Date/Time: Mon, 27 Jun 2022 02:00:03 +0000
Binance and Deribit Data Feed configuration questions
View Count: 64
|Rickty - Posts: 20|
I'm working on a crypto project driven by research I've done on Sierra Charts (SC), and I have data feed questions. In this project our developer has written directly to the Binance and Deribit APIs and built an OMS we use for trading on a hosted server. SC runs on a separate server and I use it strictly for research so it is not affected by production issues. In spite of having written directly to the exchange APIs, we sometimes see big data delays vs. Sierra Charts and we're trying to figure out the cause(s). Our server and OMS are not remotely maxed out when this happens and internal latency measurements (our developer is expert in this) show that any delays we are seeing are not on our end. Periodic delays are expected - and confirmed by other participants we know - but we see delays not seen in SC.
My assumption to date has been that Sierra Charts is using the same APIs available publicly; which is what we are doing in this project - using websockets. If the exchange treat connection types differently that could be determinative. For example if SC is pulling data via FIX and this project is pulling data separately over websockets and the exchanges have more constraints on how they provide websockets powered data then I can't expect the performance available via FIX.
My questions are:
(1) Is SC using publicly available APIs or something more institutional / industrial strength from the exchanges?
(2) Is SC getting data from Binance and Deribit using FIX? Websockets? Something else?
(3) Does SC pull in aggregated or non aggregated trade data?
(4) Does SC provide exchange data raw to customers, or is any processing performed on it first? Anything else I should be asking about here?
(5) Are there any other configurations in how the Binance and Deribit data feeds are used by Sierra Charts not addressed here?
(6) Wing and a prayer question: is there any way around the Binance 100ms data book update buckets?
Sierra Chart Engineering - Posts: 103470
1. Yes we are using the public APIs, and they are no good at all. Just terrible.
2. For Deribit FIX is used. Binance uses a websocket connection, just terrible and poorly designed. Really horrible.
3. To our knowledge the data is not aggregated in any way.
4. There is no change in the data but the connection to Binance is lost from time to time and there is missing data.
6. We have no idea about this. You would probably know more than us. Believe us, we do not waste our time investigating these APIs beyond what we need to know , or becoming very familiar with them. They are horrible.
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:
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: 2022-05-20 11:33:40
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