Support Board
Date/Time: Sun, 22 Dec 2024 16:10:55 +0000
Questions about Volume at Bid/Offer data..
View Count: 2380
| [2014-11-25 18:16:04] |
| The Stealthy Trader - Posts: 185 |
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So, I use Ameritrade as my feed for Sierra. I also have, at the same time, Ameritrade's TOS(think or swim) execution platform open on my desktop. Today I did an A/B comparison of the T&S windows for TOS & Sierra and noticed that for the same data, one recorded it as going off on the bid while the other had it on the offer. This was a constant finding throughout my time watching. I would like to clarify this as the system I've been building is based off the assumption that this "Volume at bid/offer" data that I pay for through Sierra is accurate. If Ameritrade is the provider for both datasets, how can this be possible? Please advise.. Thanks, J. Date Time Of Last Edit: 2014-11-25 18:18:15
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| [2014-11-26 03:47:17] |
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The determination of whether a trade is at the bid or ask is not provided by Ameritrade. It is determined by Sierra Chart using an algorithm. It is explained here: http://www.sierrachart.com/index.php?page=doc/doc_NumbersBars.php#Definitions Whether it is accurate or not, depends upon whether you consider the method that Sierra Chart uses as valid. In our experience, it is reasonably accurate as can be. 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 |
| [2014-11-26 04:56:37] |
| The Stealthy Trader - Posts: 185 |
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Thanks for the quick response. So, this is quite a revelation to me as your algorithm can't be as accurate as the actual data I'm seeing in Ameritrade's T&S window..No? I mean, as I'm watching a stock drop today and trading on the bid, Ameritrade is showing it in their T&S window in Red(which indicates traded on the Bid) while your T&S window was showing it as "Traded on the Offer". Don't get me wrong, there was a lot of volume where both platforms had it the same, but surely there was a lot where they didn't. Could this be attributable to the fact that Ameritrade was registering trades in .001(at times) while I had my Sierra Chart tick size set to .01? Either way, I'll be sure to make that change for future sessions and will be comparing once again. So this brings up the obvious question, why aren't you able to utilize the actual data recorded by Ameritrade?..why the need for an Algorithm? Do they not provide that as part of their feed offering? And along those lines, below is a key part of the definition of Bid Trade from the link you included. The exchange or data feed has indicated the Trade has occurred at the Bid. If this is supported, this is the most accurate determination. So, is this supported? Date Time Of Last Edit: 2014-11-26 05:06:13
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| [2014-11-27 03:36:12] |
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So, this is quite a revelation to me as your algorithm can't be as accurate as the actual data I'm seeing in Ameritrade's T&S window..No? while your T&S window was showing it as "Traded on the Offer". The most likely explanation for this is incomplete Bid and Ask data with the data feed provided to Sierra Chart. There is no doubt you are using a completely different data feed in the Ameritrade software.Could this be attributable to the fact that Ameritrade was registering trades in .001(at times) while I had my Sierra Chart tick size set to .01? So this brings up the obvious question, why aren't you able to utilize the actual data recorded by Ameritrade?..why the need for an Algorithm? Only the Sierra Chart CME data feed, and CTS T4 pprovide indications of whether a trade occurs at the Bid or Ask. 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: 2014-11-27 03:36:51
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| [2014-12-01 13:58:30] |
| Hendrixon - Posts: 130 |
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Only the Sierra Chart CME data feed, and CTS T4 provide indications of whether a trade occurs at the Bid or Ask.
Rithmic doesn't? Is it a limitation you have with their use of API or they simply don't provide this? Weird... will ask Jonathan. |
| [2014-12-01 15:02:22] |
| The Stealthy Trader - Posts: 185 |
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Hey Hendrixon, so I thought it was the actual T&S data so this revelation is a bit of a shocker to me..this essential detail could very well be revealed somewhere in the user guide but I didn't see it. Anyway, much to my chagrin, when spending time comparing it to my Ameritrade T&S it was often in lock step but at key times, there was glaring differences..like when a stack of bids were taken out, Sierra would show them as traded on the offer. I'm awaiting the answer to your question too.. J. |
| [2014-12-01 18:01:36] |
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How Bid Volume and Ask Volume are determined has been documented in the Sierra Chart documentation for years. The general explanation is that if the trade occurs at the bid price or lower it is a Bid trade and if the trade occurs at the ask price or higher it is an Ask trade. We did update the documentation with additional details but the general logic has always been documented. It is very unusual that a data feed would indicate whether a trade occurs at the bid or ask. Almost none of them do this. The only cases are what we describe in post #4. So what is the purpose of post #5. Obviously the answer is Rithmic does not provide this. 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: 2014-12-02 06:05:51
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| [2014-12-02 01:08:24] |
| The Stealthy Trader - Posts: 185 |
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Really, that's the explanation? Then why in response #2 in this chain did you indicate that the Bid/Offer definition was based on an algo and not on where the trade occurred? But now you're saying it's based on where the trade occurs? Apparently it's not.. Please clarify.... Date Time Of Last Edit: 2014-12-02 01:08:39
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| [2014-12-02 01:35:04] |
| Hendrixon - Posts: 130 |
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According to CME they provide an "AgressorSide flag" which informs if trade was initiated by sell side or bid side. You said that your CME feed and CTS's provide "an indication" which I assume is the "AgressorSide flag" from CME. Purpose of post #5 was to understand if its a problem you have getting this info from Rithmic's API, that we know you don't like, or that Rithmic simply filter that info out... big difference. |
| [2014-12-02 06:04:31] |
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You said that your CME feed and CTS's provide "an indication" which I assume is the "AgressorSide flag" from CME. Purpose of post #5 was to understand if its a problem you have getting this info from Rithmic's API, that we know you don't like, or that Rithmic simply filter that info out... big difference. And obviously we have access to it because we use a direct FIX feed from the CME. The DTC protocol does support this field and passes it through to Sierra Chart. 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 |
| [2014-12-02 06:07:48] |
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Then why in response #2 in this chain did you indicate that the Bid/Offer definition was based on an algo and not on where the trade occurred? The first part of the algorithm is a simple comparison of the trade price to the current Bid and Ask price.The remaining part of the algorithm is only relied upon if necessary. In our experience when Sierra Chart does not mark a trade correctly as at the Bid or Ask it has to do with incomplete or unsynchronized Bid and Ask data in relation to the trades, from the data feed. The most obvious case of this occurs with TT FIX. 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 |
| [2015-05-07 15:41:04] |
| The Stealthy Trader - Posts: 185 |
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Hi, so I encountered a troubling inconsistency today with how both TD Ameritrade and Sierra are relaying Volume at Bid/Offer data. I've attached the T&S windows for both platforms that show that Ameritrade listed this 100k trade on the Offer while Sierra listed it on the Bid. Which is correct..and why? Thanks, Jonathan |
 Sierra Time and Sales 100k OSUR Trade.jpg / V - Attached On 2015-05-07 15:40:19 UTC - Size: 281.95 KB - 509 views TD Ameritrade 100k OSUR Trade.jpg / V - Attached On 2015-05-07 15:40:29 UTC - Size: 81.77 KB - 552 views |
| [2015-05-07 20:54:21] |
| norvik_ - Posts: 106 |
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Rithmic filters this out and we have never seen any data feed which passes this information through other than CTS. I attached screen with row data from Rithmic API. Can you explain? |
| [2015-05-07 21:09:23] |
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In response to post #12, there are several things to be aware of. The data feed Sierra Chart receives from TD Ameritrade, almost certainly is different compared to the data feed used in their own software. TD Ameritrade does not indicate in the data feed that Sierra Chart uses, whether a trade occurred at the Bid or Ask. It is determined according to these rules: https://www.sierrachart.com/index.php?page=doc/doc_NumbersBars.php#Definitions 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 |
| [2015-05-07 21:11:41] |
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In response to post #13, recent versions of Sierra Chart do use the flag from Rithmic indicating whether the trade occurred at the bid or ask. Apparently Rithmic added that field sometime after the integration to Rithmic was originally done.
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: 2015-05-07 21:12:23
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| [2015-05-07 21:11:50] |
| Hendrixon - Posts: 130 |
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sc.AlertConditionFlags In the thread above I informed SC that Jonathan of Rithmic stated they don't filter this flag out. SC responded with "We do see this and this will be supported in the next release." That was in Jan. I don't remember seeing any mention of that in the SC version Change Log since. SC please confirm this was implemented. |
| [2015-05-07 21:13:01] |
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Yes, support for that field was added.
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 |
| [2015-05-07 21:13:47] |
| Hendrixon - Posts: 130 |
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LOL you beat me by 11 seconds :-)
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| [2015-05-07 23:01:53] |
| The Stealthy Trader - Posts: 185 |
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So, I guess my question now is what must I change in my SC setup so I can get actual Bid/Offer data and not have to rely on an algo being applied to Ameritrade's data as my example shows an issue with a 100k order..this is significant. Presently I pull data from SC's "Bid Volume vs Ask Volume" indicator into a spreadsheet. Should I be using a different indicator? Should I be using a different data provider than Ameritrade as I'm paying for this and apparently not getting accurate data(algorithm)..might as well pay for another data source that doesn't require an algo to utilize. I looked in the Data provider list and saw Rithmic..would using this provider instead of Ameritrade solve my issue? Or perhaps another provider as there are over 20 on the list... Please advise.. Date Time Of Last Edit: 2015-05-07 23:03:21
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| [2015-05-07 23:08:39] |
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The answer to post #19 is not an easy one because no stock data feed to our knowledge has any indication of whether a trade occurs at the bid or the ask and we also do not know whether the NYSE or NASDAQ exchanges even identifies this. And how the TD Ameritrade software identifies that, we do not know. You could use the Sierra Chart Exchange Data Feed and activate either the US Equities or BATS exchange and see how well it works for you. But in the end, you have to make your own decision what is going to work best. We do not know. Here is information about the Sierra Chart Exchange Data Feed: http://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php 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 |
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