Support Board
Date/Time: Fri, 07 Feb 2025 00:24:15 +0000
Denali datafeed - order flow
View Count: 921
| [2020-05-11 20:25:41] |
| Marcelo - Posts: 13 |
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Hi Support, I was analyzing what my Denali datafeed was showing with regards to buy/sell imbalances in the order flow compared to CQG. You can see attached a visual comparison of the same indicators being used in the same instrument (GC) and same period (1 minute). - On the left you can see sell imbalances (delta volume negative on the swing high) of -59, -62 and -16. This is with CQG data. - On the right you I couldn't see the same sell imbalance. In my chart you can see +53, +87 and +134. This is with denali data. Sierra Chart is the platform in both cases. So, I know this difference is not due to SC. Indicators are the same, with same settings. Also same period. So, it only makes sense to be in the data feed. I was wondering if I could enable the old SC Exchange Data Feed temporarily as my data feed (instead of Denali) to test it out and see if this difference might be related to Denali. For this trade in question, giving the fact that market (GC) went down very sharply, it is more likely that the data feed from CQG reflected better what was happening in the order flow for GC. If you can think of any additional investigation I can do on my side, please let know. I do appreciate your help on this. PS: my screen image is this: http://www.sierrachart.com/image.php?Image=1589228598442.png I added a word doc with the comparison. |
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| [2020-05-11 23:55:21] |
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First: Set Sierra Chart to a Tick by Tick Data Configuration. Follow the instructions here to do this: Tick by Tick Data Configuration And refer to the Definitions Section here: Numbers Bars: Definitions How Bid Volume and Ask Volume is determined is 100% accurate with the Sierra Chart/Denali Exchange Data Feeds. I was wondering if I could enable the old SC Exchange Data Feed temporarily as my data feed (instead of Denali) to test it out and see if this difference might be related to Denali.
The data feeds are the same. it is more likely that the data feed from CQG reflected better what was happening in the order flow for GC.
No this is definitely not the case.
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 |
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