Support Board
Date/Time: Sat, 28 Dec 2024 08:48:41 +0000
Accuracy of ticks with exchange traded spreads and number bars study?
View Count: 1186
| [2016-04-18 00:52:06] |
| i960 - Posts: 360 |
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Attaching a chart here incorrectly showing the last trade at -0.75 (it wasn't, it was -0.73 - because it was my actual trade). Additionally, the DOM seems to be reflecting stale quotes as the current ask (being flashed on and off) is -0.80, not -0.73 (which was my offer before it got filled) and a best bid of -0.87. A non-number bars study shows the trade at -0.73, the problem here is with number bars (and the stale quotes in the DOM). The fact that I'm seeing totally old data on the DOM makes me wonder how live this data even is. Also, the tick data only goes back to 3/23, meaning less than 3 weeks of actual data - but I know these spreads within SC have been available for quite a few months now. Where's the older data? There's prints on this spread all the way back to October of 2014, so it's not an issue of it not trading then. I don't expect SC to have data all the way back then, but I do expect it to have data older than 3 weeks. |
 sc_ets_problems.png / V - Attached On 2016-04-18 00:51:57 UTC - Size: 67.56 KB - 327 views |
| [2016-04-18 01:58:00] |
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This is what we currently see on the direct feed on our server for this market: http://www.sierrachart.com/image.php?Image=1460943717357.png We see the Ask price on the top line of the chart but not on the market depth window. We are checking on that. The history goes back to: 2015-10-21 To get more history, refer to: https://www.sierrachart.com/index.php?l=helpdetails7.html We will have a look at Numbers Bars. 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: 2016-04-18 01:58:58
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| [2016-04-18 03:04:50] |
| i960 - Posts: 360 |
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There's basically 3 issues, 2 of which are more important: 1. Numbers bars shows -0.75 but normal chart shows -0.73. 2. Market depth is all wrong (this *might* have to do with implied vs outright prices). 3. The past data issue - which was solved by deleting and redownloading the data (however, this seems like I shouldn't have to do that, but let's forget about it for now). |
| sc_ets_problems1.png / V - Attached On 2016-04-18 03:03:46 UTC - Size: 295.54 KB - 269 views sc_ets_problems2.png / V - Attached On 2016-04-18 03:03:56 UTC - Size: 142.89 KB - 273 views |
| [2016-04-18 03:08:20] |
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1. We still need to look into this. 2. We are not sure about this. This is what we see with IQ Feed: http://www.sierrachart.com/image.php?Image=1460948697686.png We do see a problem where the best Ask in Sierra Chart should be showing zero for the price and size but it is not. We will fix that. 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: 2016-04-18 03:08:31
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| [2016-04-18 03:12:30] |
| i960 - Posts: 360 |
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Keep watching the bid/ask. This particular spread has bids and asks that come and go, so it's entirely possible you saw -1.30 and no ask some time ago. You're specifically seeing -1.30 because it's my actual order out there (really, the other bids come and go leaving a huge apparent spread). For instance, I've just changed my resting limit to -1.31 and you should see that - however, you should also see much closer bids and asks than that - it's only when the inside market disappears that you'll see the extremes of no ask and my limit order on the bid.
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| [2016-04-20 22:03:07] |
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1. Here is a Numbers Bars chart of that symbol: http://www.sierrachart.com/image.php?Image=1461189623988.png We are not seeing a problem with the last trade on that day showing on the Numbers Bars. We would not expect a problem. Do you still notice this? Remove all other studies from the chart so it is more clear. 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 |
| [2016-04-20 23:12:21] |
| i960 - Posts: 360 |
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No, the problem is still there, so consider it's something else other than a "temporary" problem. Look, the problem here is "volume at price mult", a setting I never even set, being set to 5. And that setting is obviously being driven by the volume by price and/or numbers bars study which is forcing it to 5 when changing charts from intraday to daily. This is also super easy to reproduce: have a VBP with 5 ticks per bar (which is completely normal), have the intraday chart set to 1 for "volume at price mult", change the period to daily, now watch all the prices instantly be wrong because the chart just changed your "volume at price mult" to 5 without your input. This in itself isn't a big issue because it's a daily chart and numbers bars accuracy isn't even useful there. However, change it back to intraday and watch said "volume at price mult" of 5 still be used and prices still be wrong. The best part is someone even reported this bug in the past and it was shunned as "user error": volume profile ticks and chart period Here, let me make it easy: When changing from intraday to daily, the chart changes "volume at price mult" to 5, which is documented in the documentation as "saving memory". Go to chart settings and change it back to intraday and watch the same "volume at price mult" of 5 still be used. That is a straight up bug, the same one reported a year ago. On top of that SC is still not reflecting an accurate market depth. I can sit and watch inside bids show up closer than the bid shown by Sierra that aren't the most inside bid. For instance it's showing -1.01 right now and the real inside bid is -0.98. Date Time Of Last Edit: 2016-04-20 23:13:40
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| [2016-04-20 23:24:17] |
| i960 - Posts: 360 |
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Video showing already described market depth problems: https://www.youtube.com/watch?v=tmxWtoEHzFI |
| [2016-04-20 23:30:01] |
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This is no longer the case: Go to chart settings and change it back to intraday and watch the same "volume at price mult" of 5 still be used. That is a straight up bug, the same one reported a year ago.
If it is, it is only because it was 5 on an Intraday chart previously. Anyone else testing what you describe on a new chart will not experience that. We could not even get the Volume at Price multiplier to change to 5 either when going to a Daily chart. We have to look into that because we would expect that. On top of that SC is still not reflecting an accurate market depth. I can sit and watch inside bids show up closer than the bid shown by Sierra that aren't the most inside bid. For instance it's showing -1.01 right now and the real inside bid is -0.98. 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: 2016-04-20 23:30:46
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| [2016-04-21 01:23:43] |
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The changes with bid and ask maybe are from implied prices and we are looking into additional fields available for that. But at this point in time after a review, we have little doubt the complete data is being provided from the CME multicast 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 Date Time Of Last Edit: 2016-04-21 02:26:39
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| [2016-04-21 02:05:10] |
| i960 - Posts: 360 |
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Implied prices are incredibly important in the cases they're available. That being said/to be fair, there are specific issues with CME and implied prices on flies in the energy complex, so this may or may not actually be related to that. I'll see what I can find out from IB as well. I'd be surprised if they were doing their own implication calculation based off the outrights (because that would entail significant work on their part), but stranger things have been known to happen. |
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