Support Board
Date/Time: Thu, 16 Jan 2025 19:15:08 +0000
[Locked] - BitMEX Market Depth Data Question
View Count: 2420
| [2017-11-08 19:44:29] |
| User891094 - Posts: 11 |
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guys please, you know that the tick size change is going to be tomorrow 11/9 at 18:00 UTC, why have you changed it already? The DOM is all over the place, price information is incorrect. SegWit got cancelled, market is hot and it's not possible to trade... |
| [2017-11-08 20:56:20] |
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This is not totally clear for us. What specific symbol are you referring to? What is the tick size you are seeing now? You can also use whatever tick size you want in Chart >> Chart Settings. Refer to: Chart Settings: Tick Size (Chart >> Chart Settings >> Symbol >> Symbol Settings menu) The DOM is all over the place, price information is incorrect.
We need to have a better understanding of this. We see no obvious problem with the market depth data at this moment. We do combining on our server in five tick units at this time. Maybe that is what you are referring to? 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: 2017-11-08 21:34:42
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| [2017-11-08 21:10:14] |
| User891094 - Posts: 11 |
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I'm referring to XBTZ17 and XBTUSD. Bids and offers are already in 0.5 $ increments, although the "market depth combine increment in ticks" (the new feature) is set to zero. So even when 100k are displayed at .4 in the web application, SC is showing it at .5 Some bids and offers that aren't at halfs or at even are not displayed. BitMEX announced a change in ticksize from 0.1 USD to 0.5 USD in those two contracts and the change is going to be tomorrow after the scheduled maintenace at 18:00 UST. Please refer to: https://blog.bitmex.com/site_announcement/scheduled-maintenance-november-9-2017/ To be honest, it probably doesn't matter anyways because the new contracts will launch after tomorrow. I just hope, that the corresponding products' DOMs will show 0.5$ ticks after the update, too. Date Time Of Last Edit: 2017-11-08 21:19:29
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 bitmex DOM.jpg / V - Attached On 2017-11-08 21:17:12 UTC - Size: 70.97 KB - 420 views |
| [2017-11-08 21:28:57] |
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Bids and offers are already in 0.5 $ increments, although the "market depth combine increment in ticks" (the new feature) is set to zero. So even when 100k are displayed at .4 in the web application, SC is showing it at .5 This is correct with the combining done on our server.Out of everything you are saying the only thing we need to look into is this: Some bids and offers that aren't at halfs or at even are not displayed.
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: 2017-11-08 21:29:45
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| [2017-11-08 21:36:37] |
| User891094 - Posts: 11 |
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Yes, it might be ok but you realise that the update is tomorrow? If you are looking at the time&sales you see trades at 16.9 while the offer that was taken out was displayed at 17. This is simply incorrect market data. It might be alright after tomorrow but for today, it's not possible to trade with this dom So if you did this upgrade earlier to save time, that's ok for me although I would have favoured a brief notice beforehand. As mentioned, the only thing I whish for tomorrow is that the DOM is showing the correct ticksize i.e. 15, 15.5, 16 and not 15, 15.1, 15.2 and so on. |
| [2017-11-10 16:57:12] |
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The combining to 5 ticks was completely independent of any knowledge of any tick size changes by BitMEX. Some bids and offers that aren't at halfs or at even are not displayed. This has been thoroughly reviewed by one of our programmers:I have now watched the bitmex dom on direct connection to bitmex, then with connection to sierra chart server version, and comparing with bitmex website. All three match quite well when viewed at 0.5, and at 5.0. I watched it several times over the past 16 hours or so. 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 |
| [2017-11-10 17:50:55] |
| User891094 - Posts: 11 |
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The combining to 5 ticks was completely independent of any knowledge of any tick size changes by BitMEX.
See, that was exactly my problem. Example: I make a living by trading the DAX. The DAX ticks in 0.5 increments, but all of a sudden, you guys combine 5 ticks so the only thing I can see are the orders at 0, 2.5, 5 and 7.5 while all other resting limits at e.g. 5.5 or 6 are just not shown. And the only way to tell that the "problem" is on your side is to open up a time and sales window and actually witnessing transactions at 5.5 and 6. So usually I'd freak out and either call support or cancel my subscription right away. Funny enough: I know that EUREX has announced that they would change ticksize to 2.5 increments one day later, so I think: SC did this on purpose and I missed the notification or they messed up the date. That's what I was experiencing on the 8th: I open SC, look at the DOM and see .5 increments in XBTUSD and XBTZ17. I wonder why, since BitMEX announced the change for the 9th. So I look at the Time and Sales and see transactions at .3, .8, .2 and so on and think: Something's not right. So I guessed you messed up the date and consolidated one day too early and write this thread (on the 8th). Then you don't know what's wrong, because you've already combined to 5 ticks on your own (which I did not know), send a guy to watch it on the 9th when BitMex has done the consolidation on their side and tell me everything's ok. To be very, very honest with you guys: I paid for SC so it could be my execution frontend of choice to trade on BitMEX and I did not expect jet fighter stuff like TT, CQG or Stellar but a reasonably reliable frontend. I want to trade serious cash through SC, so I'm not a hobbyist. Now you tell me: 1. You changed the ticksize of an instrument on your own (WTF!?) 2. You didn't notify me about it (hello email?) 3. You did not even know that an exchange you are currently writing a connector to (your own words) is about to change the ticksize in 3 instruments? So let's say BitMEX did not change ticksize. Did you really think, combining to 5 ticks would be usefull? Let's say there are 50k at .8, 300 at .9 and 5k at .0, would you really think showing 55,300 at 0 would be usefull? I look at the tape and see 20k traded at .8 while the size at .0 goes down to 25.300 and be like "what the hell is going on? did it trade at .8 or at .0?" This makes me so mad and the only reason I don't immediately ditch Sierra Chart is because you're currently the only option I have. This is not some minor flaw like "help, I cannot make the PSAR turn green when the 9MA crosses the 20MA" How can I be sure, you're not changing vital stuff without notification again, like one day you consolidate prints and instead of three prints of 100 each I see only a single one of 300? How can I be sure you're on top of things when BitMEX changes vital parameters of their contracts? As a matter of fact, I can't. Date Time Of Last Edit: 2017-11-10 17:55:19
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| [2017-11-10 18:25:53] |
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Example: I make a living by trading the DAX. The DAX ticks in 0.5 increments, but all of a sudden, you guys combine 5 ticks so the only thing I can see are the orders at 0, 2.5, 5 and 7.5 while all other resting limits at e.g. 5.5 or 6 are just not shown. And the only way to tell that the "problem" is on your side is to open up a time and sales window and actually witnessing transactions at 5.5 and 6. Funny enough: I know that EUREX has announced that they would change ticksize to 2.5 increments one day later, so I think: SC did this on purpose and I missed the notification or they messed up the date.
What on earth are you talking about? No such thing ever happened and this is totally unrelated to BitMEX. This is coming across as utter nonsense to us.That's what I was experiencing on the 8th: I open SC, look at the DOM and see .5 increments in XBTUSD and XBTZ17. I wonder why, since BitMEX announced the change for the 9th. So I look at the Time and Sales and see transactions at .3, .8, .2 and so on and think: Something's not right. 1. You changed the ticksize of an instrument on your own (WTF!?) We did not change the tick size. We only combined the market depth data based upon the very large number of levels and the very high values for the symbol.2. You didn't notify me about it (hello email?) 3. You did not even know that an exchange you are currently writing a connector to (your own words) is about to change the ticksize in 3 instruments? would you really think showing 55,300 at 0 would be usefull? Yes because this has been asked about numerous times by our users and they have been waiting for this. Including professional traders. like one day you consolidate prints and instead of three prints of 100 each I see only a single one of 300? We have no idea what you are referring to. Sierra Chart does not do anything like this and this has never happened. This is a complete lie! Makes us wonder, whether you are even thinking clearly. Obviously you are not.At this point, we do not want to hear anything further from you. At this point you are most welcome to leave. Here we are trying to help users by accommodating their requests, and then we get this complaint full all kinds of things which are not even true. We are locking this thread! We do not want to hear about this further. Any further posts from you, in this regard are going to be deleted! 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: 2017-11-10 18:30:07
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| [2017-11-10 18:31:23] |
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There were several dictation errors in the prior post and they have now been corrected. We apologize for 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 |
| [2017-11-10 18:37:41] |
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like one day you consolidate prints and instead of three prints of 100 each I see only a single one of 300? Thinking about this nonsense statement further. Sierra Chart does not even have this capability other than on the Time and Sales window using settings that the user sets themselves.
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: 2017-11-10 18:42:03
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