Support Board
Date/Time: Wed, 15 Jan 2025 22:56:22 +0000
SC Data total volume vs recent/current volume
View Count: 2382
| [2017-09-13 18:38:50] |
| TraderD - Posts: 56 |
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Hello, I trade via IB but use SC for realtime data. When using the DOM, I've been noticing a difference in total volume data and current or recent volume. There is often a very sharp contrast between these numbers. For example, one of the futures contract I trade, ZN, traded down to a new price level this morning, the recent/current trade columns showed ~200 contracts traded, but the total volume showed ~1200. This also happens with other instruments...I attached to this post a pic from ES printing 44 at a new high, but showing 623 in the total volume (sorry, couldn't use SC screenshot image due to market speed). This issue applies to more then DOM data...e.g., I rely on TPO charts for trade location and I'm concerned that the total volume data is skewing the volume value area calculations. Please advise if there is a way to correct this. Thanks, Darryl |
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| [2017-09-14 02:35:04] |
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The only help we can provide is as follows: 1. It is not valid to make a comparison to Recent Bid Volume and Recent Ask Volume to the total volume at a price level from the Volume by Price study. There simply is no reliable way to compare the two and we will not provide any help in this regard. 2. To make sure the Volume by Price study is providing an accurate result, Sierra Chart must be set to a tick by tick data configuration: Tick by Tick Data Configuration And you need to check the Input settings for the Volume by Price study to make sure they are set as you require: https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=141&Name=Volume_by_Price#Settings 3. All of the market data columns on the Trade/Chart DOM are accurately calculated. There is no possibility of any incorrect processing based upon the data received from the data feed. However, it is essential that the Tick Size setting for the for the symbol is set correctly in the Global Symbol Settings which it should be. Refer to: Global Symbol Settings 4. The market data columns Current Traded Bid Volume, Current Traded Ask Volume and Current Traded Total Volume cannot be reliably compared to the Volume by Price study for a particular price level because the starting points in time for these are simply different. The Volume by Price study relies on both its own Input settings and the Session Times in the chart for determining the starting time of a profile. You can see the starting time in the Window >> Chart Values Window for the most recent Volume Profile. Whereas the Current Traded Bid Volume, Current Traded Ask Volume and Current Traded Total Volume rely upon an arbitrary starting point in time which can be reset by the user. 5. If you want to present us a particular example for us to explain, you are going to need to provide a lot of details far beyond what you have provided and it would need to be done through a chart and not a Trade DOM. The image would have to be uploaded according to our specifications. And you need to isolate it to a very specific market data column and case, rather than a vague reference to multiple columns. As a general rule, Sierra Chart support cannot generally rely upon what users present and tell us, unless it is completely clear to us. Additional validation may be required. This is also going to be a chargeable support request at 75 USD per hour. For example what is the 44? We do not know precisely. What is the basis of the 623 volume without knowing the settings of the Volume by Price study and the Chart Settings and without being able to see the loaded data in the chart and being able to interact with the chart directly. And we have no way to validate any of this. If you want the TPO Profile Chart study and its Value Area to be accurate, then refer to this information here: https://www.sierrachart.com/index.php?page=doc/StudiesReference/TimePriceOpportunityCharts.html#IncorrectValues Many of those items mentioned are relevant. All of the above will be added to the documentation. 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: 2017-09-14 02:38:31
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| [2017-09-14 02:57:10] |
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This screen image here shows that the volume by price data does match the Current Traded Total Volume during a replay where new highs are occurring. http://www.sierrachart.com/image.php?Image=1505357791401.png 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 |
| [2017-09-14 09:47:12] |
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., I rely on TPO charts for trade location and I'm concerned that the total volume data is skewing the volume value area calculations. The TPO Charts are going to be accurate as long as there is no missing data in the chart. That is the main thing to check if there is any concern. Refer to:Chart Data and Chart Data Files: Locating Missing Data in Charts 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 |
| [2017-09-14 22:20:47] |
| TraderD - Posts: 56 |
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Thanks very much for your detailed response! Step #2 did the trick...I use IB w/ SC data support and IB default intraday storage time was at 1 second; I changed it to 1 tick, followed the rest of the instructions, and now the current volume traded matches the total volume perfectly. Best, Darryl |
| [2017-09-15 00:05:55] |
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OK good. The other thing we were going to mention is that we added to the Window menu of the Trading DOM the Chart Values Window command so that you can see the details of the Volume by Price study and see its starting Date-Time.
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 |
| [2017-09-15 01:04:26] |
| TraderD - Posts: 56 |
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Great, thanks for letting me know.
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