Home >> Support Board

Support Board

Date/Time: Sat, 27 Apr 2024 06:18:03 +0000

How to Post a Message for Support

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

View Count: 10815

[2020-12-16 15:44:38] #25 [Go To First Post]
User138602 - Posts: 169
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] #26 [Go To First Post]
binaryduke - Posts: 360
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] #27 [Go To First Post]
User138602 - Posts: 169
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] #28 [Go To First Post]
binaryduke - Posts: 360
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] #29 [Go To First Post]
User138602 - Posts: 169
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] #30 [Go To First Post]
binaryduke - Posts: 360
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] #31 [Go To First Post]
ticinotrader - Posts: 377
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] #32 [Go To First Post]
User138602 - Posts: 169
@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] #33 [Go To First Post]
j4ytr4der_ - Posts: 918
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] #34 [Go To First Post]
Meklon - Posts: 217
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] #35 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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: Chart Settings: Combine Trades into Original Summary Trade (Data Feed and Exchange Specific) (Chart >> Chart Settings >> Chart Data >> Chart Data menu) 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. 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

[2020-12-17 08:09:57] #36 [Go To First Post]
User311344 - Posts: 136
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


orderid_iceberg_mbo.jpg / V - Attached On 2020-12-17 08:09:45 UTC - Size: 93.61 KB - 401 views

[2020-12-17 08:42:38] #37 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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: 2020-12-17 08:43:25

[2020-12-17 12:41:18] #38 [Go To First Post]
User495158 - Posts: 106
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] #39 [Go To First Post]
Meklon - Posts: 217
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] #40 [Go To First Post]
User495158 - Posts: 106
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] #41 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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

[2020-12-21 03:25:55] #42 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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: 2020-12-22 21:05:10

[2020-12-21 10:00:14] #43 [Go To First Post]
User311344 - Posts: 136
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] #44 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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

[2020-12-21 14:57:11] #45 [Go To First Post]
binaryduke - Posts: 360
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] #46 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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

[2020-12-23 11:14:08] #47 [Go To First Post]
RIFT - Posts: 124
Can you please make a combined bid & ask market orders column? Thx!

[2020-12-23 11:36:16] #48 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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

[2020-12-23 13:09:20] #49 [Go To First Post]
j4ytr4der_ - Posts: 918
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] #50 [Go To First Post]
j4ytr4der_ - Posts: 918
Strike that, I missed that it's on GC only right now. Will wait. =)

To post a message in this thread, you need to log in with your Sierra Chart account: