide a new method of combining orders in Time&Sales and charts showing this time a true original order size?
No it is not used for any purpose in the Time and Sales window and there currently already is a method to combine trades into the original summary trade:
https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#CombineTradesIntoOriginalSummaryTrade

A really fantastic start! Is there any preliminary documentation for the relevant ACSIL access?
Not yet. This has not yet been developed.
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.
[2020-12-17 08:09:57]
User216714 - Posts: 92 | Ending Date: 2021-01-31
and there currently already is a method to combine trades into the original summary trade

Well you dont provide any infromation what is your algo to combine those trades.

But CME clearly stated in this MBO specs document how MBO provides true identification of iceberg orders so thats why I asked if you plan to use them to combine fills of larger order based on native exchange information not your proprietry algo:

https://www.cmegroup.com/education/market-by-order-mbo.html

Exchange-assigned OrderIDs are unique per order and are consistent for the life of the order. When CME Group-held iceberg orders (referred to as native icebergs) have displayed quantity refreshed, the refreshed order will have the same OrderID as the original order.

For those concerned this function gives other participants greater ability to detect presence of iceberg, we recommend evaluating third party offerings that include ISV-held iceberg orders (synthetic iceberg where total quantity is managed off-exchange by ISV server).

Refreshed quantities from these systems are treated as new orders to the exchange and receive a new OrderID. CME Direct will add synthetic iceberg support in the August 2017 release.

Attached original screen shot from CME page.
Date Time Of Last Edit: 2020-12-17 08:10:32
imageorderid_iceberg_mbo.jpg / V - Attached On 2020-12-17 08:09:45 UTC - Size: 93.61 KB - 104 views
[2020-12-17 08:42:38]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
Well you dont provide any infromation what is your algo to combine those trades.
There is no algorithm. You are seeing the actual summary trade from the exchange when using that option. If you have questions ask the exchange.. Not us.

not your proprietry algo:
This is nonexistent. There is no such thing like this.

We see no information here to identify the hidden quantity of an order:
https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Market+Data+Incremental+Refresh

That page documents the incremental messages which contains the market by order data.
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: 2020-12-17 08:43:25
[2020-12-17 12:41:18]
User495158 - Posts: 97 | Ending Date: 2021-06-09
It is unfortunate that many traders think that MBO will provide them with some kind of additional edge. Unfortunately, it doesn't work like that. We as humans can process only as much.

If you ever saw screens of professional futures scalpers, they are usually very simplistic. Buy column/ bid depth - sell column/ ask depth, cumulative last size, and current traded total volume. Nothing more. No pulling/ stacking bids/ offers, no split volume etc. It is not how much data you put on the screen but how you use and process what you have. And sometimes less is more.

So I would be very careful about adding any new features which don't add any edge but could have detrimental performance impact or user experience. Just my 2 cents.
[2020-12-17 14:43:39]
User347037 - Posts: 138 | Ending Date: 2021-06-16
User495158 -
It is unfortunate that many traders think that MBO will provide them with some kind of additional edge. Unfortunately, it doesn't work like that. We as humans can process only as much.

If you still doing things manually, then yes. If you writing a code to take advantage of this information and provide it as a well defined data point for decision making, then you do have an edge. Welcome to 21st Century.
Date Time Of Last Edit: 2020-12-17 15:21:30
[2020-12-17 15:15:13]
User495158 - Posts: 97 | Ending Date: 2021-06-09
If you still doing things manually, then yes. If you writing a code to take advantage of this information and provide it in as well defined data point for decision making, then you do have an edge. Welcome to 21st Century.

Fair point. If you can extract this data and use it any meaningful way than why not. I was thinking about us old timers, who still use our eyes and hands to trade :)
[2020-12-17 18:02:30]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
Another feature we can offer with the market by order data is for users of the Sierra Chart Order Routing Service, highlighting your working orders in the queue, and then you can actually see them move towards completion.

Since the exchange order IDs are known and provided in the market by order data, and the exchange order IDs are also included with order updates with the Sierra Chart Order Routing Service.
This feature will be out in the next release of Sierra Chart. It has been developed already.
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.
[2020-12-21 03:25:55]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
Regarding the market by order data, we thought we had released this in the latest prerelease, 2212. We realize this was only in a debug build.

We will get this released tomorrow.

For now, only orders of 10 or greater will be sent through until we can move the market by order data to a separate connection and have more time to evaluate performance.

For users of the Sierra Chart Order Routing service, the quantity for your working orders are signified by an * character placed beside the left of the quantity. So you are able to observe your order in the queue. Assuming it is a larger order that is going to be individually shown.
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: 2020-12-22 21:05:10
[2020-12-21 10:00:14]
User216714 - Posts: 92 | Ending Date: 2021-01-31
As Denali user - is MBO extra paid feature at this moment or it's available freely for now while in development phase? Thanks
[2020-12-21 14:49:32]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
There is no extra cost for it at this time.
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.
[2020-12-21 14:57:11]
binaryduke - Posts: 273 | Ending Date: 2021-01-31
Are the fabulous new MBO DOM columns implemented in the pre-release? Not seeing anything resembling this yet in the Customize Chart/Trade DOM available columns.
[2020-12-21 15:05:49]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
Yes but you need to update Sierra Chart again to the prerelease with Help >> Download Prerelease. We released a new revision.
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.
[2020-12-23 11:14:08]
RIFT - Posts: 66 | Ending Date: 2021-07-13
Can you please make a combined bid & ask market orders column?

Thx!
[2020-12-23 11:36:16]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
Yes this has been already released and available. It is in the latest prerelease.
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.
[2020-12-23 13:09:20]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
I'm trying this new feature out this morning but can't make sense of it. Enabling the individual "number of orders" columns does in fact show a single number for the total number of orders, but enabling the "combined" column displays an empty column. Enabling the "market orders" columns also displays two blank columns. How do we actually see the orders? Thank you for this!
Date Time Of Last Edit: 2020-12-23 13:10:42
[2020-12-23 14:58:57]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
Strike that, I missed that it's on GC only right now. Will wait. =)
[2020-12-23 20:07:00]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
It is available for all symbols now. It is not the number of orders column. It is "market orders".
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.
[2020-12-23 20:15:44]
binaryduke - Posts: 273 | Ending Date: 2021-01-31
What are the developments for user selectable size threshold and display of all the orders in the queue (including the single lots)?

(and ACSIL access to the queue!!! :) )
[2020-12-23 20:40:13]
User347037 - Posts: 138 | Ending Date: 2021-06-16
What are the developments for user selectable size threshold and display of all the orders in the queue (including the single lots)?

To add what is said by Binaryduke in post #52 - Currently the SC MBO info displays orders equal to or larger than 10 contracts by default. While this can be OK for thinner markets, in something like ZB or ZN it will generate an abnormal amount of data on display, making it very difficult to analyze it visually.

Is it possible to add functionality to color code MBO information based on user defined manual threshold?
Date Time Of Last Edit: 2020-12-23 20:41:24
[2020-12-23 21:00:21]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
What are the developments for user selectable size threshold
This is now available and we will give you a link to documentation when ready.

(and ACSIL access to the queue!!! :) )
This should be out in about a week.

and display of all the orders in the queue (including the single lots)?
This is still weeks away.
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.
[2020-12-26 03:25:37]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
It is available for all symbols now. It is not the number of orders column. It is "market orders".

If this is the case then something seems to be wrong somewhere for me. Using ES I added both market orders columns and got no data every time. Just empty columns. Only the "Number of Orders" columns showed anything. What does the user need to do to enable this other than add the two columns to their chart DOM? I'm using the SC Trading Evaluator service. Thanks.
[2020-12-26 08:37:23]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
We apologize, we thought we previously gave some basic documentation how to use this feature, until the more comprehensive documentation is available.

It has to be enabled through Global Settings >> Sierra Chart Server Settings >> Subscribe Market By Order Data When Market Depth Subscribe. Reconnect to the data feed after changing this setting.

And then you add the "Market Orders" columns:
https://www.sierrachart.com/index.php?page=doc/GlobalTradeSettings.html#CustomizeChartTradeDOMColumns
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: 2020-12-26 08:37:50
[2020-12-28 21:28:41]
User216714 - Posts: 92 | Ending Date: 2021-01-31
1. Is MBO data available during replay or only as live data?

2. Is MBO data a part of historical depth download?


Thanks
[2020-12-28 22:06:44]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
1. No market by order data is not supported during a replay.

2. It is unrelated to historical Market Depth data.
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: 2020-12-28 22:07:00
[2020-12-29 14:43:04]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
Here is the Market by Order documentation:
https://www.sierrachart.com/index.php?page=doc/MarketByOrder.php
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.
[2020-12-29 15:37:11]
binaryduke - Posts: 273 | Ending Date: 2021-01-31
Thank you for the documentation! I'm not certain the minimum filtering functionality is working.
imageScreenshot 2020-12-29 at 15.35.13.png / V - Attached On 2020-12-29 15:36:49 UTC - Size: 33.29 KB - 113 views
imageScreenshot 2020-12-29 at 15.34.47.png / V - Attached On 2020-12-29 15:36:56 UTC - Size: 49.07 KB - 97 views
[2020-12-29 17:08:09]
John - SC Support - Posts: 4278 | Ending Date: 2021-01-31
Make sure that the option for Use Custom Symbol Settings Values is Enabled on the Global Symbol Settings window. Refer to the following:
https://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php#UseCustomSymbolSettingsValues
[2020-12-30 00:02:19]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
The filter doesn't seem to be working for me on ES. I set it to 20, but I still saw all the <20s in the list earlier. Symbol settings are enabled. Not sure what else to look at. Have disconnected/reconnected and restarted SC, and reinstalled the latest prerelease 2214. I'm using the Trading Evaluator service.
[2020-12-30 10:00:06]
User120942 - Posts: 57 | Ending Date: 2021-01-31
Can a "Combined Bid/Ask Number of Orders" Column also be added in a future release? Currently, only the separate Bid and Ask Number of Orders columns are available for use in the Chart DOM.

Thank You
imageCustomize Chart DOM Columns.png / V - Attached On 2020-12-30 09:58:31 UTC - Size: 26.48 KB - 106 views
Attachment Deleted.
[2020-12-30 19:22:28]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
The filter doesn't seem to be working for me on ES. I set it to 20, but I still saw all the <20s in the list earlier.
Update to the latest version(2215) of Sierra Chart and then follow the instructions below:

Follow the instructions here to clear the Message Log:
https://www.sierrachart.com/index.php?page=doc/MessageLog.html#Clearing

Reconnect to the data feed:
https://www.sierrachart.com/index.php?page=doc/FileMenu.html#ProcedureToReconnect

After about 30 seconds, provide a copy of the Message Log following these instructions:
https://www.sierrachart.com/index.php?page=PostingInformation.php#MessageLog

----
Regarding post #63, we will work on that.
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: 2020-12-30 19:23:49
[2020-12-31 13:39:47]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
Log sent. Since upgrading I no longer get any MBO data at all, of any size. Filter is set to 0 currently.
[2020-12-31 17:22:56]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
What symbol are you not receiving the market by orders/market orders data for?
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.
[2020-12-31 17:25:29]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
ES, though I do use the trade-only symbol for MES in case that matters.
[2020-12-31 21:31:42]
User542430 - Posts: 35 | Ending Date: 2021-02-22
Is it possible at some point to have not just a minimum quantity filter, but a range filter? Eg show only orders with a quantity between 10 and 20?
Date Time Of Last Edit: 2020-12-31 21:32:17
[2021-01-01 18:33:37]
BenjFlame - Posts: 80 | Ending Date: 2021-02-01
Fantastic addition to the product, again !!
Daneli feed with this and direct Eurex is becoming irresistible. In the process of subscribing.
Date Time Of Last Edit: 2021-01-01 18:34:20
[2021-01-02 13:11:47]
binaryduke - Posts: 273 | Ending Date: 2021-01-31
Reviewing the new v2215 functions:

sc.GetBidMarketLimitOrdersForPrice
sc.GetAskMarketLimitOrdersForPrice

it would be very useful to be able to access the Exchange Order IDs for each order. Rather than having an array of doubles for the quantity, an array of a structure that details each order's ID and size would allow us to do very smart things that track individual orders, as hinted within post #18:


e.g. a vector of each order at price (similar conceptually to the VAP data structures) that exposes the orders' sizes, IDs and queue positions.
Yes this is planned and how the data is already internally stored. Not a vector though but in sorted containers in order to maintain queue positions.

Please could you review this.
Date Time Of Last Edit: 2021-01-02 14:09:44
[2021-01-02 23:50:22]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
Yes we will add support for the order ID.
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.
[2021-01-03 23:44:14]
User664240 - Posts: 79 | Ending Date: 2021-02-22
After several attempts to enable MBO for NG and ES in subinstance 3 with no success I felt perhaps as with previous issues the Main instance needs to be enabled as well. Enabling the main instance was issue free and yet with the Identical settings I cannot get the MBO columns to populate.

http://www.sierrachart.com/image.php?Image=1609717426665.png
[2021-01-03 23:44:57]
User664240 - Posts: 79 | Ending Date: 2021-02-22
In sub instance 3
[2021-01-04 02:26:05]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
ES, though I do use the trade-only symbol for MES in case that matters.
Based upon what we see Global Settings >> Sierra Chart Server Settings>> SubscribeMarketByOrderDataWhenMarketDepthSubscribe is not enabled.

Enable this and reconnect to the data feed:
https://www.sierrachart.com/index.php?page=doc/FileMenu.html#ProcedureToReconnect

Or maybe you are running a version which does not have the logging we are expecting. In which case update to the latest version.
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: 2021-01-04 02:26:23
[2021-01-04 02:56:47]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
Oh of course! When I updated, that setting must have gotten reverted. Working once again.
[2021-01-04 03:48:57]
Sierra Chart Engineering - Posts: 93111 | Ending Date: 2021-04-05
Regarding post #72 and #73, with market by order data in a sub instance. This is not yet implemented. We will try to have this out in a couple of days.
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: 2021-01-04 03:49:06
[2021-01-05 14:17:04]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
BTW the MBO filter is again not working for me. It was working once I turned support for MBO back on after updating, but this morning... no filter. It's set to 50 and I still see all the 10+ lots. I have dis/reconnected to the feed, made sure the custom symbol settings are enabled, etc.

Incidentally should issues with MBO be posted in this thread or is the feature released enough to warrant threads on their own?
[2021-01-05 14:37:59]
John - SC Support - Posts: 4278 | Ending Date: 2021-01-31
WRT Post #77:

We are not able to reproduce this. When we change the Symbol Settings to filter a larger number, then disconnect and reconnect to the data feed, it is working correctly.

Make sure that the symbol that you are editing is the symbol that you are using in the chart at that moment. For instance, if you are using the Trading Evaluator Service with the e-Mini S&P 500 Index then the symbol to edit would be "ES?##". But if you have your service set to "SC Futures Order Routing/Data", then the symbol to edit would be "ES?##_FUT_CME".

After a change, you need to disconnect and reconnect to the data feed.
[2021-01-05 15:06:22]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
Thanks John. I am using ES with the MES trade-only symbol on your Trading Evaluator service, so I was editing ES?##. No change though... I'll try relaunching the whole platform.
[2021-01-05 15:09:11]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
Nope still no change. Anything else you'd like me to try just let me know.
[2021-01-05 18:09:10]
John - SC Support - Posts: 4278 | Ending Date: 2021-01-31
Do you definitely have the option for Use As Trade-Only Symbol Enabled? If not, then the data in the MBO columns are going to be from the MES symbol, in which case you would need to update that symbol's settings.
[2021-01-05 18:17:34]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
Yes most definitely, I've been trading it this morning.
[2021-01-06 02:40:31]
j4ytr4der_ - Posts: 318 | Ending Date: 2021-05-09
Now it's working as expected. No idea why. All I did was switch to a different datafeed (Rithmic), then switch back.

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