Loading Order Flow Data

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Loading Order Flow Data

Jigsaw is an Order Flow oriented platform but we do not always download all order flow information for each chart. If you look at the S&P500 Futures right now, there's roughly 36 million Level 1 messages per day.

 

We will load regular bar data each time a chart is opened. Level 1 information will be loaded as necessary. The indicators/studies that use Level 1 history data are:

 

Charts

JT FootPrint

 

Studies

JT Cumulative Delta

JT FootPrint Stats

 

When you run one of these charts, if the Level 1 data is not in the tick database, then it will load it on demand and you will see a message like this:

 

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This may take a while, as it's downloading L1 data for a number of days. Different data providers will take different amounts of time to do this.