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Date/Time: Thu, 28 Mar 2024 18:49:14 +0000



I noticed today the order book now has the implied book added.

View Count: 2540

[2019-12-06 19:14:43]
IconBob - Posts: 61
I trade the ultra bond and some levels it reflects a 500% increase in orders. Any reason you are now using the consolidated book? St curious.
[2019-12-06 19:31:43]
Sierra Chart Engineering - Posts: 104368
Not a 500% increase in most cases. Here is the current example:
http://www.sierrachart.com/image.php?Image=1575660674221.png

The numbers at the bottom in black is the implied depth. The numbers at the top are the unadjusted standard depth quantities.

All of you users who are begging for implied depth, could you please explain to this user why you want it. There are hundreds of you posting. And we know that most of those posts are users who are not even using Sierra Chart provided data feeds to begin with. So your posts do not make any sense to us to begin with.
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: 2019-12-06 20:08:34
[2019-12-18 01:03:17]
IconBob - Posts: 61
Overnight data has 5 times increase. I have video. Implied volume doesn't belong in the futures book. I asked Morad, FT71 and he said having implied volume in the futures depth gives erroneous result. Can you make it an option to filter out implied volume? It really screws up contracts that are heavily spread.
[2019-12-18 03:37:36]
uM8137 - Posts: 180
From the CME:

"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."

-- https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Consolidating+Implied+and+Multiple+Depth+Books

If this is the same implied book being discussed here, then it is certainly an important part of presenting an accurate book.

Why would you want to discard the most recent updates to the inside quotes?
[2019-12-18 03:45:47]
Sierra Chart Engineering - Posts: 104368
Do not treat that language from the CME as if it is the word of God because it is not. Implied depth are not real orders, and there is no guarantee, that that generated depth, will result in executions, as those orders move to the best bid and ask price due to the price relationship between the legs of the spreads and the spread orders.

If it made sense for implied depth to be included, the CME would do it themselves. It makes no sense to exclude it if it is actually meant to be part of the standard order book.

Implied depth is primarily useful for non-front month contracts.
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: 2019-12-18 03:46:56
[2019-12-18 04:12:32]
Sierra_Chart Engineering - Posts: 13609
In response to post #3, we understand what you are saying. Could you please post your comments here about this:
bids offers closes to price on market depth historical graph

It is hard for us to make this an option. Either we just have to take it out which is no problem or we just have to leave it.

However, can you tell us what symbol you are referring to and at what time and time zone. This is what we currently see for ZBH20 (refer to attachment).

The top is the standard order book and the bottom is the implied depth. The implied depth adds very little at this time. Below 20%. And certainly not 500%.

Update: We see that you are mentioning ultra bonds (UB). Yes we do see what you mean in that case. Our example is with ZB which is different. However, we are not seeing up 500% difference. More like 200% at one level.
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, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2019-12-18 04:17:36
imageZBH20 order book 2019-12-17_201019.png / V - Attached On 2019-12-18 04:11:41 UTC - Size: 19.14 KB - 468 views
[2019-12-18 05:17:39]
uM8137 - Posts: 180
> If it made sense for implied depth to be included, the CME would do it themselves. It makes no sense to exclude it if it is actually meant to be part of the standard order book.

You need to read the section was cited and actually understand the CME documentation. Go through the table examples slowly and methodically.

The implied depth are real orders. They update the 2-level book of the most recent insides. These most important and frequently updated values are published separately from the rest of the deeper orders for bandwidth efficiency purposes; since these are the most important and most frequently updated quantities, it makes sense not to have to duplicate the rest of the book in the packets when these are updated. The CME makes it very clear that to have an accurate book you must merge the two books they publish. Only together do you get the "standard book" with the complete picture.

I think the name "implied book" may be confusing you. There is no requirement that the "implied book" updates contain only implied legs from a spread.
Date Time Of Last Edit: 2019-12-18 05:56:10
[2019-12-19 17:02:50]
Sierra Chart Engineering - Posts: 104368
We gave this some thought, in response to the original post, what we can do is exclude implied depth from ultra bonds. That is not a problem.
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: 2019-12-19 17:02:57
[2019-12-19 17:30:57]
uM8137 - Posts: 180
> We gave this some thought, in response to the original post, what we can do is exclude implied depth from ultra bonds. That is not a problem.

Ugh. Some of us want correct insides on UB.

How about a 2nd symbol, like UBZ19*, along side of UBZ19, to reflect whether the inside/implicit book is merged. UBZ19 can mean merged, comparable to CQG and others. UBZ19* can mean not merged.

I'm not wed to '*'. That is just a suggestion for symbology. Find something that works easily with the existing code base. Maybe an _EXIMP suffix or something else.
Date Time Of Last Edit: 2019-12-19 17:44:08
[2019-12-20 13:07:49]
IconBob - Posts: 61
Zombiekray: I’m interested in how you trade the UB using the implied volume.
[2019-12-22 02:13:33]
Sierra Chart Engineering - Posts: 104368
Some of us want correct insides on UB.

We will continue to include the implied depth. We only have one user raising a question about this and many more who want it.
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
[2020-01-07 20:16:50]
IconBob - Posts: 61
see attached.
Private File
[2020-01-07 21:05:32]
uM8137 - Posts: 180
@IconBob, the attached "Private File" isn't viewable. perhaps SC support only can see it.
[2020-01-07 22:02:14]
Sierra Chart Engineering - Posts: 104368
Yes only we can see it. Some of the questions relate to the performance impact of implied depth. Including implied depth, is done in such a way that the performance impact is really next to nothing. This is what made the implementation very difficult.

And actually there are going to be market depth data processing optimizations which will be released over the next couple weeks which also would greatly offset any small performance impact of the implied depth.
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: 2020-01-07 22:02:35
[2021-03-24 16:24:00]
IconBob - Posts: 61
OK, Now I have Package 12 which includes MBO. Why do I see implied orders in the bid and ask? drives me crazy with oil and ultra bond.
[2021-03-24 18:37:25]
uM8137 - Posts: 180
Out of curiosity, what other data vendor feed do you use that doesn't merge the two update types as the CME says you must for correct inside prices? It can't be CQG or Rithmic because they match Denali, they do the same.
Date Time Of Last Edit: 2021-03-24 18:38:40
[2021-03-24 18:47:48]
Sierra Chart Engineering - Posts: 104368
Why do I see implied orders in the bid and ask?
The market by order data does not change of the existing market depth data.

as the CME says you must for correct inside prices?
The CME does not say that this must be done. And the CME documentation is not some kind of word of God. It does have errors and omissions.

If it made sense that this needs to be done they would do it themselves. The very fact that the data is separated (Standard and implied market depth data), shows that they do not want the true limit order book being affected by implied orders.
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: 2021-03-24 18:48:43
[2021-03-24 18:51:21]
uM8137 - Posts: 180
> The very fact that the data is separated (Standard and implied market depth data), shows that they do not want the true limit order book being contaminated by implied orders.

No. Re-read the docs again. The links are above.

It is done for efficiency purposes, to keep the most frequent update small.

The "implied" updates almost always include non-implied prices too. It is just a deceptive, poor, naming choice.
Date Time Of Last Edit: 2021-03-24 18:55:04
[2021-03-24 19:17:48]
IconBob - Posts: 61
Rithmic has no problem separating implied orders.

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