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Direct MessagesDate/Time: Thu, 25 Apr 2024 20:35:38 +0000
[Programming Help] - [Programming Help] - Detecting
View Count: 268
| [2022-12-07 04:19:20] |
| T44 - Posts: 363 |
|
I want to set an alert / make an indicator value TRUE on these events: bid-ask spread increases > X ticks several levels are 'cleared out' of the order book (e.g. ask side) without a trade on the opposite side (e.g. at bid) Is this possible with the CME data feeds provided by Sierra / Denali? |
| [2022-12-07 15:52:38] |
| John - SC Support - Posts: 31117 |
|
The first one can be done - Bid-Ask Spread Increases. But there is no way to access the Market Depth data for what you want to do within an Alert. You would need to create a custom study to access the Market Depth data and check for a level being "cleared out". Refer to the following for the introduction to ACSIL: Advanced Custom Study Interface and Language (ACSIL): Introduction 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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