Support Board
Date/Time: Sat, 01 Feb 2025 22:48:57 +0000
Depth of Market partially missing during replay?
View Count: 951
| [2019-07-23 20:48:19] |
| joemarc - Posts: 11 |
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I have Sierra Chart configured to "Record Market Depth Data". When I look at the live market, it appears correct, see good-dom.png attached. When I replay the market, I do see some DOM data and the Market Depth Historical Graph does seem to update as if it has full DOM data, but the price ladder is missing DOM for various price levels. See bad-dom.png attached. Does anyone know why replaying does not show all DOM activity for me? |
 good-dom.png / V - Attached On 2019-07-23 20:46:13 UTC - Size: 50.62 KB - 310 views bad-dom.png / V - Attached On 2019-07-23 20:46:18 UTC - Size: 40.13 KB - 315 views |
| [2019-07-24 09:39:27] |
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We will check on 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 |
| [2019-07-24 17:45:02] |
| John - SC Support - Posts: 37656 |
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To a certain extent what you are seeing is normal, in that when you first start a replay, it is going to fill in the Market Depth as it gets new values. Therefore, especially during slow market times, there may not be an update to a value for a few bars, and the Market Depth will show those kind of gaps. But, if you let the replay go for a few bars (10 or so, but it depends on how active the market was at the time of the replay), we would expect to see most of them fill in. How long did was the replaying running when you took the image of the "Bad Dom"? If it was just a few bars, then try again and let it run for about 10 bars see if the depths fill in. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-07-24 19:55:14] |
| joemarc - Posts: 11 |
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I've tried replaying today's charts and even after many bars are drawn on the ES charts, the depth of market data is still missing. Interestingly, if I replay a ZN chart for the day, all of the depth of market data is present during the replay. Could this be a difference in CME vs CBOT data? Is there any other setting I can check? When the DOM data is missing on the ES, the studies still seem to show correct data, but all price ladders for ES are missing data. |
| [2019-07-24 20:32:56] |
| John - SC Support - Posts: 37656 |
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We are not sure then why you are seeing what you are. Can you please add the Market Depth Historical Graph to the chart and then take another screenshot during the replay? And let us know at what point the replay started in the screenshot (or at what time, if the screenshot includes the horizontal scale). For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-07-25 01:13:01] |
| joemarc - Posts: 11 |
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Thanks John. Attached are 3 more screenshots. I created a very basic new chart to test this. The changes I made were enabling Trading Chart DOM and adding the Market Depth Historical Graph study. I ran each replay from 9am today at 120x speed. As you can see from the screenshots, ZN shows the order book at all levels, but the ES is missing order book data at seemingly random levels. Both charts appear to have the Market Depth Historical Graph updating as the replay moves along. I see the same info (complete on ZN, missing on ES) on both the Chart DOM and Trading DOM. I've attached an ES Trading DOM screenshot as well. Let me know what you think. |
| es-dom-replay.png / V - Attached On 2019-07-25 01:03:57 UTC - Size: 68.79 KB - 297 views zn-dom-replay.png / V - Attached On 2019-07-25 01:04:02 UTC - Size: 110.84 KB - 292 views es-trading-dom-replay.png / V - Attached On 2019-07-25 01:11:09 UTC - Size: 54.97 KB - 305 views |
| [2019-07-25 17:11:46] |
| John - SC Support - Posts: 37656 |
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Can you please attach the Chartbook with the ES chart in it per these instructions: Support Board Posting Information: Providing Chartbook with Only a Single Chart For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-07-25 22:51:13] |
| joemarc - Posts: 11 |
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Attached is the chartbook with both ES and ZN chart. The ES shows the missing DOM info, but the ZN works fine. Let me know if there's any other info I can provide. |
 Debug.Cht - Attached On 2019-07-25 22:50:22 UTC - Size: 60.96 KB - 277 views |
| [2019-08-09 22:50:42] |
| 101010 - Posts: 18 |
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Was this issue ever resolved? I am experiencing the same issue.
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| [2019-08-10 00:11:35] |
| joemarc - Posts: 11 |
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Nope.
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| [2019-08-10 15:43:57] |
| John - SC Support - Posts: 37656 |
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Sorry, no. We have not been able to figure out what is happening yet, as we have been unable to reproduce it. It is still being looked into.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-08-10 15:44:12
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