Support Board
Date/Time: Sun, 16 Mar 2025 01:59:28 +0000
Post From: Cumulative Delta and MBO
| [2022-08-02 12:53:43] |
| User951238 - Posts: 1 |
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When setting up a CVD chart and splitting it up by order size, how is order size calculated? I am using Denali/Teton for my data feed on the ES. I know that it used to be difficult to get a feed that showed the actual order quantity and not just the orders it filled against. So how does Sierra/Denali handle this? If I set a cumulative delta to only show trades over 100 lots and I getting a true 100 reading of market orders over 100 lots regardless of how many orders they filled against or will only 100 lot orders that filled against other 100 lot orders show up the way the CME used to report it? |