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Direct MessagesDate/Time: Sat, 18 May 2024 16:54:15 +0000
Market by Order data
View Count: 1516
| [2021-06-03 18:29:25] |
| Chad - Posts: 231 |
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Hi SCE, in post #9 of your thread 'Upcoming Data Plans 2, New Exchange' you provided a screenshot of the DOM with MBO lists for VIX futs ("...the CBOE Volatility Index futures with market depth and market by order data: http://www.sierrachart.com/image.php?Image=1622532189143.png) If I sum the quantities in the list of integers for nearest bid, nearest ask, 2nd bid, etc, and compare to the respective total qty shown at its price level in the 'standard' display, they don't equal. For example, price level 20.65's MBO list sums to 48, whereas the 'standard' total lots is shown as 52. My question is: What am I missing? Was this screenshot just from a rough proof-of-concept test, and not intended to be accurate for the time being? Date Time Of Last Edit: 2021-06-03 18:33:27
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| [2021-06-03 20:51:18] |
| User542430 - Posts: 50 |
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I would guess the other 4 are single lot orders.
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| [2021-06-03 22:33:45] |
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Yes the answer is what is explained in post #2.
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 |
| [2021-06-04 17:57:48] |
| Chad - Posts: 231 |
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Well, where are they among the displayed lots, how are they distributed? I'm asking this under assumption that MbO data is consistent with FIFO matching engine. Perhaps CME doesn't make 1-lots viewable due to server storage/operational savings? @SCE: Also, in the documentation for MBO it states "There is no support for recording market by order data or downloading of historical market by order data." -> might this change in a future release, so I can run some modest backtests with it? Again, I understand that this increases the storage/file size requirements. And thanks for these great changes, I continue to be very pleased with your software. Date Time Of Last Edit: 2021-06-04 18:45:27
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| [2021-06-07 15:55:32] |
| John - SC Support - Posts: 31704 |
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Well, where are they among the displayed lots, how are they distributed? I'm asking this under assumption that MbO data is consistent with FIFO matching engine. Perhaps CME doesn't make 1-lots viewable due to server storage/operational savings?
CME makes it available, but we are not sending out all the data. We are limiting the lowest number in order to ensure that there are no issues with the data feed when also sending the MBO data. As to how they single lot orders are distributed, there is no way to do know that from the information we have provided. might this change in a future release?
Perhaps, one day. But it is a lot of data to store. We can't make any promises on this right now. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-08-09 14:41:30] |
| Chad - Posts: 231 |
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@SCE or @John: is MBO data accessible via ACSIL, or at least in a Spreadsheet Study? I searched ACSIL docs, didn't see it listed in arrays. Tried adding a Spreadsheet Study to a DOM but that data isn't output. FWIW I'm testing with CBOT ZN futs, Sep 21 expiry. EDIT/UPDATE Never mind, I think I found it...sc.GetAskMarketLimitOrdersForPrice(), etc. Just appending this to my post/question for other SC users who might find this thread while looking for answer to similar scenario. Date Time Of Last Edit: 2021-08-09 14:49:03
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| [2021-08-09 15:41:13] |
| John - SC Support - Posts: 31704 |
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That is the correct function to get the Market By Order data through ACSIL. Also, it is not available through the Spreadsheet. You can only access it through ACSIL. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-08-11 16:31:20] |
| Chad - Posts: 231 |
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Hi John, 1 more question on this: I've no problem getting MBO for an individual futures contract like CBOT ZN, but is it available for *exchange-supported* spreads? For example, CME Eurodollar (say GEU21-GEZ21.FUT_SPREAD.CME). I've tried for GE spreads, as well as CL (NYMEX WTI Crude), but no MBO data displays in the DOM. But my account's not subscribed to Denali feed at the moment, and on Service Package 3. Date Time Of Last Edit: 2021-08-11 16:33:06
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| [2021-08-12 05:28:16] |
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No, Sierra Chart does not support market by order data for spreads.
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 |
| [2021-08-15 15:25:29] |
| Chad - Posts: 231 |
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I have received reply from one of the more commonly-used 3rd-party data providers to SC, that they have MBO data for exchange-supported futures spreads. Would your engineering team have time in the near future to implement support for it? I can discuss this more in a DM ticket, or post here. |
| [2021-08-19 08:02:03] |
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No, this is absolutely out of the question for various reasons including the fact that there is no further development done with other data providers. All of that is considered legacy integrations at this time. We do have access to the market by order data for spreads, it is just a matter of us activating it. There is only a performance consideration. Probably it is minimal so we will see about activating it. 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 |
| [2021-10-08 15:54:41] |
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We will implement the market by order data for spreads, over the weekend if there are no complications.
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 |
| [2021-10-27 20:31:42] |
| Chad - Posts: 231 |
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Hi SCE, were you able to implement MBO for spreads? I just glanced at a DOM with those MBO bid & ask columns added, for test symbol CLZ21-CLF22.FUT_SPREAD.NYMEX, but didn't see anything.
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| [2021-10-28 16:13:06] |
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Yes we did. However, it is not fully released. We will do additional updates over the weekend to release this.
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 |
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