Thanks for your patience regarding your question. As a follow up to Matt’s previous response, I have reached out to Rithmic’s API Support team in regards to the questions you had.
According to Rithmic API support (specifically addressing your 3rd question):
"There are a number of trading applications which use RAPI+. Whether one can record data using these apps we don’t know. One would have to ask the app vendor directly to find out whether their app supports the functionality.
I don’t know what market data license agreements might apply, so I can’t comment on that area, but technically, it is possible to write a program which records market data with RAPI+."
Based off Rithmic’s response, it seems that this type of feature would need to be done on the platform side of things, not the API. So I would recommend sticking with how you have been doing it previously, having Sierra Chart record, retrieve, and load various prices and volume sizes.
In terms of advantages over one another, it is truly hard for us to determine this as we do not take an biases with our data providers or platform vendors. Each have their pros and cons, but I would not say one data feed or it’s API has any obvious advantage over the other. One of the major things to consider are the data feeds that your front end platform can accept. Another thing to consider is market depth and historical data. Rithmic contains all levels of market depth for the entire Globex and also supports continuous contracts dating back to the creation of each instrument on the CME. On the other hand, CQG is limited to 10 levels of depth and does not the historical data that Rithmic does.
I hope you found these responses helpful!
Let us know if you have any further questions,
Optimus Futures Support