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Direct MessagesDate/Time: Sat, 27 Apr 2024 13:09:37 +0000
Bid and Ask Depth Bars (1950) showing spikes and incorrect values
View Count: 5090
| [2019-07-16 07:53:46] |
| samual sprat - Posts: 343 |
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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] |
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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. 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: 2019-07-16 08:00:09
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| [2019-07-16 08:06:51] |
| User132748 - Posts: 159 |
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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
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| [2019-07-16 08:24:51] |
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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. 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: 2019-07-16 08:24:56
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| [2019-07-16 17:48:44] |
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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. 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 |
| [2019-07-17 12:30:43] |
| samual sprat - Posts: 343 |
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Hi, I updated to 1951 this morning but I'm still getting spikes on the depth bars
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| [2019-07-17 13:11:07] |
| Tooth Fairy - Posts: 79 |
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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
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| [2019-07-17 15:53:09] |
| User132748 - Posts: 159 |
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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
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| [2019-07-18 08:26:03] |
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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:Historical Intraday Data (Missing Data / Download Errors / Viewing More Data): Retrying the Download When There is Data in the Chart 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 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: 2019-07-18 08:26:41
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| [2019-07-18 09:03:06] |
| samual sprat - Posts: 343 |
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Sure see attached. This is from version 1952 this morning
Date Time Of Last Edit: 2019-07-18 09:05:45
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Private File Private File |
| [2019-07-18 09:27:02] |
| User132748 - Posts: 159 |
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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
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| [2019-07-18 18:32:29] |
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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. 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: 2019-07-18 18:32:53
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| [2019-07-19 09:46:17] |
| samual sprat - Posts: 343 |
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Just taken this screenshot.... http://www.sierrachart.com/image.php?Image=1563529519842.png
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| [2019-07-22 14:13:00] |
| User132748 - Posts: 159 |
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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: 4 |
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Full DOM is very important. Please leave it!
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| [2019-07-22 16:05:50] |
| User209218 - Posts: 34 |
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I use the full depth on CL, please continue to provide. Thanks
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| [2019-07-22 16:06:02] |
| User450950 - Posts: 9 |
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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] |
| user9990910 - Posts: 15 |
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+1. need full depth here as well.
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| [2019-07-22 16:08:48] |
| Pjimmy - Posts: 13 |
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me too. full depth is important.
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| [2019-07-22 16:10:26] |
| user777 - Posts: 7 |
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Yes please keep full depth as this is very important.
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| [2019-07-22 16:34:57] |
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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: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: Chart Settings: Maximum Market Depth Levels (Chart >> Chart Settings >> Market Depth menu) 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. 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: 2019-07-22 16:38:27
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| [2019-07-22 16:38:45] |
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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. 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 |
| [2019-07-22 20:38:12] |
| User132748 - Posts: 159 |
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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] |
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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. 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 |
| [2019-07-23 08:10:11] |
| User132748 - Posts: 159 |
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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? |
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