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Date/Time: Fri, 27 Jan 2023 07:41:27 +0000



Bid/Ask size \ Number of orders at the price

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[2022-11-19 13:04:22]
tdug - Posts: 116
I am wondering how the volume at Bid or ask at every level on the Dom is calculated? Is this a DMA of the exchange feed?
Say on CL f23 futures, I'm looking at 100 best bid and ask prices. How is the volume of Orders at each price level collated? Is this front of book from NYMEX is is there any calculations done by sierra chart to parse exchange data?
I am looking for a pure read of volume resting at each price on the front of book. I am aware of the MBO functions also.
Thanks
[2022-11-21 16:45:11]
John - SC Support - Posts: 21711
The data comes direct from the exchange. We do not do anything to the data except display it.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing

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