Support Board
Date/Time: Sat, 01 Feb 2025 16:01:12 +0000
1957 pull stack question ?
View Count: 718
| [2019-07-25 17:47:06] |
| zippyzip - Posts: 293 |
|
hi i updated to 1957 and noticed the pull stack on the chart dom is very diff , is there reason for this or documentation on the update to this , or is it a mistake ? as crude oil pull stack would never be this high unless your counting totals from full count
|
Private File |
| [2019-07-25 18:27:24] |
| |
|
You are using CQG, the way this is calculated is the only reasonable way the calculation can be done with CQG. There has been a change with this. The change is that with CQG the calculations for pulling and stacking on a market depth update are done after all of the depth updates are processed in a batch as they are given from the data feed rather than after each one because the updates will create an invalid order book until they are all fully processed in a batch. This is the only correct way to do this. Otherwise it can cause quantity imbalances between the bid and ask side until they are all done. If you want an accurate calculation, asssuming the CQG one is not accurate, you must use this data feed: Denali Exchange Data Feed We cannot provide further help in regards to this with CQG data. We do not provide this technical help any longer for external data feeds like CQG. 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: 2019-07-25 18:40:44
|
| [2019-07-25 18:38:01] |
| |
|
We provided further information above but thinking through this more, there may be a problem with the change we made and we are going to make another change with CQG depth processing to ensure the calculation is as accurate as it can be when using CQG. However it must be understood that due to sophisticated market depth calculations being done in Sierra Chart now, the only assured accurate data feed for market depth will be the Sierra Chart provided data feeds: Denali Exchange Data Feed 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: 2019-07-25 18:39:23
|
| [2019-07-25 20:05:55] |
| |
|
We will have a new version in about 20 minutes, 1958, with the change with CQG depth processing which will hopefully resolve or minimize any potential issue with market depth pulling and stacking calculations. The market depth pulling and stacking calculations and also a flag related to the summing of the bid side and ask side is all done as a single step after a batch of updates. This is how the CME specifies it needs to be done since the state of the book is not valid until a series of updates are done at once. The problem is only with the Sierra Chart provided data feeds, do we know the exact point at which a batch of updates completes as it originates from the CME multicast feed. With CQG we cannot be completely sure about that. We may be able to incrementally do pulling and stacking calculations with CQG thinking about this some more but this leads to other issues because of the flag related to the summing of the bid side and ask side also has to be set at the right point in time which will not be if we do incremental processing related to pulling and stacking. So this is the long technical explanation behind all 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: 2019-07-25 20:07:36
|
To post a message in this thread, you need to log in with your Sierra Chart account: