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Date/Time: Mon, 26 Aug 2019 09:36:31 +0000



Bid and Ask Depth Bars (1950) showing spikes and incorrect values

Support Request:
[2019-07-16 07:53:46]
sunnyod - Posts: 231
Hi,

I've been running 1950 and 1942 side by side with both versions running a very basic chartbook with Bid and Ask Depth Bars only. The depth bars on the latest 1950 occasionally show large tails (spikes) on the wicks when the older 1942 do not. My internet connection is running fine (20MB/s) and has very low latency to CQG and also my PC is not stressed at all and I'm not running opengl.

Also, the values of the depth bars are about 2000 less than the version from 1942 for some reason. On chart settings i've set Maximum Market Depth Levels to '0' Under Data/Trade Service Settings I've set Max Time and Sales Depth Levels to '0' and under Sierra Chart Server Settings I've set Max Depth to '0'. On 1950 I can see all depth levels on my chart DOM (500 for CL on my CQG account).

Please advise if I need to make some changes to settings somewhere

Thanks
S
[2019-07-16 07:58:46]
Sierra Chart Engineering - Posts: 75464
We definitely do not think there is anything wrong and it is not something we are going to look into. What you are seeing would have to be accurate.

We think it is also a mistake to include all 500 levels. In the next release you will be able to control the number of levels in the calculation. We recommend reducing that initially to 10 and how that works. And then you can gradually increase it.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2019-07-16 08:00:09
[2019-07-16 08:06:51]
User350415 - Posts: 131
Yes it's very accurate but you hard-limited the depth to 50 levels. No idea why you make any assesement that this is right or wrong. That should be user's decission how many levels he uses.
Date Time Of Last Edit: 2019-07-16 08:23:04
[2019-07-16 08:24:51]
Sierra Chart Engineering - Posts: 75464
As we said this is going to be adjustable in the next release.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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Date Time Of Last Edit: 2019-07-16 08:24:56
[2019-07-16 17:48:44]
Sierra Chart Engineering - Posts: 75464
I've been running 1950 and 1942 side by side with both versions running a very basic chartbook with Bid and Ask Depth Bars only. The depth bars on the latest 1950 occasionally show large tails (spikes) on the wicks when the older 1942 do not.
In regards to this, we do see what you mean and this has to do with calculations being performed when there is an imbalance between the number of levels on the bid side and ask side. This is now fixed and we will be putting out version 1951.

In general when we say the calculations are accurate, this is true but based upon there being a balance between the bid side and ask side. We did not consider the imbalance issue.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2019-07-17 12:30:43]
sunnyod - Posts: 231
Hi, I updated to 1951 this morning but I'm still getting spikes on the depth bars
[2019-07-17 13:11:07]
User535843 - Posts: 9
version 1951 Spikes: Offer side drops from 3700ish to 120ish & bid side drops from 4500ish to 1000ish. And also during the CL opening of today, there is 1 min missing of bid/ask depth data. It's just blank. Hope this info will help u to look into the issue.

PS: Edited for clarification of data.
Date Time Of Last Edit: 2019-07-17 18:22:37
[2019-07-17 15:53:09]
User350415 - Posts: 131
Dear SierraChart, could you elaborate little more what kind of data structure are Depthbars based on now since they dont use T&S anymore? There is no info other than "The calculations necessary for the Bid and Ask Depth Bars study is now done at a low level".

Also it would be nice to know how/why this new version is better/more accurate vs previous T&S version.

Thank you
Date Time Of Last Edit: 2019-07-17 15:55:23
[2019-07-18 08:26:03]
Sierra Chart Engineering - Posts: 75464
And also during the CL opening of today, there is 1 min missing of data. It's just blank. Hope this info will help u to look into the issue.
Regarding this we do not see any missing Historical data for CQG around that time for that contract. Follow the instructions here:

https://www.sierrachart.com/index.php?page=doc/HistoricalIntradayData.html#RetryDownloadDataInChart

Hi, I updated to 1951 this morning but I'm still getting spikes on the depth bars
This must be to a much lesser extent with the current filtering we have implemented. Provide a chart image of this.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2019-07-18 08:26:41
[2019-07-18 09:03:06]
sunnyod - Posts: 231
Sure see attached. This is from version 1952 this morning
Date Time Of Last Edit: 2019-07-18 09:05:45
Private File
Private File
[2019-07-18 09:27:02]
User350415 - Posts: 131
This must be to a much lesser extent with the current filtering we have implemented

That sounds scary. What kind of filtering are you talking about?!? We need to see true spectrum of depth. Don't filter anything!

I kindly ask again what kind of data is Depthbars study based on since it doesnt use T&S? You owe your users that explanation otherwise noone will trust this study. Also this way we could be more helpful with testing it. Thank you.
Date Time Of Last Edit: 2019-07-18 10:08:15
[2019-07-18 18:32:29]
Sierra Chart Engineering - Posts: 75464
In regards to post #10, we need you to post an image following the instructions here:
https://www.sierrachart.com/index.php?page=PostingInformation.php#PostingAnImage

Essential information is not visible on those charts. They are meaningless to us.

That sounds scary. What kind of filtering are you talking about?!? We need to see true spectrum of depth. Don't filter anything!

I kindly ask again what kind of data is Depthbars study based on since it doesnt use T&S? You owe your users that explanation otherwise noone will trust this study. Also this way we could be more helpful with testing it. Thank you.

The filtering we do is based on imbalance between the number of levels on the bid side and ask side. If the imbalance is exceeding more than an 80% difference between the number of levels on the bid side and ask side, then we skip doing any calculations on that current market depth state. Normally there will be a balance.

The calculations are based on the actual market depth data as it changes. The calculations are much more complete now than previously. The depth data we would record with time sales data was only snapshot. There is a considerable more degree of precision now than previously.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2019-07-18 18:32:53
[2019-07-19 09:46:17]
sunnyod - Posts: 231
Just taken this screenshot.... http://www.sierrachart.com/image.php?Image=1563529519842.png
[2019-07-22 14:13:00]
User350415 - Posts: 131
The calculations are based on the actual market depth data as it changes. The calculations are much more complete now than previously. The depth data we would record with time sales data was only snapshot. There is a considerable more degree of precision now than previously.

Why only a snapshot?? So isn't the s_TimeAndSales data structure with s_TimeAndSales::Type set to SC_TS_BIDASKVALUES supposed to contain EVERY bid/ask quotation from data feed and hence record every depth change??

(Of course reading single recent T&S record at chart update interval would obviously give just a snapshot but I mean proper processing of ALL T&S records including those between chart update interval.)
[2019-07-22 16:05:09]
User729038 - Posts: 3
Full DOM is very important. Please leave it!
[2019-07-22 16:05:50]
User209218 - Posts: 26
I use the full depth on CL, please continue to provide. Thanks
[2019-07-22 16:06:02]
User450950 - Posts: 5
I use the depth bars with crude oil to trade so could you please not mess with the DOM please ... would like to be able to see the Full dom.

Thank you in advance
[2019-07-22 16:07:26]
Mpapile - Posts: 3
+1. need full depth here as well.
[2019-07-22 16:08:48]
Pjimmy - Posts: 8
me too. full depth is important.
[2019-07-22 16:10:26]
user777 - Posts: 3
Yes please keep full depth as this is very important.
[2019-07-22 16:34:57]
Sierra Chart Engineering - Posts: 75464
In regards to posts 15, 16, 17, 18, 19, 20, what is this all about? There are no limitations with market depth data. Do not just post without understanding what it is you are referring to and clearly make reference to what it is you are referring to. There are no limitations with market depth data. Full depth data is processed. Do not post here further, about this. There is not any issue here at all.


Why only a snapshot?? So isn't the s_TimeAndSales data structure with s_TimeAndSales::Type set to SC_TS_BIDASKVALUES supposed to contain EVERY bid/ask quotation from data feed and hence record every depth change??
What is the basis of this post since this issue has been resolved in newer versions of Sierra Chart where the calculations are based upon market depth data changes at all levels. The way this works in previous versions is also documented:
https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=213&Name=Bid_Ask_Depth_Bars

When the Input Source Data is set to Time & Sales then the Bid Market Depth and Ask Market Depth quantity totals are calculated when there is a change with Market Depth at the best Bid and Ask level only. This includes either the prices or quantities change. This creates a snapshot of total Bid Market Depth and total Ask Market Depth at that moment in time.

This is no longer a limitation in the current version of Sierra Chart. Also, the number of market depth levels processed related to that study within each individual chart is controlled with this setting:
https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#MaximumMarketDepthLevels



For the latest updates, use prerelease 1954 or 1955 which we are coming out with in about an hour.

In regards to post #13:
http://www.sierrachart.com/image.php?Image=1563529519842.png

we think this is a CQG specific issue. We made a change which we think will resolve this. Use version 1954.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2019-07-22 16:38:27
[2019-07-22 16:38:45]
Sierra Chart Engineering - Posts: 75464
The prior post has been updated. There were some dictation errors.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2019-07-22 20:38:12]
User350415 - Posts: 131
What is the basis of this post

Depthbars T&S snapshots issue is clear now thank you.

But could you confirm if T&S data structure contains ALL depth changes so they can be read when s_TimeAndSales::Type is set to SC_TS_BIDASKVALUES then reading s_TimeAndSales::TotalBidDepth and s_TimeAndSales::TotalAskDepth? Thank you
[2019-07-23 04:24:16]
Sierra Chart Engineering - Posts: 75464
The answer is no. How that works is explained here:
When the Input Source Data is set to Time & Sales then the Bid Market Depth and Ask Market Depth quantity totals are calculated when there is a change with Market Depth at the best Bid and Ask level only. This includes either the prices or quantities change. This creates a snapshot of total Bid Market Depth and total Ask Market Depth at that moment in time.

The total calculations are not done when there are changes of depth at other levels other than the best level.

But this data is no longer used with the Bid and Ask Depth Bars study.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2019-07-23 08:10:11]
User350415 - Posts: 131
Yes that's totally clear.

But I was asking about T&S data structure in general. Not regarding previous implementation of depth bars.

Does T&S data structure records EVERY depth change?
[2019-07-23 12:19:22]
sunnyod - Posts: 231
For some reason 1955 and 1956 are causing my charts to lock up and i have to kill sierra and restart it. I've rolled back to 1941 and they're working fine again

I tried safe mode but that didn't help
Date Time Of Last Edit: 2019-07-23 13:05:34
[2019-07-23 14:10:59]
User41727 - Posts: 63
B&A is not working for me at all with 1956. It just shows 0.0 as the value.
[2019-07-23 14:31:54]
sunnyod - Posts: 231
Yup i had that issue too (post 27)
[2019-07-23 15:11:35]
User41727 - Posts: 63
1953 works, but I find that there are a lot of 0.0 values too, at least for stocks. I wonder if this has something to do with the aforementioned filtering if there is too large an imbalance.
[2019-07-23 16:49:40]
Sierra Chart Engineering - Posts: 75464
In regards to post 27, 28 and 29, this was a small logic mistake made, related to validating the data. We are releasing a new version in about 20 minutes to resolve this.


Does T&S data structure records EVERY depth change?
No.

For some reason 1955 and 1956 are causing my charts to lock up and i have to kill sierra and restart it. I've rolled back to 1941 and they're working fine again
This is a concern when using CQG with CL with 500 levels of market depth due to the calculations being performed on the primary thread. You really need to use the Denali Exchange Data Feed:
https://www.sierrachart.com/index.php?page=doc/DenaliExchangeDataFeed.php

For more detailed information, refer to:
https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php

These are much higher performance data feeds with market data processing done on a background thread.


Unless there is some other cause that we are not aware of. But nevertheless this is something we have been concerned with.

Also, with advanced market depth data processing which exists now with all the market depth functionality in Sierra Chart no other data feed is going to provide the best results and performance other than the Sierra Chart data feeds. The performance and the connectivity is very superior when using the Sierra Chart data feeds rather than CQG.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2019-07-23 17:03:21
[2019-07-23 17:45:02]
User41727 - Posts: 63
I'm still not seeing any B&A data for equities when using 1957.
[2019-07-23 17:48:07]
Sierra Chart Engineering - Posts: 75464
For the time being you will not for those symbols because there is no market depth data for them.

There is only the best level and the calculations are not being performed when there is only a single level of depth.

We will work out a solution for this.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2019-07-23 17:59:32]
User41727 - Posts: 63
Brilliant. This is a deal breaker for me, and I will have to continue using an old version or outright switch to another platform.

There are several solutions for this:

1) Simply calculate the ratio for the top of the book depth similar to how Cumulative Delta works

2) Properly allow the use of broker-provided L2 data while using the Sierra feed for L1. This does not currently work with IB for instance even when explicitly setting the exchange code.

3) Offer L2 for equities with the Sierra feed
[2019-07-23 20:30:01]
Sierra Chart Engineering - Posts: 75464
We will work out a solution in the next couple of days.

Also what we said previously in regards to the data feed and market depth data processing on a background thread, is true with the Sierra Chart data feeds but the calculations for Bid and Ask depth bars during real-time updating of the chart is done on the primary thread. We will provide more details about this and explain how to reduce CPU usage.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2019-07-23 20:30:36
[2019-07-25 13:57:52]
caligola - Posts: 41
Dear support,
today I have installed the latest current version which is the 1957
I'm missing a couple of inputs:
Source Data
Maximum Depth Levels to Use

1957
https://i.imgur.com/UvviAj6.png

the latest version where it is working as always it used to work is the 1941
https://i.imgur.com/NWU4xXR.png


I can see in your guide that I should be able to choose between different data sources and the maximum depth levels to use

https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=213&Name=Bid_Ask_Depth_Bars#Inputs


Please check this study output, with the same DEPTH file there is a substantial difference between SC 1957 and SC 1941

Thank You
[2019-07-25 14:55:28]
User657944 - Posts: 173
Hi Caligola, sorry to ask but do you have a Transact account or a sierra account? I ask because I'm with Transact and the only way to have correct volumes is to use 1941.
thx
[2019-07-25 15:04:59]
caligola - Posts: 41
Hi User657944 , I'm using the Sierra Chart Real-Time datafeed with a sierra account
[2019-07-25 15:17:42]
User657944 - Posts: 173
Thx
[2019-07-25 18:15:18]
Sierra Chart Engineering - Posts: 75464
In regards to post #35 you need to post images of the charts following these instructions here:
https://www.sierrachart.com/index.php?page=PostingInformation.php#PostingAnImage

Repost those images following the above instructions.

In newer versions with the Bid and Ask Depth Bars study, the number of levels used in the calculation is controlled with this Chart Setting:
https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#MaximumMarketDepthLevels
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2019-07-25 18:15:25
[2019-07-25 19:42:21]
caligola - Posts: 41
1957
http://www.sierrachart.com/image.php?Image=1564083380349.png

1941
http://www.sierrachart.com/image.php?Image=1564083398963.png

same DEPTH file
the chart is the same, I did a copy of the SC 1941 chartbook so all chart settings are the same
[2019-07-26 06:01:01]
Sierra Chart Engineering - Posts: 75464
We are trying to reproduce the condition that is causing the out of range values as shown in this chart image here:
http://www.sierrachart.com/image.php?Image=1564083380349.png

So far we cannot reproduce this condition.

Provide us that chart by following these instructions here:
https://www.sierrachart.com/index.php?page=doc/PostingInformation.php#ProvidingChartbookSingleChart

And is that chart from a sub instance of Sierra Chart?
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2019-07-26 06:03:21
[2019-07-26 09:12:05]
caligola - Posts: 41
the chart is from a Destination instance as described here
https://www.sierrachart.com/index.php?page=doc/MultipleServices.html#AccessingMarketDataFromOtherInstancesOfSierraChart_Instructions
At the time of the screenshot this was the setup:
Source instance 1941
Destination instance 1957
Please find attached the chartbook


I have also experienced the issue having 1957 on Source and Destination instance but the downgrade didn't solved
---------------------

I have noticed that if I add a Market Depth Historical Graph study, there is an hole in the DEPTH data but the file is the same (previously recorded in the Destination instance 1957)


1941, no hole
http://www.sierrachart.com/image.php?Image=1564131488804.png


1957, there is a hole
http://www.sierrachart.com/image.php?Image=1564131447703.png
Private File
[2019-07-26 19:14:16]
Sierra Chart Engineering - Posts: 75464
the chart is from a Destination instance as described here
https://www.sierrachart.com/index.php?page=doc/MultipleServices.html#AccessingMarketDataFromOtherInstancesOfSierraChart_Instructions
At the time of the screenshot this was the setup:
Source instance 1941
Destination instance 1957
Please find attached the chartbook
This is not a technically correct set up for the Bid and Ask Depth Bars study in the latest version. We would have to analyze why specifically you get the result that you do, but the study will not have the necessary data with this configuration. We will not spend further time analyzing this.

The study is only assured to show data and be correct, when using the latest version of Sierra Chart. Which is currently 1957. You must be using this version or higher consistently. Data from an older version will not work properly with this study.



I have noticed that if I add a Market Depth Historical Graph study, there is an hole in the DEPTH data but the file is the same (previously recorded in the Destination instance 1957)
This means there was no market depth data recorded there. There is a difference in what is displayed by default between the versions.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2019-07-26 19:17:03
[2019-07-27 08:59:47]
caligola - Posts: 41
Data from an older version will not work properly with this study.
this is the relevant part.
It means that my .DEPTH files archive is useless and I have to setup two Source instances side by side, one with a 1941 and the other one with the latest version available in order to try to replicate what I'm currently using.

Now I understand the great improvement you did, but please let us distinguish the number of levels used in Chart Setting from the number of levels used in the calculation of the Bid and Ask Depth Bars study.
I'm asking this because I'm used with the full depth in the ChartDOM while in the Bid and Ask Depth Bars study I need a much smaller number of levels.

Thank You
Date Time Of Last Edit: 2019-07-29 06:29:57
[2019-08-02 09:08:57]
caligola - Posts: 41
please let us distinguish the number of levels used in Chart Setting from the number of levels used in the calculation of the Bid and Ask Depth Bars study.
I'm asking this because I'm used with the full depth in the ChartDOM while in the Bid and Ask Depth Bars study I need a much smaller number of levels.
The problem is to use the same setting for ChartDOM and Bid and Ask Depth Bars study.
Please reintroduce specific setting for Bid and Ask Depth Bars in the study itself as it was in the past

full depth
http://www.sierrachart.com/image.php?Image=1564736483808.png

less levels due to Bid and Ask Depth Bars study calculations with impact to chartDOM too
http://www.sierrachart.com/image.php?Image=1564736504937.png
Date Time Of Last Edit: 2019-08-02 09:12:48
[2019-08-04 02:57:22]
Sierra Chart Engineering - Posts: 75464
It cannot be on the study itself. It would need to be a separate chart setting. We will work on that.
Sierra Chart Support - Engineering Level

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