Support Board
Date/Time: Sat, 28 Dec 2024 09:33:57 +0000
Number bars bid/ask data
View Count: 1092
| [2016-02-13 07:53:55] |
| Neo - Posts: 198 |
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I’m looking for some clarification around the accuracy of bid/ask data when applied to US equities.. If the smallest tick size is in seconds, then how is accurate bid/ask data calculated when exchanges are providing trades in milliseconds? I’ve also noticed that when using a numbers bar study - SC vs IQ feed, the bid/ask data is different, eg some trades appear on the bid side in SC and on the ask side using IQ feed, or vise-versa. However they are exactly the same when using any CME product( I assume this is because the CME reports trades in seconds) |
| [2016-02-14 00:34:54] |
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Refer to the documentation here about this: https://www.sierrachart.com/index.php?page=doc/doc_NumbersBars.php#Definitions Time stamping in no way affects this and the documentation has been updated to explain this. Millisecond time stamping only is useful for those who want to know exactly at what millisecond a trade occurred at. The Sierra Chart equities data feed comes from Barchart. The determination of whether a trade is at the Bid or Ask depends upon comparison to the Bid and Ask prices. Barchart is in the process of migrating over to their new "Open Feed". From what we can tell this data feed is similar to an exchange feed. It is impossible for us to say how accurate or inaccurate bid volume and ask volume is with the Sierra Chart US equities data feed. It certainly is not 100% accurate and neither is IQ Feed. We do believe the new open feed will help. But to what extent we do not know. 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: 2016-02-14 00:35:39
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| [2016-02-14 02:19:23] |
| Neo - Posts: 198 |
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Thanks, I've read the documentation however still seek some further clarification. If for example a snippet of the order book for AAPL was as follows: 99.9 50 99.8 100 99.6 200 99.5 1000 * See pic When the last trade occurred 11:59:59 @99.7 and then the tape went as follows: 12:00:00:01- 200 @ 99.6 Bid 12:00:00:03- 100 @ 99.8 Ask 12:00:00:06- 1000 @ 99.5 Bid 12:00:00:09- 50 @ 99.9 Ask So there were 1350 units traded in 1 second: 1200 on the bid side & 150 on the ask side. While price ticked up 0.02 How would this be displayed in Sierra Chart? Date Time Of Last Edit: 2016-02-14 02:25:13
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Attachment Deleted. |
book.png| [2016-02-14 04:35:15] |
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Therefore, the Bid traded volume would be 1200 and the Ask traded volume would be 150.
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 |
| [2016-02-14 07:21:48] |
| Neo - Posts: 198 |
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What then happens when trades occur simultaneously? 12:00:00:011- 100 @ 99.7 Bid 12:00:00:011- 100 @ 99.8 Ask There must be an instance where time stamping plays a factor? OR when some type of trade condition messes up the bid/ask allocation. |
| [2016-02-14 08:26:00] |
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Time stamping is not relevant to 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 |
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