Support Board
Date/Time: Mon, 03 Feb 2025 17:06:26 +0000
Post From: why is the implied book not included?
| [2019-11-05 21:57:33] |
| uM8137 - Posts: 183 |
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It has been a week since I asked this question. There has been no reply (to Sierra Data Feed - Depth Levels Available on Crude Oil Futures | Post: 195670 ), so I guess I will ask again in a top level new thread. in Sierra Data Feed - Depth Levels Available on Crude Oil Futures | Post: 152621 > [2018-07-18 17:21:43] SC Support Writes: > This means CQG market depth data is inaccurate. That we are 100% certain of. Unless they are including the implied order book. We do not. Could SC elaborate on why the implied book is not included? When I read the CME documentation they seem to say that this is necessary (their word is "must") in order to give an accurate book. https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Consolidating+Implied+and+Multiple+Depth+Books "The book update message for a Market by Price (MBP) multiple-depth book reports modifications to prices, quantities, and order count; the data block for an implied prices book reports modifications to prices and quantities. The MBP multiple-depth book should be used in conjunction with the implied prices book to create an accurate book for all contracts with implied functionality. To create a consolidated book, the multiple-depth book and the implied book must be built and managed separately, then consolidated to reflect the current state of the market." If SC is doing this everywhere, it would explain why people think your feeds (e.g. Rithmic) are lagging. You are dropping the most recent updates to the inside book sent as implied book updates. |