Support Board
Date/Time: Wed, 12 Mar 2025 03:44:11 +0000
Post From: Available: More Market Depth Levels for CME Futures with SC Exchange Data Feed!
| [2018-09-21 22:17:51] |
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At this point we are not comfortable with more than 40 levels. We were monitoring the market by order data for ESZ18 and it was quite clear that the calculations were 100% accurate. This is easily verified by looking at the 10th and 11th depth level. Sierra Chart maintains two sets of market depth. The first 10 levels provided by the exchange and then the market depth built from the market by order data, which consists of all levels. So when you see a price and quantity at level 10 move to level 11 and you notice that the quantity and number of orders is identical, then this is a clear validation that the market by order calculated depth is accurate since you are seeing basically from one moment the exchange calculated depth at level 10 and then you see the market by order calculated depth at level 11. 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 |