Support Board
Date/Time: Sun, 16 Mar 2025 12:42:07 +0000
How is ask and bid volume determined from trade and quote data for US Equities?
View Count: 991
| [2022-08-02 16:49:31] |
| User167654 - Posts: 11 |
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I am so excited to find this your documentation of where Bid and Ask volumes on Sierra Chart come from Chart Data and Chart Data Files: Bid Volume and Ask Volume! I have a few clarifying questions about this documentation. 1. How do you determine which previous quote to use in order to find the relevant Bid and Ask prices? Do you just use the last quote before the trade? Do you use the last quote before the trade on the same exchange as the trade? Does the quote have to happen above a given amount of time before the trade? 2. My second question is in regard to the following part of the documentation: "In the case where the trade occurs between the Bid and Ask, it is considered to be at the Bid price, if it traded lower than the price before. Or if it traded at the same price as before, then when looking back through trades, the last time there was a trade at a different price, that trade was down compared to the previous price." a. When you say, "In the case where the trade occurs between the Bid and Ask", do you mean at the midpoint between Bid and Ask, or anywhere between Bid and Ask? b. When you say "it is considered to be at the Bid price...if it traded at the same price as before, then when looking back through trades, the last time there was a trade at a different price, that trade was down compared to the previous price." does this mean that if I have 4 trades in ascending order of time at prices 1.02, 1.00, 1.01 and 1.01 and this last 1.01 trade is in between Bid and Ask and I'm trying to determine if this last 1.01 trade is at the Bid or Ask price, I look at the last price that was different which is the 1.00 trade 2 trades ago and compare it to the price previous to THAT trade which is 1.02 and determine that since 1.02 > 1.00 that my 1.01 last trade is at Bid price? Did I understand this correctly? |
| [2022-08-03 03:01:23] |
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We cannot answer these questions unless we know what symbol you are asking about. You are making reference for one method to estimate whether a trade occurred at the bid or ask and this is just an estimate and it is not accurate. It is just not accurate. So therefore put no reliance upon it. Accurate bid or ask volume only exists for the CME Group, EUREX, NASDAQ TotalView, and CFE. Everything else is just an estimate and should not be relied upon. 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: 2022-08-03 03:02:00
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| [2022-08-03 11:36:54] |
| User167654 - Posts: 11 |
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I am looking at NASDAQ stocks e.g. GOOG using Sierra Chart Historical Data Service. I understand that the ask and bid volumes you provide there are estimates. Your estimates may still be helpful to me so I want to understand how you make them.
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| [2022-08-08 13:18:28] |
| User167654 - Posts: 11 |
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Just a gentle reminder to respond to my questions above. Re-reading your most recent response above, I want to make sure it's clear that my questions are in reference to the Ask and Bid Volumes that Sierra Chart displays for US Stocks using the Sierra Chart Historical Data Service. I am not asking about the accuracy or reliability of the Ask and Bid Volumes that Sierra Chart displays for US Stocks using the Sierra Chart Historical Data Service. My questions above are in regard to the method that is used to determine the Ask and Bid Volumes that Sierra Chart displays for US Stocks using the Sierra Chart Historical Data Service
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| [2022-08-10 13:55:40] |
| User167654 - Posts: 11 |
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It's been a week since your last response and my questions have not been answered. Please respond with answers at your earliest convenience or please let me know what I can do on my end to help you answer the questions. I am a paying customer and answers to my questions about the information you provide on your platform help me better understand and use your product. Thank you.
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| [2022-08-10 14:55:52] |
| Sierra_Chart Engineering - Posts: 18797 |
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We have to go through the code to confirm this. We just have been very busy.
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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-08-10 20:32:56] |
| Sierra_Chart Engineering - Posts: 18797 |
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We have looked into this, and in the case of the Sierra Chart historical Intraday data for US equities, the determination of whether a trade occurred at the bid or ask is provided through the Open Feed from Barchart. And how it is determined from them, we do not know. It is also possible that that indication is not provided in which case our own processing determines that but whether we are getting the indication from our data provider or not we are not sure. It is not easy to figure out. It does take some effort to find out. 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-08-15 20:05:31] |
| User167654 - Posts: 11 |
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That's disappointing that no one between SierraChart and Barchart can find out how these values are determined. If SierraChart can't even find out how ask and bid volumes are estimated by Barchart/SierraChart for US equities, then any studies like Number Bars and Cumulative Volume Delta that are based on ask and bid volumes also are useless for US equities. And that's not made obvious anywhere in SierraChart. The values and studies are available and displayed on your platform for US equities without any kind of caveat and the only way I found out is by asking this question here. Volume profile, Number Bars and Cumulative Volume Delta studies are the only reason I've been evaluating SierraChart this year. And now I find out that SierraChart has been displaying values that you do not stand behind and cannot explain for US equities. It's disappointing. Thank you for taking the time to look into it. I know it's not easy. I appreciate your efforts.
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| [2022-08-15 21:07:06] |
| VolTrader73 - Posts: 136 |
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Hello. We all would like every single aspect of SC (SieraChart) to be accurate and documented. But life has some flaws. I can confirm after using SC for a year now and used in the past, Tradestation, MultiCharts, Rtrader, TT, IB, Esignal, CQG some more I cant recall, comparing with SC results are similar. I never encountered a result where you have negative delta for a stock and it was positive somewhere else.. (stocks can rise on neg delta though). You will always find differences but you would never know whom is the most accurate. So rest assure your SC profiles, CDV and other volume/side-of-trade based analysis are correct with SC. I compared and tested at the beginning when I just started with SC, to build my confidence with SC after trading through MultiCharts for 10 years. Things are pretty much the same. It works out. Hope my experience is helpful to you. Good luck God bless. Date Time Of Last Edit: 2022-08-15 21:08:56
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| [2022-08-16 13:35:46] |
| User167654 - Posts: 11 |
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Thank you for sharing your experience VolTrader73. It is helpful. My initial post was regarding clarification of SierraChart documentation regarding the exact question posed in the title of my post. Nowhere in there did I mention accuracy or assert that life has no flaws. So please don't undermine the very premise of my question by including that language in your otherwise helpful response. SierraChart is an industry leading product and it is fair for any user to ask how displayed numbers are derived/estimated and expect an answer that isn't we don't know.
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| [2022-08-17 14:00:20] |
| User167654 - Posts: 11 |
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I just added "for US Equities" to the title of the post for search relevance purposes. If anyone has an answer to my original question, please do post. No one is expecting accuracy or reliability from these numbers. Sierra Chart Engineering has already responded above letting users know that ask and bid volumes for US Equities are "just not accurate" and are "just an estimate and should not be relied upon" and that is fine and no problem at all. The original question above is not about accuracy or reliability, but just how are these numbers estimated? |
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