Support Board
Date/Time: Thu, 16 Jan 2025 17:16:54 +0000
Some ticks seem wrongly stamped Bid or Ask volume
View Count: 1305
| [2017-11-09 07:39:38] |
| gomifromparis - Posts: 244 |
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Hi, I'm investigating why my NT8 orderflow has different Delta readings than Sierra. They both use Rithmic, there should be no difference. They both generally match, but still, sometimes, there's a difference on some ticks, leading to differences in overall delta. After investigation, it looks like some ticks on Sierra seem wrongly stamped as bid/ask. Example here 15:02:52 on the DAX, GMT+1 time. We have 2 ticks during this second, they both happen at the bid, but the second one is marked 'Ask Volume'. |
 bidaskticks.png / V - Attached On 2017-11-09 07:38:46 UTC - Size: 66.81 KB - 336 views |
| [2017-11-09 11:02:09] |
| User336946 - Posts: 37 |
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Few questions: 1) Is the overall volume correct, it’s just on the wrong side? Or is the volume wrong randomly too? 2) Does delete/redownload fix it? |
| [2017-11-09 11:13:57] |
| gomifromparis - Posts: 244 |
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1)Volume is correct, only on the wrong side. 2)Nope |
| [2017-11-09 16:22:57] |
| gomifromparis - Posts: 244 |
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Maybe it's because on that tick the market went up, so it was forced to be ask volume, even if it's at the bid.
Date Time Of Last Edit: 2017-11-09 16:27:11
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| [2017-11-09 17:43:53] |
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All of this is explained in the Definitions section here: Numbers Bars: Definitions Refer to the Bid and Ask Trade Volume sections. 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 |
| [2017-11-09 17:56:14] |
| gomifromparis - Posts: 244 |
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OK got it. Rithmic provides the historical bid/ask. thanks
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