Support Board
Date/Time: Mon, 25 Nov 2024 10:59:13 +0000
Market Depth Historical Graph periodically resetting?
View Count: 222
| [2024-03-11 20:22:34] |
| User839162 - Posts: 87 |
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Can you tell me why the Market Depth Historical graph will periodically reset itself? I'm attaching a screenshot for reference. You can see every so often the depth graph will reset itself and will not fill in prices until the resting bid or offer at that price level changes quantities. The screenshot shows roughly 8 minutes of price movement and the depth graph reset 9 times. The depth graph is set to 0 for lowest quantity for coloring. With this setting I should never see any area on my visible depth where there are 0 resting orders. I thought maybe I could use "Extend Last Known Depth" as a workaround, but I still get these strange areas on my chart where depth isn't filled in (see Work Around image). How can this be resolved? Thanks! |
 Heatmap.png / V - Attached On 2024-03-11 20:17:41 UTC - Size: 202.29 KB - 63 views Work_Around.png / V - Attached On 2024-03-11 20:17:49 UTC - Size: 184.98 KB - 62 views |
| [2024-03-11 20:50:04] |
| User839162 - Posts: 87 |
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After further inspection it seems as though this only occurs on non-time based Bar Period Types. In my images above I'm using a Bar Period Type of Price Changes Per Bar, with a Bar Period Value set to 1. Why does the Market Depth Historical Graph periodically reset itself on non-time based Bar Period Types? Can this be fixed? |
| [2024-03-12 14:58:00] |
| John - SC Support - Posts: 36238 |
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This occurs with very fast bar periods. It is simply the way that the market depth data comes in compared to the trade data. The only thing you can do is to change the Input for "Extend Last Known Depth" to "Yes" to fill in those blank spots and make it look better.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-03-13 03:48:25] |
| User839162 - Posts: 87 |
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@John - I have no problem doing it that way - extending last known depth. With extend last known depth set to yes I still seem to periodically get these areas where chunks of depth is missing? Is this something that could be looked at and fixed? See screenshot for example.
Date Time Of Last Edit: 2024-03-13 03:50:04
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| Extend_Depth_Example.png / V - Attached On 2024-03-13 03:47:47 UTC - Size: 154.72 KB - 57 views |
| [2024-03-13 14:38:35] |
| John - SC Support - Posts: 36238 |
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That is due to how the algorithm works. When a block is off the screen to the left, it can not be extended, which is why you see those blank spots. This was done on purpose to make sure performance was not degraded.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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