Support Board
Date/Time: Wed, 27 Nov 2024 07:32:46 +0000
iceberg analysis in ASCIL with MBO data access, could you enable it?
View Count: 469
| [2023-09-16 16:38:23] |
| uM8137 - Posts: 183 |
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For doing stop run/iceberg analysis, like Bookmap does with the CME MBO data, e.g. https://bookmap.com/knowledgebase/docs/Addons-Stops-And-Icebergs-On-Chart-Indicator would it be possible to allow C++ code in an ACSIL study to analyze the MBO data alongside the level 1 execution history feed? The MBO data would need to be provided interleaved exactly with the level 1 trade execution feed; or at the very least a shared, incrementing, sequence number would be needed; tag 83 message field could be used for this purpose, if provided with both the MBO and level 1 updates; described as: Tag: RptSeq FIX Type: Int Description: MD Entry sequence number per instrument update. Reset weekly. reference: https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Market+Data+Incremental+Refresh+Tag+Usage |
| [2023-09-16 19:07:32] |
| uM8137 - Posts: 183 |
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Or heck, it would be even better to not have to implement iceberg detection in ASCIL and instead just have a built in indicator that Sierra's excellent engineers wrote and optimized.
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