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Date/Time: Fri, 07 Oct 2022 15:34:14 +0000



[User Discussion] - ACSIL - T&S question

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[2014-03-21 21:55:26]
ejtrader - Posts: 686
Hello SC team - considering the built in Price/Time filtering features is not good enough, trying to see if there is a possibility of reconstructing an Order using T&S records ( live ).

W.r.t - ES market - CME feed:
For example a single 1000 lot market sell order might have 3 separate orders - 300, 600, 100 - each could be at different price. trying to see a single sell order or "1000" can be computed by some means - which is consistently reliable.

- Is there any field with T&S record that can be used to group this?
- Similar to new "Aggressor" field you have started using to detect the type of trade, wondering if there is any additional field that would specify their own internal order ID to detect the above case.

Thanks

Date Time Of Last Edit: 2014-03-22 02:54:44

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