Support Board
Date/Time: Fri, 29 Nov 2024 03:39:28 +0000
imbalance messages at open / closing auctions in TotalView
View Count: 1392
| [2022-06-21 00:09:59] |
| uM8137 - Posts: 183 |
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"The Net Order Imbalance Indicator (NOII) information is available via the Nasdaq TotalView® data feed, the Nasdaq DataStore at data.Nasdaq.com, the Nasdaq Workstation® and select market data distributors and service bureaus." -- https://www.nasdaqtrader.com/content/productsservices/trading/crosses/openclose_faqs.pdf Hi SierraChart. TotalView has opening and closing auction messages, showing imbalances in the market-on-open and market-on-close interest for stocks on Nasdaq. Could SierraChart make these messages available to us? It is of interest since a large percentage of the daily volume will trade at these times. Thank you. |
| [2022-06-21 22:13:07] |
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Yes we are aware of this. Not sure exactly how we would handle it though. We will look into it.
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 |
| [2022-06-22 00:18:01] |
| uM8137 - Posts: 183 |
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Prima facia, one would imagine defining a new DTC message for auction messages, similar to MARKET_DATA_UPDATE_SESSION_NUM_TRADES, MARKET_DATA_UPDATE_OPEN_INTEREST, or MARKET_DATA_UPDATE_SESSION_VOLUME. It could be named MARKET_DATA_UPDATE_AUCTION_IMBALANCE, for example, and contain all the fields from the Nasdaq NOII imbalance messages in TotalView. Date Time Of Last Edit: 2022-06-22 00:18:23
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| [2022-06-24 04:06:37] |
| uM8137 - Posts: 183 |
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MARKET_DATA_UPDATE_NASDAQ_NOII_AUCTION_IMBALANCE might be even better, as it is more specific. Specific is better for APIs, for future compatibility; the NYSE will have different fields, if you were to support them in the future. For GUI presentation, here is what one platform's display looks like. It appears as a very straightforward spreadsheet like table. https://portal.sterlingtradingtech.com/product-tutorials/sterling-trader-pro/noii-imbalance-monitor Date Time Of Last Edit: 2022-06-24 04:07:07
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| [2022-06-24 05:51:48] |
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Yes there will be a separate DTC message and the data will be displayed in the quote board. There will be new quote board fields added for this.
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 |
| [2022-07-01 12:52:06] |
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We have completed the implementation of this but we are finding a problem with the data getting relayed. We are going to be working on it today.
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 |
| [2022-07-01 17:09:39] |
| uM8137 - Posts: 183 |
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Great. Thanks for the update. If it helps find them, these messages will only come before the market opening auction (about 2 minutes before, and up through 9:30am NYC time) and market closing auction (about 10 minutes before, and up through 4:00pm NYC time). So if you are looking for them in the stream, look around those time points each day.
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| [2022-07-01 17:46:08] |
| User193408 - Posts: 41 |
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talking about Nasdaq Totalview, any idea of approx when the full volumes on stocks & ETF will be available ? mega thank you Reno |
| [2022-07-01 19:13:48] |
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Imbalance data will be available as of Tuesday next week. Make sure you are running the latest Sierra Chart version for support for this. For the full consolidated tape volume, you need to use the Sierra Chart Exchange Data Feed and the US Equities exchange. Regarding when we will offer that through Denali, probably not for another 2 to 3 months. 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: 2022-07-01 19:13:56
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| [2022-07-01 19:25:33] |
| User193408 - Posts: 41 |
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oh ok i get it. ok super thank you i will dig into the Sierra Chart Exchange Data Feed and the US Equities exchange to get the full view. thank you and have a great weekend |
| [2022-07-03 15:04:53] |
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First have a look at this post: New Important Good Information about NASDAQ TotalView 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 |
| [2022-07-03 23:35:06] |
| uM8137 - Posts: 183 |
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Good stuff. I see in v2411 that SCSymbolData.h has struct s_ImbalanceData { SCDateTime DateTimeUTC; double MatchingQuantity = 0; double NonMatchingQuantity = 0; double CurrentReferencePrice = 0; uint8_t ImbalanceDirection = 0; uint8_t CrossType = 0; } m_ImbalanceData; Question: How does one recognize these messages in the stored disk format? Are they "SCID", "SCDD", or something else? Is there a constant value to distinguish the NOII messages? What values mean what in ImbalanceDirection and CrossType? Either Intraday Data File Format and/or Market Depth Data File Format would be nice to update to document this. edit: Is there a new DTC message type for NOII? Date Time Of Last Edit: 2022-07-04 00:44:49
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| [2022-07-04 09:19:48] |
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There is no storage of this data in Intraday data files. The data can be viewed through a Quote Board: Getting Quotes And it is ACSIL accessible: sc.GetBasicSymbolData() Make sure you are running the latest version of Sierra Chart: Software Download: Fast Update edit: Is there a new DTC message type for NOII? /DTC/DTCProtocol_NonStandard.h ? What values mean what in ImbalanceDirection and CrossType?
These are just populated with whatever character value the exchange sends through. We will document them.
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: 2022-07-04 09:22:35
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| [2022-07-04 09:32:36] |
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Here are the descriptions for these new fields: Getting Quotes: Field Descriptions Look at the bottom of the list. 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 |
| [2022-07-06 12:45:54] |
| User193408 - Posts: 41 |
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thank you guys for the version update just to be sure to understand the new fields : ImbalanceMatchQTY field : is it the latest order there or the cumulative imbalance ? i'm pretty sure it's the cumulative but i would prefere a confirmation. Imbalance Direction : is it the Direction of the last order ? or the direction of the cumulated orders reported in the ImbalanceMatchQTY field ? i'm not sure these question are making sense as i lack knowledge on that, but your lights would be welcomed on the here above questions. lasts questions : are the NOII fields also available through the "Sierra Chart Exchange Data Feed + the US Equities exchange" data ? good day and thank you |
| [2022-07-06 13:13:15] |
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See NOII message doc here: https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHspecification.pdf 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: 2022-07-06 13:13:25
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| [2022-07-06 13:17:06] |
| User193408 - Posts: 41 |
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thank you :) last question would need feedback ;) thx guys
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| [2022-07-06 23:38:50] |
| uM8137 - Posts: 183 |
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>> edit: Is there a new DTC message type for NOII? > Yes check the nonstandard DTC file: > /DTC/DTCProtocol_NonStandard.h Good stuff. Could we add the new imbalance message (MarketDataUpdateOrderImbalanceData / const uint16_t MARKET_DATA_UPDATE_ORDER_IMBALANCE_DATA = 10200; ) to the DTCProtocol.proto protobuf file? |
| [2023-02-24 21:32:43] |
| $tack - Posts: 87 |
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If I want to see the total net value/bias of all the NSDQ imbalances as a sum, what is the best way to do this? Essentially I want to filter on any symbol that has ImbalanceNoMatchQty > 0. And then sum the last * ImbalanceNoMatchQty for the diff between buys and sells. I assume this can be done in a spreadsheet but then I think I would have to paste in all NSDQ symbols which would be thousands of symbols and possibly very taxing on the system to do. Are there symbol limits? Would there be a lower impact way to achieve this, perhaps say programatically through ACSIL? Also does subscribing to the SC data feed get the same data for NYSE/AMEX stocks? Thanks |
| [2023-02-27 23:58:43] |
| Sierra_Chart Engineering - Posts: 17218 |
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This is impractical to do and it is not something we would help with. No there is not imbalance data for the consolidated tape data: Also does subscribing to the SC data feed get the same data for NYSE/AMEX stocks? 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: 2023-02-27 23:59:00
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| [2023-03-14 23:33:37] |
| $tack - Posts: 87 |
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I understand you're saying it's impractical. and I understand you wouldn't support it. Would you mind elaborating just a little more on why it would be impractical either from ASCIL or the SC gui? thanks |
| [2023-03-15 09:19:23] |
| Sierra_Chart Engineering - Posts: 17218 |
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Tracking many 1000s of symbols.
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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