Support Board
Date/Time: Tue, 11 Mar 2025 17:43:42 +0000
Post From: Denali data feed for algorithmic trading?
| [2022-03-31 00:33:24] |
| User814333 - Posts: 13 |
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I’m new to Sierra Chart and have a few questions about the Denali datafeed from the CME group. This is in regard to using it for algorithmic trading. 1. How often is live data from the exchange uploaded to the Sierra Chart data servers? Just wondering how long it takes for a new order on the exchange to appear in the SC datafeed. 2. Is the data cleaned in any way by the server (i.e. zero/negative prices removed, duplicate data removed, etc). I don’t know how much of this comes from the exchange vs the data providers, but just thought I’d ask. 3. How is data provided to the clients? For example, does SC use a publish/subscribe mechanism where clients subscribe to the symbols they want to follow? 4. Is there anything that would prevent the clients from storing the data they receive in a local data base? For this I’m assuming a custom ASCIL study would be needed, but I’m just wondering if it’s possible. The idea would be to have low latency access to recent data for algorithmic purposes. I’m just curious if the CME Denali feed would be suitable for low latency (tens of millisec level) algorithmic trading (not the ultralow HFT stuff, as that’s at another level). Thanks for any feedback on this. |