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Unmatched - Volume

View Count: 1628

[2015-11-27 05:33:36]
[Go To First Post]
ejtrader - Posts: 688
SC Team - There seems to be a discrepency with the Bid + Ask Volume not being equal with the volume (few occasions).

As you can see from this image - Volume calculated is accurate but Bid + Ask Volume doesn't represent this volume. This is a 5 minute bar with CTS Data.

screencast.com/t/AZe03q5Snv

screencast.com/t/DHHzwDdMVv9N

When you get a chance - would you please review this? Please note that this is realtime bar and NOT during replay. Image also has T&S records highlighted which makes up the bar.

Also ran into similar issue in the past - post #34 - ACSIL TS Sequence during replay | Post: 74093 - Total Volume doesn't equate bid + ask Volume.

Not sure whether the issue is with CTS bid x ask data (with CME MDP 3.0) or some other issue.

PS: I am not stuck with this but the intention is bring this to your attention - in case if there is any bigger problem some where.

Thanks
Date Time Of Last Edit: 2015-11-27 05:48:46
[2015-11-27 06:07:31]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will only accept images posted by using this method here:
https://www.sierrachart.com/index.php?page=PostingInformation.php#Image

We will not do anything with this until we get a clear and simple chart image using our own specifications.

So is the problem that the Bid Volume and Ask Volume does not equal the Volume in an Intraday chart? There should never be a problem with this unless there is not Bid Volume or Ask Volume available historically. In which case those would be zero.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2015-11-27 06:07:55
[2015-11-27 06:25:17]
[Go To First Post]
ejtrader - Posts: 688
This is an intraday chart - and I am referring to a single 5 minute bar.

Attached are the images describing the issue. ( first 2 images are from today and the third image is from 11/18).
Date Time Of Last Edit: 2015-11-27 06:30:24
imageSC_5min_volume_discrepency.jpg / V - Attached On 2015-11-27 06:24:42 UTC - Size: 392.06 KB - 388 views
imageSC_TS_Records.jpg / V - Attached On 2015-11-27 06:24:51 UTC - Size: 368.14 KB - 380 views
imageSC_NumberBars_TS_Issue.jpg / V - Attached On 2015-11-27 06:29:53 UTC - Size: 256.45 KB - 365 views
[2015-11-27 06:55:58]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
We have an idea why this happens but it is a little difficult to solve. It has to do with the CTS historical data.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2015-11-27 06:59:06]
[Go To First Post]
ejtrader - Posts: 688
Thanks. Today's data / bar - was formed during realtime data - while watching the chart. Do you still think this has to do with CTS historical data?

Anyway - if it is too difficult to solve - you can ignore this issue as no one else seems to have complained on this issue.

Thanks
[2015-11-27 09:25:43]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
We found the problem. It has to do with inserted Time and Sales records in the historical data. It is now resolved.

Although part of the problem was with CTS historical data as well.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2015-11-27 09:28:04
[2015-11-27 14:10:10]
[Go To First Post]
ejtrader - Posts: 688
Thanks SC Team.

Although part of the problem was with CTS historical data as well.

curious - if the problem with CTS historical data resolved as well ?

Thanks
[2015-11-27 17:30:00]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes. It has been resolved.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2015-12-15 23:50:42]
[Go To First Post]
ejtrader - Posts: 688
SC Team - This problem seems to have popped up again ( using latest version - 1339)

Would you please review?

PS:This seems to be only with CTS but not with rithmic. Volume/Bid/Ask - standard SC studies used in the image to demonstrate the issue.

http://www.sierrachart.com/image.php?l=1450223367305.png

thanks
Date Time Of Last Edit: 2015-12-16 00:00:58
imageSC_Volume_Difference.jpg / V - Attached On 2015-12-15 23:59:49 UTC - Size: 321.53 KB - 292 views
[2015-12-16 02:45:50]
[Go To First Post]
ejtrader - Posts: 688
Don't know if it is related or even expected.

observed the following:

sc.BaseDataIn[SC_LAST][sc.Index] -- This is Correct.

sc.BaseDataIn[SC_CLOSE][sc.Index] -- This is displaying AskVolume though the study is based on the price. Is this is a valid expression? - it should have displayed the close price at sc.Index but instead displays AskVolume. Seems like a bug to me.

Thanks
Date Time Of Last Edit: 2015-12-16 02:47:43
[2015-12-16 02:55:02]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
We have done all we can with this for now. The difference is very small.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2015-12-16 02:55:57]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
SC_CLOSE is not a valid Sierra Chart identifier. It comes from the Windows operating system. It is completely unrelated.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2015-12-16 03:08:52]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will try to look at post #9 a little later, but it is not something we can get too soon. We have done all we can on it for now.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2015-12-16 14:29:11]
[Go To First Post]
ejtrader - Posts: 688
We will try to look at post #9 a little later, but it is not something we can get too soon. We have done all we can on it for now.

Thanks sc team. Agree and you can put this in non-priority tasks list.

However - got to admit this has given enough grief as I was building a custom study for which these values are important. It was more of a wild goose chase as I kept on trying to fix a non-existing problem with the code :( Would be using rithmic/CQG data until you get a chance to work on this. Though it is very minor - I just couldn't get my study to work reliably with CTS data in it's current state but no issues with rithmic/CQG data.

May be a hint - My observation has been - this is when the chart is First loaded and this is true for the very last bar in question. Otherwise when a new bar is formed during realtime - haven't noticed this volume discrepancy issue (volume != ask+bid volumes). Would update if I could locate any other patterns.

Attached is the image - which shows the data for the very last bar on 60 minute chart - which shows the discrepancy.

thanks
Date Time Of Last Edit: 2015-12-16 19:00:05
imagesc_lastbar_vol_difference.jpg / V - Attached On 2015-12-16 14:59:21 UTC - Size: 15.3 KB - 296 views
[2015-12-18 22:22:55]
[Go To First Post]
ejtrader - Posts: 688
Wanted to bring up one more issue(specific to CTS) noticed and not sure whether relevant or not.

When the feed is connected state for more than a day:

- Historical daily bar for current day - OHLC is incorrect. For example - today's high was Same as yesterday's high. Even if chart is refreshed it would stay the same ( incorrect OHLC values for latest day).
- Only way to actually fix this is to "disconnect" feed and reconnect. This would make the historical chart for latest day correct.

This is the case with multiple instruments ( ES/NQ/YM ).

Please note that observed this behavior/issue only with CTS and not the other feeds. Not sure whether CTS provides historical daily data or it would come from SC and combined with CTS.

Thanks
Date Time Of Last Edit: 2015-12-18 22:32:08
[2015-12-21 23:12:56]
[Go To First Post]
ejtrader - Posts: 688
Attached are the images demonstrating the Daily Data issues with CTS.

First image - When the datafeed is in connected mode the last daily bar is NOT correct. This also Doesn't get fixed when chart data is refreshed either.

Second image - This gets corrected after datafeed is disconnected and then re-connected.

Don't notice these issues with any other feeds/SC combination other than CTS/SC combination.

Thanks
imageSC_DailyData_issue_ContinuousMode.jpg / V - Attached On 2015-12-21 23:11:10 UTC - Size: 321.33 KB - 329 views
imageSC_DailyData_after_disconnect_connect.jpg / V - Attached On 2015-12-21 23:11:19 UTC - Size: 242.64 KB - 319 views
[2015-12-22 00:31:50]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
We are contacting CTS about this now.

Message:

Based on a report from a user, apparently the trading session high and low market data entry types are not being sent upon a new trading day resetting them to their correct values for that day.

Therefore, the high/low continue to the incorrect at the start of a new trading day until the user reconnects to the FIX server. Below are the two entry types we are referring to:

const char MDEntryType_TradingSessionHighPrice = '7';
const char MDEntryType_TradingSessionLowPrice = '8';
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2015-12-22 00:41:08
[2015-12-22 02:36:56]
[Go To First Post]
ejtrader - Posts: 688
Thanks SC team. Atleast from the first image - even the "Open" price seems incorrect to me.

Thanks
[2015-12-22 02:58:36]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes, we will let them know about the Open as well.

CTS asked this:
What is the firm and username, and the date/time of the issue plus also which market?
Cheers

Not sure why. They should not need this information. However, please provide it through an Account Support Ticket:
https://www.sierrachart.com/usercp.php?page=SupportTickets
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2015-12-22 03:32:00]
[Go To First Post]
ejtrader - Posts: 688
Thanks sc team. I have provided my account details through the Account support ticket.

Thanks
[2015-12-23 02:47:03]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
CTS will solve this in January.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2016-01-27 13:33:27]
[Go To First Post]
ejtrader - Posts: 688
SC Team - Wanted to check on this - if this is still the case that the issue would be resolved this month on the CTS side.

Is there anything needs to be done on platform side after CTS makes the changes?

thanks
[2016-02-03 01:08:14]
[Go To First Post]
ejtrader - Posts: 688
SC Team - This is still an issue at present. Would you please have this checked one more time?

As you can see from attached images of Daily Charts - you can see the OHLC of last bar is incorrect while running. This gets fixed only after disconnect/connect ( refresh / reload doesn't fix it).

Thanks
imageSC_CTS_Daily_before_reconnect.jpg / V - Attached On 2016-02-03 01:06:56 UTC - Size: 95.03 KB - 281 views
imageSC_CTS_Daily_After_reconnect.jpg / V - Attached On 2016-02-03 01:07:08 UTC - Size: 60.72 KB - 283 views
[2016-02-03 20:00:34]
[Go To First Post]
Sierra Chart Engineering - Posts: 104368
In order for us to confirm that this is still a problem on the CTS side go to Window >> Current Quote Window.

Do you see the incorrect Daily High and Low at the time you are checking those values? And do they become correct after reconnecting to the data feed?
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2016-02-03 23:31:18]
[Go To First Post]
ejtrader - Posts: 688
SC Team - Even the Current Quote window is incorrect. Attached are the images.
imagesc_CTS_Daily_incorrect.jpg / V - Attached On 2016-02-03 23:31:01 UTC - Size: 77.29 KB - 355 views
imagesc_CTS_Daily_After_reconnect2.jpg / V - Attached On 2016-02-03 23:31:08 UTC - Size: 84.14 KB - 345 views

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