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Direct MessagesDate/Time: Sat, 27 Apr 2024 08:17:53 +0000
[Locked] - Denali Data Feed to Offer Market by Order Support in December!
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| [2020-11-28 05:28:41] |
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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 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: 2020-12-04 09:25:33
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| [2020-11-30 18:17:27] |
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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 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 |
| [2020-12-03 03:42:24] |
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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. 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 |
| [2020-12-04 09:13:24] |
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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. 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: 2020-12-04 10:49:34
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| [2020-12-04 12:47:12] |
| User542430 - Posts: 50 |
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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: 360 |
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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
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| [2020-12-04 15:11:15] |
| markuz - Posts: 90 |
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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.
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| [2020-12-04 15:32:46] |
| alemar - Posts: 7 |
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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: 28 |
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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!
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| [2020-12-04 16:33:18] |
| Meklon - Posts: 217 |
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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.
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| [2020-12-04 16:42:15] |
| j4ytr4der_ - Posts: 918 |
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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: 50 |
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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: 3 |
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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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 Screenshot 2020-12-04 at 15.22.33.png / V - Attached On 2020-12-04 19:20:15 UTC - Size: 143.7 KB - 708 views Attachment Deleted. |
| [2020-12-04 21:57:44] |
| User215984 - Posts: 24 |
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+1 This would be an important addition! |
| [2020-12-05 10:36:21] |
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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. 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: 2020-12-05 10:36:34
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| [2020-12-05 11:55:57] |
| Acro - Posts: 436 |
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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: 188 |
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+1 for combined like screenshot in post #4 with option to align left or right
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| [2020-12-08 21:35:53] |
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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:Line And using Name Label: Chart Studies: Subgraphs Tab >> Name and Value Labels 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: 2020-12-08 21:36:34
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| [2020-12-16 06:29:09] |
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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. 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: 2020-12-16 06:29:37
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| [2020-12-16 07:21:39] |
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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. 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 |
| [2020-12-16 09:02:21] |
| User311344 - Posts: 136 |
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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
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| [2020-12-16 09:02:41] |
| binaryduke - Posts: 360 |
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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
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| [2020-12-16 12:34:35] |
| stephenvosloo - Posts: 28 |
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Christmas has come early and 2020 just got a silver lining. Thank you Sierra Chart engineers!
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| [2020-12-16 13:42:29] |
| alemar - Posts: 7 |
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That's really cool! Looking forward to the "official" release.
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| [2020-12-16 15:44:38] |
| User138602 - Posts: 169 |
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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.
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