Support Board
Date/Time: Mon, 20 Jan 2025 20:53:29 +0000
Bid Ask Depth Bars study inaccurate
View Count: 1818
| [2018-07-05 09:58:43] |
| User106180 - Posts: 88 |
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Hi. I have observed the Bid & Ask Depth Bars study using both historical market depth last and time & sales data to sum the ask side, and compared it to the total above the chart DOM, and they are usually not accurate. I have read the documentation for this study and know that these quantities are only calculated when there is an update to the best ask level, but after observing the change in the best ask level in the chart DOM and checking the output from the study, there is still usually a difference (and it can be quite sizeable). Four requests: 1) At least make the study update accurately and quickly when there is a change at the best ask/bid level. 2) Ideally make the study update when there is a change in any of the market depth levels (not just the best level). If the DOM can be updated quickly at all levels hopefully it would be possible for this study too as well 3) When a new bar is formed on the chart, the Bid & Ask Depth Bar level will often drop to 0 until there is a new record. Would it be possible to extend the value from the prior bar until there is a new value for the current bar so that there isn't this drop to 0. 4) Add the ability in either this study, or a new one, to chart similar aspects of the pulling/stacking data. This was done using CQG, F.US.DA6U18 contract, chart settings market depth is 10 as is the maximum depth levels to use for the study (only applicable when using market depth data instead of time & sales). Happy to send through a screen recording if this would be of assistance. Thanks for all of your help. I really appreciate it. |
| [2018-07-05 10:39:05] |
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There is not anything further we can do to improve the study. 1. This is the case. 2. This is the case when using historical market depth data. 3. We will look at this and see why this scenario might occur. When using the historical market depth data, that does include all market depth data updates at all price levels with bid and ask quantity data. We really do not recommend using the time and sales data. Do not bother with any further testing or analysis of that. We will not comment on any questions in regards to that. 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: 2018-07-05 10:40:14
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| [2018-07-05 10:46:51] |
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Make sure you are using Historical Market Depth-Last for the Source Data Input with the Bid and Ask Depth Bars study. That is going to be up-to-date at every chart update interval and include all of the latest updates at each and every market depth level.
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 |
| [2018-07-05 10:51:34] |
| User106180 - Posts: 88 |
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Thank you for the reply. I appreciate it 1) It isn't the case, at least on my computer. I have observed this study for a period of time and seen the inaccuracies and slow updates. I'm happy to send through a screen recording that illustrates this. 2) The second and third paragraphs of the documentation for this study state at length that it is only updated when the best bid/ask level changes. Ideally it would be great if the study updated when there was a change at any of the levels. |
| [2018-07-05 11:11:24] |
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2. That documentation only applies to when using the Time and Sales data. We will make that clear.
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 |
| [2018-07-05 11:38:10] |
| User106180 - Posts: 88 |
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Thank you for clarifying. It would be great if you could look into point 1 from post #4.
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| [2018-07-06 20:43:31] |
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Regarding Post #5 - We have updated the documentation for the Bid & Ask Depth Studies to make it more obvious that the updates at the Best Bid and Ask only apply when the Source Data is Time and Sales. Regarding Post #6 - We have made recent updates to the Bid & Ask Depth Bars study when using the Historical Market Depth data (either Last or Max) and this data corresponds with what you see when you use the Historical Market Depth study. This was done in release 1776. Make sure you are running the most recent version of the software (currently 1778) and you should not have any issues with the Bid & Ask Depth Bars study as long as you are using the Historical Market Depth data. 1) It isn't the case, at least on my computer. I have observed this study for a period of time and seen the inaccuracies and slow updates. I'm happy to send through a screen recording that illustrates this. We specifically looked into this and we do not observe this. We want you to do comparisons in relation to the Market Depth Historical Graph study.
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 |
| [2018-07-06 20:56:31] |
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This is not going to increase the accuracy of the study but try reducing the Chart Update Interval on that specific chart: Chart Settings: Chart Update Interval in Milliseconds (Chart >> Chart Settings >> Display >> Chart Update Interval menu) 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 |
| [2018-07-09 12:44:36] |
| User106180 - Posts: 88 |
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I'll do comparisons compared to the Market Depth Historical Graph study. However, even if the Bid & Ask Depth Study matches the Market Depth Historical Graph study as you said in post #7, this would then mean that both of these studies don't match the frequency of updates happening in the DOM, which they should. Is it possible to update both studies to match the DOM? Thank you. |
| [2018-07-09 14:21:24] |
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Okay we are getting closer to understanding this. Can you tell us the timeframe of the chart bars . For example, are they 1 Minute or 5 Minute bars or whatever. We will then do some code examination and provide a probable explanation of the issue. We normally do not ask for videos, but if you want to do that, we will have a quick look and then we can confirm if what we think the problem is, is actually what it is. 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: 2018-07-09 14:22:15
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| [2018-07-09 14:27:12] |
| User106180 - Posts: 88 |
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I mainly tested on 5 minute bars, but also 1 minute and 10 second bars. I'll try to do a video in the next day or so. Thanks again for all of your help. |
| [2018-07-10 17:31:56] |
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We do not need any further information. There is one limitation with the underlying market depth data loaded into the chart bars that we need to improve upon. The study is also very sensitive to time stamping of the market depth data. So your computer clock has to be accurate to within milliseconds. Refer to: Incorrect Date and/or Time Display, Missing Historical Intraday Data, Chart Not Updating Or you can use the Sierra Chart Exchange Data Feed to avoid time stamping issues: Sierra Chart Exchange Data Feed The other thing to be aware of, is that when a bar completes, until a new bar begins, there is not going to be any market depth updates for that new bar until it actually appears. 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 |
| [2018-07-11 14:21:16] |
| Clean Floppy - Posts: 17 |
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Hiii i also had a doubt abt bid ask depth bars , i have set the market depth data and set the time and sales storage to max , but after 1hr or more the data seems to get deleted by its own(pc is always in running ) .Is there any setting that i need to do
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| [2018-07-11 18:08:22] |
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In response to the prior post, refer to the documentation for this study. Explains all of this. You should use the Historical Market Depth data and not the Time and Sales data. We also need to make a correction. Previously we said this: There is one limitation with the underlying market depth data loaded into the chart bars that we need to improve upon. This was based upon a misunderstanding. There is no limitation. The underlying market depth data is properly implemented and works properly. The only other remaining possibilities are what we described above (Post #12). So at this point, there are no known issues. This thread is now considered complete.
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: 2018-07-11 18:09:10
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