Support Board
Date/Time: Sat, 30 Nov 2024 00:41:01 +0000
[Locked] - Identifying StopLoss and Iceberg Orders via CME MBO Data
View Count: 7029
| [2020-09-24 19:41:26] |
| User267701 - Posts: 66 |
|
Greetings, #1 Is SC currently considering to add the feature mentioned in the title? Afaik, the denali datafead is MBO based and bookmap is offering this in an addon. |
| [2020-09-25 06:02:26] |
| |
|
You cannot identify stop orders in the market by order data because it does not contain those orders. And we are also not sure how you would identify orders that have a different display quantity and are not showing in the market by order data or show up with a smaller quantity. Sounds like a lot of nonsense to us what they are offering. 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: 2020-09-25 06:02:37
|
| [2020-09-25 10:19:38] |
| User267701 - Posts: 66 |
|
Sure, single orders arent labeled as stoporder. Bookmap is claiming their addon is 100% !!! accurate. 80% might be closer to the truth but still ENOUGH!!! Imagin a hitratio in trading would be this high. They claim to have algos which can distinguish between different ordertypes by analysing HOW orders come into the market and what the result is. It sounds kinda logical for the iceberg orders: You have a price level that gets reloaded again and again and again with small orders and absorbs a decent amount of volume. I think all those smaller orders are still connected somehow to a bigger hidden order via order id IF its not a synthetic Iceberg order. bookmap:"It's essential to understand that exchanges do not report Iceberg orders via market data. As demonstrated above, even with highest quality of market data, untouched by data vendors in between, there are limits of what can be detected even in theory: The size of the hidden part of the Iceberg order cannot be detected. The presence of an Iceberg order and its displayed size cannot be detected before it gets executed. The moment of placement of an Iceberg order cannot be detected in advance, however given the MBO data, it may become known based on its Order ID once the Iceberg gets detected for the first time. The moment of Iceberg order full execution can be detected instantly with MBO data, or after the next execution at the same price with MBP data. The moment of Iceberg order cancellation can be detected only with MBO data given that it was executed at least once and detected. Regardless of market data quality, any Iceberg tracker is an estimation. Its accuracy depends on the quality of market data and on the tracking algorithm of course. Bookmap offers 3 different Iceberg tracking algorithms: ......" more here: https://bookmap.com/wiki/Iceberg_Orders_Tracker StopOrders are a different beast. I guess its based on this: "Because trading is interactive process, even relatively small additional activity would impact the data and also trigger different reactions of other market participants, creating a cumulative effect much stronger than added activity. Such cumulative effect of tiny actions is similar to behavior of chaotic system, i.e. where infinitesimal differences in the starting conditions lead to drastically different results as the system evolves as shown on this animation. " So its no hocus-pocus. Its good enough and an additional confirmation before taking a trade. You can see it in the tape as well but only if you have already a trained view. Visualising it, like bookmap does, is helpfull even for the tape reading pros. Bookmap does not show you in advance where those order types might be. Instead it indicates the time range in which iceberg-/stop orders might have went off, identified by characteristics bookmap studied in detail. But i guess you guys have other plans/no interest. In this case...would it be possible for SC programers to accomplish something like this with ACSIL ? Date Time Of Last Edit: 2020-09-25 12:22:37
|
| [2021-07-17 18:47:31] |
| User263664 - Posts: 23 |
|
From the CME website: Iceberg OrderIDs Exchange-assigned OrderIDs are unique per order and are consistent for the life of the order. When CME Group-held iceberg orders (referred to as native icebergs) have displayed quantity refreshed, the refreshed order will have the same OrderID as the original order. For those concerned this function gives other participants greater ability to detect presence of iceberg, we recommend evaluating third party offerings that include ISV-held iceberg orders (synthetic iceberg where total quantity is managed off-exchange by ISV server). Refreshed quantities from these systems are treated as new orders to the exchange and receive a new OrderID. CME Direct will add synthetic iceberg support in the August 2017 release. Source: https://www.cmegroup.com/education/market-by-order-mbo.html |
| [2021-11-30 14:34:06] |
| Matt NL - Posts: 91 |
|
This would be awesome! Please tell me it's possible
|
| [2022-02-09 18:16:23] |
| Borubar - Posts: 17 |
|
+1
|
| [2022-03-28 06:02:08] |
| ebfsantos - Posts: 4 |
|
Any consideration of implementation of this idea?
|
| [2022-08-30 13:27:14] |
| User911964 - Posts: 7 |
|
This would be great cor Sierra users. Please consider this feature.
|
| [2022-09-15 19:40:17] |
| User411647 - Posts: 19 |
|
+1
|
| [2022-09-15 22:46:15] |
| User90125 - Posts: 715 |
|
+1
|
| [2022-09-16 04:03:41] |
| jeden8l - Posts: 48 |
|
+1
|
| [2023-01-08 08:24:04] |
| aviat72 - Posts: 36 |
|
+1
|
To post a message in this thread, you need to log in with your Sierra Chart account: