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Search: Posts Made By: Nicolas11
Forum: Traders Hideout September 4th, 2012, 10:27 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
I have received an answer from EUREX. :) ...

I have received an answer from EUREX. :)

Reminder... I expected that:
Bid size shown in next "quote update" message after a trade at the bid = bid size before the trade minus size of the trade...
Forum: Traders Hideout August 21st, 2012, 12:07 PM
Replies: 33
Views: 18,363
Posted By Nicolas11
An update... I have received an answer from...

An update...

I have received an answer from DTN IQFeed about EUREX feed. As always with them, quick and very precise.

DTN IQFeed send to their clients exactly the data they receive from EUREX,...
Forum: Traders Hideout August 21st, 2012, 04:52 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
DionysusToast, For precise reference, here...

DionysusToast,

For precise reference, here is the documentation: Sierra Chart - Definitions of Advanced Custom Study/System Interface Members...
Forum: Traders Hideout August 21st, 2012, 03:48 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
To better illustrate the difference I see between...

To better illustrate the difference I see between CME and EUREX, below please find a comparison between ES, FESX and BUND. All with the same Sierra Chart code. All a few minutes ago.

(1) ES @ CME...
Forum: Traders Hideout August 21st, 2012, 02:48 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
DionysusToast, Thanks for your message. :) ...

DionysusToast,

Thanks for your message. :)

"There is a flaw in what you are trying to do here. I suspect it's the same thing being attempted across all platforms."

I will just answer for...
Forum: Traders Hideout August 20th, 2012, 05:26 PM
Replies: 33
Views: 18,363
Posted By Nicolas11
What about MC .NET? :becky:

What about MC .NET? :becky:
Forum: Traders Hideout August 20th, 2012, 04:52 PM
Replies: 33
Views: 18,363
Posted By Nicolas11
So, the approach is quite different between MC...

So, the approach is quite different between MC and SC.

To simplify, let's suppose that MC and SC codes are both executed every 0.1s.

MultiCharts
Each 0.1s, MC code gets the InsideBid /...
Forum: Traders Hideout August 20th, 2012, 04:32 PM
Replies: 33
Views: 18,363
Posted By Nicolas11
Jura, Is it correct to say that, roughly...

Jura,

Is it correct to say that, roughly speaking, your code is executed again and again at each new tick or after 100ms, whichever comes first?

Nicolas
Forum: Traders Hideout August 20th, 2012, 02:31 PM
Replies: 33
Views: 18,363
Posted By Nicolas11
SPMC, I think that this behaviour is normal....

SPMC,

I think that this behaviour is normal.

As you say, T&S Window only updates at each new transaction.

However, sc.GetTimeAndSales() gives more information:
- what happens at each...
Forum: Traders Hideout August 20th, 2012, 11:11 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
The platform is Sierra Chart. So there is no...

The platform is Sierra Chart.
So there is no "storage issue" as with Ninja Trader. I mean: everything is built-in.
The code is very short and uses the built-in function sc.GetTimeAndSales which...
Forum: Traders Hideout August 20th, 2012, 10:57 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
Here, we are just talking about best bid / best...

Here, we are just talking about best bid / best ask, so the 1st level in the DOM on each side.
You are saying that, if a limit order resting on the 1st levels of the DOM is cancelled, there is no...
Forum: Traders Hideout August 20th, 2012, 10:48 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
I have made a similar test with YM @ CME, for...

I have made a similar test with YM @ CME, for which I have both Level I and Level II through DTN IQFeed.
Seems "normal", as illustrated here-below.

The numbers between [] are the ID numbers of...
Forum: Traders Hideout August 20th, 2012, 08:59 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
Thanks for this suggestion. :) I am first...

Thanks for this suggestion. :)

I am first going to ask DTN IQFeed. If necessary, I will directly ask EUREX.

Nicolas
Forum: Traders Hideout August 20th, 2012, 08:27 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
Individual L1 messages. (DTN IQ Feed Level1...

Individual L1 messages.
(DTN IQ Feed Level1 feed for EUREX provides updates of best bid/best ask between actual trades, as shown in the 3 quoted lines above).
:)
Forum: Traders Hideout August 20th, 2012, 08:22 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
Thanks DionysusToast So, in the data coming...

Thanks DionysusToast

So, in the data coming from the exchange, there is/could be an aggregation between the liquidity taken out by a trade and liquidity added at the same time (?) by new limit...
Forum: Traders Hideout August 20th, 2012, 07:11 AM
Replies: 33
Views: 18,363
Posted By Nicolas11
Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?

Hi,

I have a question related to the Time & Sales (the "tape").

The tricky point is that this question may be related to:
- understanding of the tape,
- EUREX data
- IQFeed fata
- Sierra...
Showing results 1 to 16 of 16

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