Please add support for Sierra Chart Data Feed

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vincent
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Please add support for Sierra Chart Data Feed

Post by vincent » Fri Apr 26, 2019 11:37 am

Sierra Chart has recently introduced the capability to support up to 200 Levels of Market Depth with it's own Sierra Chart Exchange Data Feed.
At the moment it is the only datafeed , Rithmic apart, who has this feature.

If you support their datafeed, for Sierra Chart users this would result in big cost saving ;)
You can find more details about this in their forum

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Q: Will your datafeed be supported on Bookmap as well?

A: Yes it definitely can be if Bookmap simply interfaces to the DTC protocol which is very easy:

:arrow: https://www.dtcprotocol.org/

200 Levels of Market Depth with Sierra Chart Exchange Data Feed

Thank You

Serg
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Re: Please add support for Sierra Chart Data Feed

Post by Serg » Tue Apr 30, 2019 6:30 pm

Hi Vincent,

Regarding new connectivities, we mainly deal at this stage with direct exchange connection to order-by-order data, however, we can offer you a solution and it's called Bookmap Connect API. It means someone needs to develop the adapter which will allow Bookmap to connect to Sierra Chart. anyone can do it or hire developers for this purpose.

At some point during 2019 we will launch a marketplace where users can sell/license their own products (such as indicators, strategies, adapters, etc) to other Bookmap users. I can propose you or others that read this thread the following deal: you develop the adapter and you set the price tag for it so other users can purchase it (for example $15/month). And you get 70% of the adapter sales. Our team will provide necessary support for you (or developers you hire). We can discuss more details depending on the effort required from our side. My estimation of the upper bound for the cost of such project is $4-5k for data connectivity, and about the same if you wish to connect trading.

Serg
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Re: Please add support for Sierra Chart Data Feed

Post by Serg » Tue Apr 30, 2019 7:01 pm

vincent wrote:
Fri Apr 26, 2019 11:37 am
Sierra Chart has recently introduced the capability to support up to 200 Levels of Market Depth with it's own Sierra Chart Exchange Data Feed.
Please allow me to comment on this regardless of the discussion on adapter. I'm surprised that such updates are presented as achievement 2 years after CME switched into full depth market-by-order MBO data. This means that at early stages someone made bad technological decisions based on wrong assumptions. Namely, using indexed arrays to store order book data instead of maps (e.g. hashmap or treemap). The actual number of price levels can be many billions (10^9). For example, this link gives you the latest order book of BTC/USD at Bitstamp

https://www.bitstamp.net/api/v2/order_b ... sd?group=2

When I clicked on it, the lowest bid price was 0.01 and the highest ask price was 1,000,000,000 (see the last entry at the end, it looks like this: ["1000000000.00", "0.00200000", "138268380"]). This means there are One Hundred Billion price levels in steps of 0.01. This doesn't mean that each level is always occupied. And it doesn't require a billion times more traffic to handle than, for instance, a market with 100 price levels (50 on each side) because most of the activity happens on the close to market price levels. I's also easy to demonstrate that a regular laptop can process ~5 millions of data updates of unlimited depth order-by-order data faster than processing market-by-price data (where only the number of orders is known) in DTC or similar format. This is because it becomes very costly performance-wise to insert/remove elements in indexed arrays when they become large/long.

vincent
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Re: Please add support for Sierra Chart Data Feed

Post by vincent » Sat May 04, 2019 6:35 pm

Serg wrote:
Tue Apr 30, 2019 6:30 pm
Hi Vincent,

Regarding new connectivities, we mainly deal at this stage with direct exchange connection to order-by-order data, however, we can offer you a solution and it's called Bookmap Connect API. It means someone needs to develop the adapter which will allow Bookmap to connect to Sierra Chart. anyone can do it or hire developers for this purpose.

At some point during 2019 we will launch a marketplace where users can sell/license their own products (such as indicators, strategies, adapters, etc) to other Bookmap users. I can propose you or others that read this thread the following deal: you develop the adapter and you set the price tag for it so other users can purchase it (for example $15/month). And you get 70% of the adapter sales. Our team will provide necessary support for you (or developers you hire). We can discuss more details depending on the effort required from our side. My estimation of the upper bound for the cost of such project is $4-5k for data connectivity, and about the same if you wish to connect trading.
Hi Serg,
as a Bookmap global lifetime license holder, I'm not interested in product development neither by myself nor to partecipate as a betatester in the development of solutions not yet officially validated by Bookmap .
At this stage I don't see any other solution but to use the Market Depth Historical Graph integrated in Sierra Chart.

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