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Direct MessagesDate/Time: Wed, 24 Apr 2024 05:39:48 +0000
Post From: Information About Denali / Who is Denali?
| [2019-12-11 02:21:26] |
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1. As you know from that one thread which lacks civility, we are working on the implied market depth among all of our other massive amount of development we have to do and support as well. We do have the one last known issue resolved that it is being tested right now on the delayed feed and we see no problems. If we run two days straight without any issues we can release it to the live feed. The CME has no requirement for implied depth. It is a completely separate category of depth. We passed all necessary certifications with the CME for the data feed and certified that that the Denali market depth, matches the CME provided market depth exactly. That is certified and verified. 2. We expect to have this out next week. We could get it out this week but it requires an update of our order routing Sierra Chart processes, and those have to undergo careful testing before we do that. implied depth sheds some dark light on Denali It really does not from our perspective because we have a much greater insight of the actual facts.And one question we have about implied depth, and this is something that we really do not know the answer to, is how often when the actual market reaches those implied depth levels, do those implied orders remain or get cleared under the circumstance where the current spread of the legs does not actually meet the spread orders. So the question is to what effect, is the implied depth really reliable. Which is the whole reason it is a separate category to begin with. Otherwise the CME would just include it themselves. What is the purpose of making it separate feed. And is the reason, why CTS does not provide this by default on their API, and even CQG makes it optional in their front-end. Now having said all of this, we started implied depth support about six months ago in response to just one user asking about this. Although they were not specifically asking about implied depth, we knew that is what they wanted. Although we only supported the first level of the depth, to ensure a tighter spread on non-front month outrights. And another interesting thing, is that as we were looking today at other feeds to seeing if they have implied depth we noticed one data feed that we support, that does not even do the merging properly and is simply giving erroneous depth quantities at the top two levels. What do you think about that. Why is it the CME is providing this as a separate stream when they can merge it themselves and do it properly and have everyone deliver it consistently? 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: 2019-12-11 02:39:35
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