Support Board
Date/Time: Fri, 27 Dec 2024 00:38:07 +0000
Delta inaccuracies on stock subcent fills.
View Count: 1021
| [2016-04-06 08:39:06] |
| gomifromparis - Posts: 244 |
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Hi, Here's a couple executions on MSFT, you see they're executed between the best bid and ask. However sierra always reports them as sells Wouldn't it be more appropriate the split the volume on the buy and sell sides ? Datafeed is IQ Thanks |
 executions.png / V - Attached On 2016-04-06 08:36:27 UTC - Size: 58.2 KB - 277 views negativedelta.png / V - Attached On 2016-04-06 08:36:36 UTC - Size: 34.58 KB - 262 views |
| [2016-04-06 19:01:53] |
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How this works is documented here: https://www.sierrachart.com/index.php?page=doc/doc_NumbersBars.php#Definitions We would not split the volume. Also, the trade must have occurred either at the bid or the ask, but the problem is it is hard to determine which one if it cannot be directly matched to either based on the bid and ask prices at the time. 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 |
| [2016-04-07 08:21:25] |
| gomifromparis - Posts: 244 |
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OK so I'm running a couple of tests, here's a case, Facebook, yesterday, 11:45:49.998 , price 113.3130 Datasource IQ Execution is between bid/ask, price went down (113.3150 to 113.3130), bid went down (113.31 to 113.30) According to the rule "3. The trade occurred between the Bid and the Ask and the Trade direction is a downtick and the Bid direction is a downtick.", shouldn't it be considered a downtick ? However sierra reports an uptick (see pic) |
| sierrafb.png / V - Attached On 2016-04-07 08:20:38 UTC - Size: 59.17 KB - 265 views |
| [2016-04-07 08:50:17] |
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Was this from data collected in real time from IQ Feed because that does make a difference. The implementation of this for historical IQ Feed data is different. Also what time zone is 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 |
| [2016-04-07 08:55:17] |
| gomifromparis - Posts: 244 |
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no it's not real time, this is a IQ historical download using the API File is NY time so 11:45, the sierra chart pic I posted is Paris time hence the 17:45 timestamp The tick I mentioned 11:45:49.998 is NY time. |
| [2016-04-07 09:10:37] |
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OK that explains it. Those rules do not apply. We can fix that. We will get it 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 |
| [2016-04-07 09:18:43] |
| gomifromparis - Posts: 244 |
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I'd like to know what the "bid direction" means. Does is mean that between the 2 last ticks, the last bid direction is down ? or does it mean that the bid of last tick is lower than the bid of previous tick. for instance Bid Trade 10 11 9 8 9 10 on the last trade, the bid is lower then previous trade, but the last actual bid move is an up move (9 instead of 8) What is the bid direction in that case ? |
| [2016-04-07 10:42:47] |
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The bid direction just means if the bid price moves higher or lower compared to the prior bid price update. If there is no change, the prior direction is remembered.
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 |
| [2016-04-07 10:58:05] |
| gomifromparis - Posts: 244 |
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so in previous example it means it's in uptick ? because last bid update was from 8 to 9 ?
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| [2016-04-07 17:15:38] |
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If the bid price moves from 8 to 9, then it is considered up.
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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