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Clarification regarding market data

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[2023-06-26 04:58:47] #1 [Go To First Post]
AntoineOpala - Posts: 66
I am completely new here and sorry for opening this thread, but I couldn't find any clear and definitive answer anywhere. I have been using Interactive Brokers to daytrade stocks (NASDAQ and NYSE only) directly on the DOM. Trader WorkStation being limited in many regards, I am switching to Sierra Chart. I am confused whether it's in my interest to keep paying Interactive Brokers for their level 2 live data (costing me approximately 16USD/month) or forget about that and subscribe to a Denali feed, which sounds much better to use. Which specific Denali feed would be appropriate for my usage? Level 2 is a must. Both NASDAQ and NYSE are needed. NASDAQ TotalViews seems like the one. I would simply like your say. Date Time Of Last Edit: 2023-06-26 05:08:27

[2023-06-26 07:24:53] #2 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
You will want to use Service Package 10, 11 or 12: For Sierra Chart pricing, refer to this page: Description of Service Packages and Pricing And you will want to activate the NASDAQ TotalView exchange: Denali Exchange Data Feed: Nasdaq TotalView Data Feed Notes 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

[2023-06-26 11:52:08] #3 [Go To First Post]
AntoineOpala - Posts: 66
Thank you for taking the time to respond.

[2023-07-03 12:31:37] #4 [Go To First Post]
AntoineOpala - Posts: 66
I have subscribed to Denali's NASDAQ TotalView and US Equities Consolidated Tape exchanges. When opening the DOM for a stock, only its top of the book shows up by default. I have to manually add the extension -NQTV after every symbol I enter to see its level 2 data. Is it normal? How to make level 2 data appear right from the start on every symbol? Only a very limited amount of the total market volume appears after I've added the -NQTV extension. It's as if a constant choice has to be made between : 1. Seeing full volume at the cost of only having top of the book. (example symbol: AAPL) or 2. Getting level 2 data at the cost of only seeing a fraction of the volume that comes from NASDAQ (example symbol : AAPL-NQTV) Back when I used Interactive Brokers' data, both were simply merged into one. Level 2 was visible from any symbol without first having to add -NQTV, and the volume there was full.

[2023-07-03 13:27:35] #5 [Go To First Post]
John - SC Support - Posts: 36350
What you state is exactly the situation. We have two options: - NASDAQ TotalView - U.S. Equities Consolidated Tape The NASDAQ TotalView has Market Depth data, but it is not the full volumes for the symbols. The U.S. Equities Consolidated Tape has the volumes, but no market depth data. We are working on combining these, but this is where it is at the moment. For more information on the NASDAQ TotalView exchange, refer to the following: Denali Exchange Data Feed: Nasdaq TotalView Data Feed Notes For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-07-03 13:53:51] #6 [Go To First Post]
AntoineOpala - Posts: 66
Using Interactive Brokers as my trading platform, I have just tried placing an order on a -NQTV symbol but it instantly canceled itself : "error" shows next to it in the trade order window. I'll sadly have to go back to InteractiveBrokers' data even though it's far from perfect, in the meantime. I hope you'll be able to combine both soon.

[2023-07-03 20:52:12] #7 [Go To First Post]
John - SC Support - Posts: 36350
With Interactive Brokers you need to use the "Trade and Current Quote Symbol", since they use such odd symbols. Refer to the following: Chart Settings: Trade and Current Quote Symbol (text box) (Chart >> Chart Settings >> Symbol >> Symbol menu) You will also want to set the option for "Use as Trade Only Symbol" to "Yes". Refer to the section just below the above one. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-07-04 09:37:10] #8 [Go To First Post]
AntoineOpala - Posts: 66
Up to now, I have been entering the most basic "AAPL" type of symbols with Interactive Brokers data. Charts have been displaying fine. The only real problem is the DOM displays level 2 data in a very strange, jumpy and jittery way at least with this symbol format. Here's a 15-second YouTube video showing the problem at hand: https://www.youtube.com/shorts/G4FmsHNHnhU On the left, Sierra Chart's DOM shows bid/ask sizes which constantly flick on and off. On the right, Trader WorkStation's DOM shows the same numbers in a stable manner. I'm sure this is because of the wrong symbol format being used, isn't it? To trade AAPL for example, would AAPL-STK-ISLAND be the proper symbol to enter? If not, what else would be correct? Using the latter symbol would still make every linked chart show only a fraction of what's really happening in the overall market, since only data coming from NASDAQ would appear. Is there a way to set charts to the broader AAPL while simultaneously keeping the linked DOM set to the narrower AAPL-STK-ISLAND? Date Time Of Last Edit: 2023-07-04 23:51:13

[2023-07-05 13:00:04] #9 [Go To First Post]
John - SC Support - Posts: 36350
We looked at the video you reference, and what you are seeing should not be occurring. What data source were you using at the time when you took the video? If it is from Interactive Brokers, then you need to try the Denali Data and see if you have the same issue (we see you are setup to get both the NASDAQ TotalView and U.S. Equities data from us). Also, what are the symbols set to for "Symbol" and "Trade and Current Quote Symbol"? And is the option for "Use As Trade Symbol Only" set to "yes" or "no"? In order to get the data from us and trade with Interactive Brokers, you need to put in our symbol for the instrument in the "Symbol" field (such as AAPL or AAPL-NQTV). Then you would enter the Interactive Brokers symbol in the "Trade And Current Quote Symbol" (such as "AAPL-STK-ISLAND"). Make sure the option for "Use as Trade Symbol Only" is set to "Yes". For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-07-05 13:15:06] #10 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
We want you to test that symbol with the below configuration. Not when using Interactive Brokers. That only adds further confusion and unknown potential problems. First install another installation of Sierra Chart for this: Using Multiple Data and Trading Services at the Same Time To access historical and streaming market data independent from your Trading service. Follow these instructions. Set "Global Settings >> Data/Trade Service Settings >> Current Selected Service" to "SC Data-All Services". Press "OK" And then translate the symbols in your Chartbooks and Sierra Chart using this "Edit' menu command: Edit Menu: Edit >> Translate Symbols To Current Service (Translate Symbols to Current Service) You can then use the data provided by Sierra Chart independent of your trading service. 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: 2023-07-05 13:15:45

[2023-07-05 23:22:01] #11 [Go To First Post]
AntoineOpala - Posts: 66
In response to post number 10, I have done what you wrote. I have installed a second Sierra Chart instance and set its data to SC Data-All Services. [M] is present on charts. Top of the book is shown. For level 2, I'm entering **-NQTV symbols but part of the bid/ask quantities are absent. Please view my first attached picture for an example: According to TWS, 300 bids exist at $113,70. Sierra Chart displays none at this price. According to TWS, 5500 bids exist at $113,65. Sierra Chart displays only 25. Besides, placing an order in the second instance of Sierra Chart automatically turns trade simulation mode on. Live trades still have to be taken in the first instance. ------ In response to post number 9, I was indeed using Interactive Brokers data in that video. Because the Denali feed doesn't yet consolidate NASDAQ TotalView and U.S. Equities into one, it is worse for me to use. My trade entry and exit decisions are determined by volume and how the current price compares to where other buyers/sellers are entering their orders. Thus, not seeing both simultaneously is a dealbreaker. It's either I'm viewing full volume by entering AAPL, or viewing level 2 data by entering AAPL-NQTV. I would need both at the same time. While I understand some other traders may not be bothered by this, my style of trading is off because of this. That is why I've persisted on using Interactive Brokers' data. The downside is a terribly jittery display of level 2 prices. Distinguishing "symbol" and "trade current symbol" ("use as trade symbol only" being set to yes) works fine for level 1 symbols such as AAPL. Level 2 symbols such as AAPL-NQTV miss some of the bid/ask quantities just like in the first example above. Please view the second attached picture. Would mixing data feeds with DTC server be a solution?


Image 1 - Incomplete level 2 data in new instance.jpg / V - Attached On 2023-07-05 23:21:33 UTC - Size: 568.03 KB - 111 views Image 2.jpg / V - Attached On 2023-07-05 23:21:44 UTC - Size: 460.54 KB - 119 views

[2023-07-06 13:43:12] #12 [Go To First Post]
John - SC Support - Posts: 36350
The reason for the difference in the Bid/Ask is that the NQTV Market Depth data is only for the NASDAQ exchange, the same as the volumes for that data feed. It is not the consolidated Market Depth data. We are working on putting everything together, but it is still a works-in-progress. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-07-06 15:07:17] #13 [Go To First Post]
AntoineOpala - Posts: 66
Alright. Thank you immensely for all the time you've taken to reply. You truly are one of the best supports I've ever seen. If anyone else facing the same problem reads this thread, I will be getting an additional API specifically for its DOM. It will manage level 2 data in a consolidated way as of right now. Sierra Chart having the best charts in the business, I will keep using it for its charts. When/if Sierra Chart manages to consolidate the market depth data for US stocks, I'll probably ditch the other API and do everything here. Interactive Brokers can be tough to deal with. In some countries, it's unfortunately the only close-to-good broker we have for equities.

[2023-07-09 10:26:58] #14 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
This will be coming in about a month or so: When/if Sierra Chart manages to consolidate the market depth data for US stocks, I'll probably ditch the other API and do everything here. 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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