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Date/Time: Thu, 29 Feb 2024 17:56:00 +0000



[Sticky] [Locked] - US Equities Consolidated Tape *Combined* with NASDAQ TotalView Market Depth

View Count: 6229

[2023-08-31 14:14:32]
John - SC Support - Posts: 29517
There is not a way to combine data from different data feeds.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2023-09-13 11:20:34]
Ilana416 - Posts: 5
Hi,

Sorry if this is repetitive - Just to double check
To use AMD as an example-

I am currently ONLY subscribed to NASDAQ TotalView Exchange.

The stock symbol by itself does not work. i.e AMD does not work. The error is "download failed. Error downloading Historical Intraday data for AMD. Historical data logon error: data fiels folder not set for service code: us_equities_utp_cta-exchange.data

The only thing which works is entering in AMD-NQTV.

Once subscribed to US Equities Consolidated Tape, I would enter AMD-MBO to get the consolidated tape data with Consolidated Tape with the NASDAQ TotalView depth data?
[2023-09-13 14:11:30]
John - SC Support - Posts: 29517
Once subscribed to US Equities Consolidated Tape, I would enter AMD-MBO to get the consolidated tape data with Consolidated Tape with the NASDAQ TotalView depth data?

Once you are subscribed to both the NASDAQ TotalView and U.S. Equities Consolidated Tape, then you would use the _MBO (note it's an underscore, not a dash) to get both the bar data for the Consolidated Tape and the Market Depth from the NASDAQ TotalView. Both exchanges have to be active to be able to do this.

After you activate the U.S. Equities Consolidated Tape, if you enter a standard symbol (no suffixes - such as AMD), then you will get the consolidated tape bar data, but you will not have any Market Depth data.

Keep in mind if you use the _MBO and you are trading directly from Sierra Chart, then you will need to use the "Trade and Current Quote Symbol" in order to properly send the symbol to the trading service. Refer to the following:
Chart Settings: Trade and Current Quote Symbol (text box) (Chart >> Chart Settings >> Symbol >> Symbol menu)
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2023-09-14 02:50:08
[2023-09-14 02:50:01]
Sierra_Chart Engineering - Posts: 13013
To solve this you must update Sierra Chart to the current version:

The stock symbol by itself does not work. i.e AMD does not work. The error is "download failed. Error downloading Historical Intraday data for AMD. Historical data logon error: data fiels folder not set for service code: us_equities_utp_cta-exchange.data

This is the problem. Instructions:
Software Download: Fast Update
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, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2023-09-14 02:50:30
[2023-09-15 14:52:02]
User193408 - Posts: 35
guys, i really really struggle with the MBO feed. lots of time the depth will just not initialize itself and i guess it brings the USCT data instead of the NQTV depth.

my sierra is up to date and i just erased again all the scid and depth data from the data directory and still i can't access the depth through MBO feed. i face this problem a LOT of time, espacially on MSFT_MBO

anything i can do or check on my side ? thank you
imageNQTV_vs_MBO.JPG / V - Attached On 2023-09-15 14:46:04 UTC - Size: 85.56 KB - 215 views
[2023-09-15 15:21:05]
Sierra_Chart Engineering - Posts: 13013
Are you referring to historical market depth data? This is true. We have not yet made available historical market depth data for _MBO symbols.

We hope to have this done next week.
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, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2023-09-15 15:37:01]
User193408 - Posts: 35
thank you for quick repply.

no no not historical data. just initializing the depth on a chart is a problem.
exemple : i just created a simple SQQQ-NQTV intraday chart with 20 levels of depths, all is good (see attached picture). then i dupplicate this graph and change the symbol to SQQQ_MBO, then i have something that isnt NQTV depth...

i don't care of any historical depth data, should i change something in my sierra for the _MBO symbols just to start fine and consistently even if i'm triggering 40 _MBO symbols in my chartbook ?
imageNQTV_vs_MBO_SQQQ.JPG / V - Attached On 2023-09-15 15:34:03 UTC - Size: 90.4 KB - 217 views
[2023-09-15 17:04:49]
User193408 - Posts: 35
just tried to retrieve MBO symbols through DOMS and it seems to work fine. the issue seems to happen when the chart is downloading historical intraday data ... then the depth is not displayed correctly. it happens a lot of time on my side
imageDOM only MBO.JPG / V - Attached On 2023-09-15 16:56:24 UTC - Size: 664.9 KB - 206 views
[2023-09-15 17:16:08]
User193408 - Posts: 35
quick update : closing the MDO DOMS chartbook where all the symbols were correctly retreived and re-opening the chartbook where it is displayed through DOMCHart : for all the symbols that where previously retreived through DOMs, the depth is CORRECTLY displayed on the DOMchart. for the others, it is failing.

so it seems that there is a little issue when creating the scid or depth file when the symbol is triggered/retreived through a DOMchart.

anything i shall check on my side please let me know :)
[2023-09-15 19:06:05]
User193408 - Posts: 35
further investigation update :
created a chartbook with DOMs for 20 _MBO symbols (QQQs x3, SPY, and top nasdaq stocks)
started with 1 DOM successfully retreiving SPY_MBO depth. duplicated this DOM for the rest of 19 symbols and the depth is CORRECTLY displayed.

saved and closed the chartbook. opended it again and all 20 symbols depth were displated correctly.

closed the chartbook and closed sierrachart.

opened sierrachart and the same chartbook => all the 20 MBO symbols are NOT showing any depth.

hope this help.


********************************

update :
after setting the Global Settings > data trade service > connect on program startup => set to NO instead of yes.
reopenning sierrachart + reoppening the chartbook and THEN connect => al depth are displayed correctly on the 20 MBO symbols.

hope this help
Date Time Of Last Edit: 2023-09-15 19:23:42
[2023-09-22 04:33:32]
$tack - Posts: 43
There is not a way to combine data from different data feeds.

@SC Support, does this answer include the case where I have my own data feed and want to build a broker connector for it using DTC, if I combined all the level2 data from different data feeds on my end before sending it to Sierra, could this then be achieved?
[2023-09-22 13:18:38]
Sierra_Chart Engineering - Posts: 13013
Yes of course:
if I combined all the level2 data from different data feeds on my end before sending it to Sierra, could this then be achieved?

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, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2023-09-28 15:27:36]
Sierra_Chart Engineering - Posts: 13013
There have been questions about pulling and stacking data with _MBO symbols.

We have now looked into this. It is inherently not possible to support pulling and stacking data with _MBO symbols and it has to be considered unsupported and inaccurate at this time. We do not know if or when we would ever have a solution.
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, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2023-09-28 15:51:56]
BenjFlame - Posts: 300
Too bad, it was too good to be true :(

But are the depth levels of limit orders accurate on stocks MBO symbols?
The stocks bid/ask limit orders quantities I see on the dom or depth of market on charts, are they accurate?
Date Time Of Last Edit: 2023-09-28 15:52:35
[2023-09-29 15:18:50]
Sierra_Chart Engineering - Posts: 13013
Yes the market depth quantities at each level are accurate as they are reported from NASDAQ TotalView.
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, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2023-09-29 16:03:41]
$tack - Posts: 43
I am having similar issues with using the _MBO suffix as I don't see depth. I have not however tried restarting and some of the other tricks that a previous user posted. Is it acknowledged that there is an issue with being able to see the _MBO symbols consistently?


That being said I had another question regarding the RECENT BID/ASK column in the chart dom. I noticed that the recent bid column in the Totalview (TSLA-NQTV) chart looks very different from my consolidated tape chart (TSLA).
I understand this makes sense because there should be more volume showing up on the consolidated tape. However, there are areas on the TSLA-NQTV chart that show larger recent bid/ask that don't seem to show up in the TSLA chart dom. My question is what is the NQTV chart using for recent bid/ask is it just going off of the nasdaq exchange trades? But if that's the case, would we not also see this on the consolidated tape too?

TSLA-NQTV
https://www.sierrachart.com/image.php?Image=1696000252724.png

TSLA
https://www.sierrachart.com/image.php?Image=1696000277711.png

For example at around 253.23 there is a larger recent bid/ask value of 43XX shares. on the Totalview chart. But on the consolidated tape one, this does not show up. I know there are various factors here. But is it fair to say that the consolidated tape chart should account for that size as well?

In other words, the NQTV recent bid/ask column should reflect a subset of what the consolidated tape one has? Or is it something else?

I'm just trying to wrap my head around this as I'm paying for and spending time testing both feeds.

Thanks.
Date Time Of Last Edit: 2023-09-29 16:08:10
[2023-10-02 09:02:07]
Sierra_Chart Engineering - Posts: 13013
No definitely no problems as long if you are using a current version:
. Is it acknowledged that there is an issue with being able to see the _MBO symbols consistently?

The screenshots you have provided are too complex and we are not going to pay any attention to those we have no idea what you are trying to show us.

Yes:
My question is what is the NQTV chart using for recent bid/ask is it just going off of the nasdaq exchange trades?

No you can definitely not assume this:
But is it fair to say that the consolidated tape chart should account for that size as well?
With how the recent bid and ask columns work, there is resetting which goes on. So the consolidated tape can cause a reset of larger volume values which may not have ever become visible.

In any case, what you cannot rely on us to do any analysis in this area. We are not going to do that and it is not within the scope of our support. You can come to your own conclusions but you are not going to get any help from us.
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, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2023-10-02 09:02:50
[2023-10-22 17:34:37]
Sierra_Chart Engineering - Posts: 13013
We are aware of the problem with not receiving MBO (market by order) data and historical market depth data when using _MBO symbols. This has taken longer than expected to resolve. We expect to complete the work related to this, this week.
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, use the Teton service:
Sierra Chart Teton Futures Order Routing

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