Support Board

Date/Time: Fri, 26 Apr 2024 12:58:38 +0000

Post From: Bid and Ask Depth Bars (1950) showing spikes and incorrect values

[2019-07-23 17:59:32] Link To Thread - Link To Post [Go To First Post]
User41727 - Posts: 124
Brilliant. This is a deal breaker for me, and I will have to continue using an old version or outright switch to another platform. There are several solutions for this: 1) Simply calculate the ratio for the top of the book depth similar to how Cumulative Delta works 2) Properly allow the use of broker-provided L2 data while using the Sierra feed for L1. This does not currently work with IB for instance even when explicitly setting the exchange code. 3) Offer L2 for equities with the Sierra feed