Support Board
Date/Time: Wed, 05 Mar 2025 18:24:34 +0000
Orderbook data
View Count: 715
| [2022-01-09 04:58:29] |
| User5044343 - Posts: 68 |
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I've been collecting orderbook data ( records 122, 140, 141 ) for F.US.EPH22 ( E-mini futures march 2022 contract ). I'm investigating a particular millisecond, 1641572372525. The issue I found is that in one batch of the 140 record, with a timestamp of 1641572372525. It contains over 800 MARKET_DEPTH_DELETE_LEVEL enums ( quantity 0, on the ask side). Thats over 800 different price points that go to 0 on the orderbook. Obviously that isn't possible and I must be looking at this the wrong way. In the next batch of orderbook updates, with the same time stamp, the price levels get MARKET_DEPTH_INSERT_UPDATE_LEVEL enum. My questions are as follows: Should I be grouping the MARKET_DEPTH_DELETE_LEVEL and MARKET_DEPTH_INSERT_UPDATE_LEVEL by timestamp instead of the the batches that they get grouped by ? If not by timestamp what is the proper way to group orderbook delete/updates ? Date Time Of Last Edit: 2022-01-09 17:55:26
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| [2022-01-09 21:09:47] |
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You need to process the market depth update records, in the order in which they exist in the market depth data file. It sounds like there was a deletion of all the levels and and they were re-added. We are not sure why that is the case. It is going to be dependent on the information from the source data feed. 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 |
| [2022-01-11 04:30:09] |
| User5044343 - Posts: 68 |
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I process the data as I get it from the DTC server feed when requesting type 102 and receiving 140. I process it in order received. I find it very odd that there would be a delete on that large of a scale, but if you are saying it legit and it must be how cme sends it. |
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