Support Board
Date/Time: Tue, 04 Mar 2025 14:52:57 +0000
Post From: market depth for fut spreads - accessing & recording
| [2021-12-10 15:44:51] |
| Chad - Posts: 234 |
|
Hi, I'm trying to access market depth data for futures spreads of NYMEX markets, e.g. 'NGF22-NGG22.FUT_SPREAD.NYMEX'. I have an active non-pro subscription to NYMEX exchange with depth. When I open a DOM window for a NG spread, no bid or ask quantity values are shown. For a CL spread (CLF22-CLG22.FUT_SPREAD.NYMEX), qty values are indeed shown. I've gone into Global Settings >> Symbol Settings and set 'Record Market Depth Data' to yes, and 'Number of Depth Levels to Support' as 20, for the generic symbols 'CL?##-CL?##.FUT_SPREAD.NYMEX' and 'NG?##-NG?##.FUT_SPREAD.NYMEX'. Also I added the aforementioned 2 specific spread symbols to the Symbols list and set those 2 settings to 'yes' and '20' like the generic ones. I see new .depth files created in the MarketDepthData subdirectory for the 21 'CL' calendar spreads which I've got loaded to Chart windows (with study 'Depth of Market data' enabled in each Chart). But none for the 5 CL butterfly spreads, or the 'NG' spreads (makes sense given no DOM data appearing for them). Am I overlooking something? Date Time Of Last Edit: 2021-12-10 15:58:41
|