Support Board
Date/Time: Sat, 30 Nov 2024 02:36:01 +0000
Custom studies question and MBO question
View Count: 697
| [2022-11-11 02:04:40] |
| User887126 - Posts: 66 |
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Hi SC team, I researched the support board and could not find what i was looking for. I have 2 questions First question related to MBO. I have an MBO and can see the large orders. However, i want to know if there is a way to see what exact position they have in the queue? for example, if i see 36 lot orders at $3700.25 for ES, how can i know what queue position that specific order has? second question is programming related. i want to be able to pull data regarding my current position in the queue for a buy/limit sell order and cancel it if i am not satisfy with my queue position. how would i accomplish this? Thank you in advance. |
| [2022-11-11 10:41:49] |
| Sierra_Chart Engineering - Posts: 17267 |
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1. The orders are sorted according to their order ID and if they have a lower order ID and if the orders are left aligned for display, that means the further to left an order is, it should be near the beginning of the queue. Sierra Chart only offers the order ID and you can infer the queue position from that. We are not always sure if that is a completely accurate method to determine it due to order modifications. 2. Refer to: Automated Trading From an Advanced Custom Study And use these functions, for accessing the MBO data and the order IDs: sc.GetAskMarketLimitOrdersForPrice() 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: 2022-11-11 10:42:25
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| [2022-12-24 18:41:30] |
| Profile Trader - Posts: 174 |
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SC is 100% correct you can not accurately determine que location based on order ID. IF someone(computer) is refreshing an order to fall back in the que (spoofing) the order ID will stay the same at the CME matching engine. This is one reason why the hope has been that SC will expand the level of info offered with the MBO datafeed. Things like: 1.No size filter 2.Complete modification list(Cancel, ReplaceSize, ReplacePrice, etc. 3.Original CME engine time stamp. SC has there been anymore discussion on this around the break room table? Insight that you might be able too share? Thanks, Doug Date Time Of Last Edit: 2022-12-25 19:21:23
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| [2022-12-25 19:13:03] |
| Sierra_Chart Engineering - Posts: 17267 |
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2. There is a new DTC protocol message, that is now used in the case of an order modification for MBO data. So that has been implemented. 3. The timestamp is not provided. We would have to look into that. 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 |
| [2022-12-25 22:14:28] |
| User887126 - Posts: 66 |
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What is the relevant section in the manual regarding this? I want to test it out.
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| [2022-12-28 00:15:32] |
| Sierra_Chart Engineering - Posts: 17267 |
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Do you mean the DTC protocol message for market by order data modifications? This is the data structure: s_MarketOrdersModify You can find this in the DTCProtocol.h file included with Sierra 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
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