Support Board
Date/Time: Tue, 21 Jan 2025 01:01:08 +0000
Post From: Bid Ask Depth Bars study inaccurate
| [2018-07-05 09:58:43] |
| User106180 - Posts: 88 |
|
Hi. I have observed the Bid & Ask Depth Bars study using both historical market depth last and time & sales data to sum the ask side, and compared it to the total above the chart DOM, and they are usually not accurate. I have read the documentation for this study and know that these quantities are only calculated when there is an update to the best ask level, but after observing the change in the best ask level in the chart DOM and checking the output from the study, there is still usually a difference (and it can be quite sizeable). Four requests: 1) At least make the study update accurately and quickly when there is a change at the best ask/bid level. 2) Ideally make the study update when there is a change in any of the market depth levels (not just the best level). If the DOM can be updated quickly at all levels hopefully it would be possible for this study too as well 3) When a new bar is formed on the chart, the Bid & Ask Depth Bar level will often drop to 0 until there is a new record. Would it be possible to extend the value from the prior bar until there is a new value for the current bar so that there isn't this drop to 0. 4) Add the ability in either this study, or a new one, to chart similar aspects of the pulling/stacking data. This was done using CQG, F.US.DA6U18 contract, chart settings market depth is 10 as is the maximum depth levels to use for the study (only applicable when using market depth data instead of time & sales). Happy to send through a screen recording if this would be of assistance. Thanks for all of your help. I really appreciate it. |