Support Board
Date/Time: Sat, 01 Mar 2025 16:36:44 +0000
[User Discussion] - API Sample for Receiving Denali MBO data in real-time
View Count: 863
| [2021-10-01 20:40:36] |
| Sierra123 - Posts: 27 |
|
I have reviewed what I could find in the sample code and online documentation but not yet found what I am looking for. I see the functions such as sc.GetBidMarketLimitOrdersForPrice, which I can query to find out what is already added to the order book. I want to be able to access the info earlier. I want to develop logic that continually watches for every add, change, and delete message that comes from the Denali feed for the orderbook, and manage my own internal structure of the orderbook. For example, while (x=ReceiveOrderBookEntry) { if (x.type == ADD) { manage ADD Operation } else if (x.type == CHANGE) { manage CHANGE Operation (e.g. price or size change) } else if (x.type == DELETE) { manage DELETE operation; } } I assume each order message would contain at least the following: orderID size price bid/ask Can you direct me to the appropriate APIs and / or sample code? |
| [2021-10-03 19:19:12] |
| John - SC Support - Posts: 38292 |
|
What you are wanting is the actual data feed from the exchange. That is not available from us. Your only option would be to buy it direct from the exchange.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-10-03 21:00:42] |
| Sierra123 - Posts: 27 |
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I'm not sure I understand. The API's you have will let me access every order which is already on the order book, but then once I have that information, how do I determine when there are any changes, such as another add, a cancellation of an order, or a change in an existing order? Are you saying I would have to reload the entire order book a 2nd time, and then compare the differences between the first time I loaded it and the 2nd time? Thanks |
| [2021-10-03 21:56:30] |
| John - SC Support - Posts: 38292 |
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From what you originally wrote "I want to develop logic that continually watches for every add, change, and delete message that comes from the Denali feed for the orderbook, and manage my own internal structure of the orderbook", we were telling you that the information you were looking for was only in the original data from the exchange and that it is not something you could get from us. We still do not see a way to do what you want, as even if you keep track of changes, you do not know if there were trades at that level that caused a removal or a deletion, or if one or the other and then an add. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-10-04 17:13:44] |
| Sierra123 - Posts: 27 |
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So in your opinion, what are the primary purposes/ uses of having the MBO data available in Sierra? Is it to see what is on the orderbook at any given time, and to be able to track where a particular order is in the stack of orders at a given price? I do see those capabilities, but are there other uses? Again, I've subscribed to this feed to make good use of it, but my ideas on how to use have not yet aligned with features that you may have envisioned or enabled yet. |
| [2021-10-05 15:17:49] |
| John - SC Support - Posts: 38292 |
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Yes, the primary purpose is to see the breakdown of the individual orders that make up the order book at that level and to be able to track your individual order. We have made this a User Discussion to allow others to give their thoughts on how to use the MBO data. 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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