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TOPIX index futures DOM data

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[2021-02-08 16:24:51] #1 [Go To First Post]
Chad - Posts: 234
Is market depth data available through one of the Sierra Chart datafeeds for TOPIX index futures? More specifically, I think what you list as 'Tokyo Topix Index; Symbol: TT' on exchange 'JPY' is the same as Interactive Brokers' listing as exchange 'Osaka Exchange' and their symbol TOPX i.e. the full-size contract. If not, are there any plans/discussions to add such? Date Time Of Last Edit: 2021-02-08 16:26:38

[2021-02-08 23:50:30] #2 [Go To First Post]
Chad - Posts: 234
As a test, I went ahead & enabled market depth data in my IB account for OSE exchange and connected SC to IB Gateway, and loaded both a Chart and DOM window...the depth data displayed correctly, so I added the study 'Write Bar and Study Data to File' in the Chart with 'Depth of Market Data' already applied, and specified the path and type of file as .txt. When I open that file, the Bid & Ask Volume/Size/Value integers are all zeroes. I do have the Bar Period Type as 'Number of Trades Per Bar' and value of 1, for tick data. Is saving market depth data like this from IB possible/allowed with SC?

[2021-02-09 15:17:50] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Is market depth data available through one of the Sierra Chart datafeeds for TOPIX index futures? No. Is saving market depth data like this from IB possible/allowed with SC? Yes. Although we do not know what the problem is though.The question is do you see the data from the 'Depth of Market Data' study on the chart. 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: 2021-02-09 15:18:00

[2021-02-09 18:47:53] #5 [Go To First Post]
Chad - Posts: 234
The question is do you see the data from the 'Depth of Market Data' study on the chart. It was showing in the DOM window, and the DoMD study subgraph showed several points/lines per data point...I can't verify the DOM arrays in a Spreadsheet Study view at the moment since that exchange is closed, but I'll check in several hours and post a screenshot.

[2021-02-10 00:07:03] #6 [Go To First Post]
Chad - Posts: 234
Correction: the DoMD study is only showing inside bid & ask; I loaded a DOM window with same symbol (TOPX-202103-OSE.JPN-JPY-10000) while connected to IB Gateway and it briefly flashes the lot sizes at other price levels in the ladder, but usually just showing inside B/A. See attached screenshots for examples.


TOPX-DOM.png / V - Attached On 2021-02-10 00:06:19 UTC - Size: 49.19 KB - 243 views TOPX-DOM-1.png / V - Attached On 2021-02-10 00:06:27 UTC - Size: 32.01 KB - 229 views Attachment Deleted.

[2021-02-15 14:27:12] #7 [Go To First Post]
Chad - Posts: 234
bump

[2021-02-22 22:00:13] #8 [Go To First Post]
Chad - Posts: 234
SCE, any help/advice on this?

[2021-02-23 13:29:16] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Update Sierra Chart to the current version for proper market depth handling for Interactive Brokers: Software Download: Fast Update This is absolutely mandatory. 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

[2021-02-25 03:15:28] #10 [Go To First Post]
Chad - Posts: 234
Okay, I upgraded to v2230 and connected to IB, loaded the Chartbook, and the depth data in the DOM window is now displaying as-expected. Not getting a .depth file generated, though. Attached is the Chartbook file, for reference. Date Time Of Last Edit: 2021-02-25 03:16:14


AsiaPac.Cht - Attached On 2021-02-25 03:15:14 UTC - Size: 4.5 KB - 412 views

[2021-02-25 15:07:24] #11 [Go To First Post]
John - SC Support - Posts: 38116
If you are not getting a .depth file, then that means that you have not set Sierra Chart to save the Market Depth data for that symbol. Refer to the information here: Replaying Charts: Replaying of Market Depth Data For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

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