Support Board
Date/Time: Thu, 23 Jan 2025 02:39:50 +0000
Post From: Market By Order Test Release
| [2018-03-18 21:52:55] |
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For users of the Sierra Chart Exchange Data Feed, we have released market by order data from the CME for the purpose of creating additional market depth levels and showing the number of orders at each level, on one of the servers for the GC futures. We will be monitoring the performance of this over this week. Attached is an example. To see the number of orders at each price level you need prerelease 1719 or higher. We are still quite concerned as to the impact of processing this data during very active times in the market. And while it almost certainly is going to have a latency impact, we just hope it does not create an impact of anything more than 100 ms in the worst cases on average. Our general strategy is that we are going to limit it to outright futures, and only a select set of contracts. The processing of the data has also been optimized as much as reasonably possible. There is an additional step that can be taken, but we want to see if it is going to be worthwhile. Also we have limited the number of levels to 20 levels. We may take that further, but we have no intention any time soon to take that up to the full available levels. The more levels that are added, the greater the latency impact. 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: 2018-03-18 21:55:10
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 CME 20 Levels Depth GC with Orders.png / V - Attached On 2018-03-18 21:52:46 UTC - Size: 21.86 KB - 667 views |