Support Board
Date/Time: Tue, 26 Nov 2024 10:29:43 +0000
Not seeing implied orders
View Count: 421
| [2023-12-04 04:07:23] |
| voided - Posts: 45 |
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I am not seeing implied orders in any spread order book as of late. Has something changed? I can give some examples if needed. |
| [2023-12-04 04:28:05] |
| Sierra_Chart Engineering - Posts: 17179 |
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No nothing has changed. Show us an example of what you mean. However, implied orders are only going to be for outright futures. There is no implied data for spreads.
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 |
| [2023-12-05 01:33:32] |
| voided - Posts: 45 |
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Sorry, I just realized why I thought the implied orders were missing... I recently stopped using an indicator that I wrote to highlight the best bid/ask implied orders when viewing a spread. So, it seems you only support "implied out" then. I'd like to request "implied in" from outright -> spread. In many of the spreads I trade, the implied orders are often either the only ones in the book, or a significant improvement over the best resting orders. Thanks for the reply. Date Time Of Last Edit: 2023-12-05 01:33:45
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| [2023-12-05 02:15:10] |
| Sierra_Chart Engineering - Posts: 17179 |
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We do not know what this is. The exchange provides implied orders as separate market depth data, and those are merged into the standard depth, for the symbol that they are provided for. There is not anything further we will be doing with this. Because the we do not even know how it would even be implemented. Looks like you are looking for something beyond the CME data feed even provides. One thing that has been asked for is the ability to remove implied orders from the outright symbols. And we have thought about how that could be done but it has not yet been implemented. 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 |
| [2023-12-06 06:07:58] |
| voided - Posts: 45 |
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Here is an explanation of implied in versus implied out: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Orders+-+Examples I think this is the relevant documentation for MDP 3.0, but I don't see anything to specific to the two kinds of implied orders, unfortunately: https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Implied+Book Nevertheless, I see implied orders from the outrights in the spread book from other vendors, so I am led to believe it is possible. |
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