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Date/Time: Wed, 29 Mar 2023 07:50:45 +0000

DTC protocol and CME data

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[2023-01-10 01:54:20]
User410546 - Posts: 7
Hello dear Customer Support! my dear Forum group !

With my friend Niokoz who has been using SierraChart for more than 12 years, we decided to work with the famous DTC protocol; in order to be able to communicate with SierraChart, and thus to be able to receive market data; to feed our market visualization application: the meta_quant!

Basically, for the moment, we managed to link META_quant only to crypto currency data streams like BITMEX, BITFINEX, Binance, etc!

To feed our tool META_quant, we need both TRADES event (volume) and ORDERBOOK event (liquidity) data!

It's been a week that I'm working on the DTC protocol, in a very intensive way, in order to be able to connect SierraChart to my stand alone exe that I just created under Visual Basic !

At the moment, I have created a small bridge (like the one of IQFEED or Rithmic) which allows me to connect to SierraChart through the DTC, to send the logon request, the heartbeat, and to receive the market data !

When I use it for a FOREX type instrument like the XAUUSD; everything works perfectly!

However, as soon as I try a future instrument like the YMH23-CBOT! then I get a message from the DTC: "symbol not authorized! "

However, in my Sierrachart station, and this with my small demo account "kanter"; the YMH23-CBOT works correctly! certainly in delayed 10 minutes, but I receive well the data of prices, volumes, and liquidity!

I would like to know what solutions I can use to remove these restrictions from the CME groups futures markets?

Do I have to take a SierraChart account in service pack 11 with the DENALI feed in real time for everything to work correctly on my side?

I would really need your advice on this crucial question!

Our bridge is already finished! We have tested it and it works with instruments like the XAUUSD! However, as soon as we switch to the future, we are not authorized anymore!

Thanks for your quick feedback!

We want to push hard and far!

here is my website : https://metaquantuniverse.com


Kanter and Nico
[2023-01-10 01:54:43]
User410546 - Posts: 7
the exact message that i have received into my console, when i have tryed to access to the YMH23-CBOT via the DTC protocol is :

"market not allowed"

And that, even if it is allowed on my SierraChart station!

Thanks in advance for your help.

Niokoz and Kanter
[2023-01-10 01:55:10]
User410546 - Posts: 7
thanks for your fast response !

With a Sierrachart TRIAL account (which has just been activated); can we use the DTC protocol, and retrieve the market data for the CME groups futures instruments?

The path is as follows:

1) first of all, I have the DATA in my sierrachart, with my TRIAL account, and I know that I am in delayed, it is normal! Then, I notice that I receive the VOLUME (trade event) and liquidity data ! (orderbook event); from there everything is fine! Under SierraChart !

2) I then built, on the recommendation of the Sierrachart documentation, a bridge (an exe, stand alone software); which will make it possible to recover the data of markets of the flow of sierrachart! The data is coming for FOREX type instruments, or even crypto ! On the other hand, for the instruments of types CME group, I have the following message in the console of my BRIDGE: "not allowed".

3) indeed, when I want to reach this data (that I have however in my sierrachart station) via the DTC protocol, to receive it in my bridge; I am not authorized!

My question is to know if :

---> do I need a full sierrachart account in service pack 11? yes probably.
---> Do I need the DENALI stream with market depth data level 2?
---> do I need to get this data in real time?

I'm ready to pay the subscription, as well as the denali feed, and as well as the exchange fee of the CME group! That said, I would have liked to know, if paying, and taking a subscription, would allow me to solve this problem, and thus to know if it will be enough, to be able to receive the market data of the CME groups!

I would also like to point out that I have signed all the agreements for the CME data!

Thanks for your help!
It is important for me!

I intend to offer to the whole community a tool to visualize the micro structure of the order book which is just out of the ordinary! A marvel!

Thanks for your help guys!
[2023-01-10 09:11:31]
User410546 - Posts: 7
"market data rejected" not allowed!

(see screenshot in attachment)
imagemarket data reject market data request not allowed.png / V - Attached On 2023-01-10 09:11:10 UTC - Size: 270.25 KB - 27 views
[2023-01-10 16:06:43]
John - SC Support - Posts: 23263
You can not get access to the CME data using DTC as the exchanges do not allow it to be resent in the manner you want it. Sorry.
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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