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Direct MessagesDate/Time: Fri, 18 Oct 2024 04:13:31 +0000
Post From: Chart Dom replay and bid ask depth bars
| [2023-07-21 18:47:32] |
| AndyB - Posts: 101 |
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Hi SC Support, I am still in a bit of state of confusion in regards to why bid ask depth bars have gaps in them on a 1 tick chart. when i replay the dom at .01 replay speed, there are dozens of updates just at the best bid and ask alone between most trades. I have not been able to come to a logical conclusion why - if the data is there and is being accessed by the bid/ask depth bars - there are times when the entire duration spent at a new bid and ask price where trades have taken place, and these ultra low time frame replays are clearly showing depth (and constantly updating depth at that) at BBO, that depth is not visualized or represented in anyway on the chart. Would you be willing to provide some clarification here? Understanding this might help me better reconstruct the tick by tick depth in my own study as I've been trying to accomplish for some time, however, the documentation is limited in this area. As a side note -- the "Bid/Ask Depth Bars (Old)" study does not run into the issue that the current/new "Bid/Ask Depth Bars" study does, in reference to printing the subsequent bar's/price's depth ahead of time due to the time stamping issue (depth data from exchange updating in 1millisecond increments as opposed to transactions 1microsecond incrementing incrementing update approach) as noted in the Data Recording Modes -bid_ask_trade_sync documentation. I have yet to find anything on your website that dives into the fundamental differences of the studies and why the new one is better, but perhaps in a feature update, the benefits of each could be integrated into one. For instance, in the "old" study, the ability to select what depth levels to access for the selected symbol within the chart is a seriously convenient function. Unfortunately I don't think there is any provided source code for this version of the study. The ability to have multiple depths in one chart to use basic arithmetic studies vastly cut down on your systems processing needs since an unnecessary number of charts and study/price overlays would not be required. Not to mention the added system stress of using a spreadsheet study that may be required in the mix as well. I hope this serves as useful feedback and am always looking forward to what features future updates hold. Thank you Date Time Of Last Edit: 2023-07-21 18:51:24
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