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Date/Time: Sun, 07 Aug 2022 16:59:39 +0000



[Sticky] [Locked] - New Important Good Information about NASDAQ TotalView Data Feed

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[2022-07-02 12:24:29]
Sierra Chart Engineering - Posts: 104213
1. As of this Tuesday, July 5, 2022 Net Order Imbalance Indicator data will be provided For all NASDAQ TotalView symbols which also includes NYSE and AMEX symbols. Information about this is below.

To take advantage of this, Update Sierra Chart to the current version:
Software Download: Fast Update

There are new Quote Board fields to access this information that begin with "Imbalance":
Getting Quotes: Setting Fields to Display



TotalView also supplies the Net Order Imbalance Indicator (NOII).This indispensable tool provides invaluable information about opening and closing orders and the likely opening and closing prices of a security. This insight that can help reveal new trading opportunities as well as help you maintain your positions by more accurately gauging the true buy and sell interest in securities. NOII is the only way to gain insight into Nasdaq’s highly liquid Opening, Closing, Halt and IPO crosses.

4.6 Net Order Imbalance Indicator (NOII)Message

NASDAQ disseminates NOII data at 5 second intervals in the minutes leading up to the Nasdaq Opening Cross and
Nasdaq Closing Cross.

2. We are very well aware of the lower volumes with NASDAQ TotalView as compared to the consolidated tape. In our initial analysis of NASDAQ TotalView data, the volumes for NASDAQ stocks were actually higher than the consolidated tape volumes. Later when we deployed the feed, the volumes were lower and we were not really sure why this was the case. We had thought we made a mistake with our initial analysis.

This past week while analyzing the NASDAQ ITCH processing code, we discovered the reason for the lower volumes. The reason has to do with a TCP connection that we use to NASDAQ and the fact that we have to filter out prior data from the current connection time in the event of a reconnection during the trading day. Since NASDAQ re-transmits all of the data since the beginning of the day on a connection.

This filtering code resulted in certain categories of messages being filtered. This resulted in lower volumes. This is resolved and you will see higher volumes as of this upcoming Tuesday July 5.

This does not solve the problem with lower volumes for NYSE and AMEX stocks. However, the volumes of all symbols will become higher.

2.1. To make sure you have the most complete volume data in the NASDAQ TotalView charts as of this time, follow the below procedure:

Re-download all the data in the chart by going to the chart and selecting "Edit >> Delete All Data and Download". You just need to do this once per symbol and not for each chart.


3. Not good: We are not permitted to provide market depth data from the NASDAQ TotalView data feed if you are just accessing the delayed data only. You must pay for the real-time data.

If you had access to this before this was due to a technical implementation problem.
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: 2022-07-04 11:14:18
[2022-07-03 06:09:38]
Sierra Chart Engineering - Posts: 104213
Post above has been updated.
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
[2022-07-07 12:08:02]
Sierra Chart Engineering - Posts: 104213
2. There is some volume improvement with the NASDAQ TotalView data feed, but not as much as we had hoped. The particular message that was being missed, was not considered a critical message. And NASDAQ even states it is not required to be processed.


4. Historical market depth data for NASDAQ TotalView symbols is now being maintained for up to 7 days. Currently there is just data as of today.
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: 2022-07-07 12:08:22

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