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Date/Time: Mon, 16 Dec 2019 00:54:40 +0000



Wrong behavior of Recent Bid/Ask volume DOM columns?

[2019-10-30 17:02:00]
BenjParis - Posts: 39
Hello,
on my DOM I added "Recent Bid/ask volume" columns.

In "Chart Dom settings >> Recent Bid ask Volume time out in milliseconds" I set 1 ms.
The logical result would be to have the cell reset whenever the price goes out of cell for > 1ms and comes back in. From the doc:

This value sets the amount of time, in milliseconds, that a price can move away from a Recent Bid or Recent Ask value and then move back without resetting the Recent Bid or Recent Ask Volume.

Example 2: The Recent Bid Ask Volume Timeout in Milliseconds is set to 2500, and the Recent Bid Column is displayed in the Chart DOM. The initial Bid Price is 6575 and accumulates a volume of 2. The Bid Price then moves to 6576 and accumulates trades with a volume of 3 and then to 6577 and accumulates trades with a volume of 5. It then then returns to 6575 after more than 2500 milliseconds has elapsed and another trade occurs with a volume of 1. In this case the Recent Bid volume at the price of 6575 is reset and accumulates starting at a value 1.

However, this is not what happens. Frequently the price stays away far more than 1ms, comes back to level without resetting cell content.

Unless I missed something, there is a problem here.
Date Time Of Last Edit: 2019-10-30 18:41:25
imagesetting.PNG / V - Attached On 2019-10-30 17:01:52 UTC - Size: 93.13 KB - 33 views
[2019-11-01 10:43:26]
BenjParis - Posts: 39
Hello,
I need to understand the behavior of the plateform i'm using.
Please enlighten me if it's a problem with my understanding of the feature or a problem with the plateform as I see no coherent behavior.

Please look at the videos that illustrate the problem:

1)
"Chart Dom settings >> Reset recent BID/ASK volume on Bid/ask change" is CHECKED
"Chart Dom settings >> Recent Bid ask Volume time out in milliseconds" SET TO 0

Expected behavior: each time price trades at another level, then comes back to trade to a previous level, that previous level should reset.
It is not what is happening:
https://youtu.be/_czmtpmDMjY

2)
"Chart Dom settings >> Reset recent BID/ASK volume on Bid/ask change" SET TO UNCHECKED (but is same when this is checked)
"Chart Dom settings >> Recent Bid ask Volume time out in milliseconds" SET TO 10 ms

Expected behavior: each time price trades at another level, then comes back to trade to a previous level after 10ms, that previous level should reset.
This is not what is happening:
https://youtu.be/e0FxSpPb3io
Date Time Of Last Edit: 2019-11-01 10:48:20
[2019-11-13 17:06:15]
BenjParis - Posts: 39
Hello,
is it possible to have a clarification on this please?

According to the settings, the reset behavior as shown in video seems incorrect.
Can someone confirm?
[2019-11-15 04:31:43]
Sierra Chart Engineering - Posts: 79201
We updated the documentation here in regards to this:
https://www.sierrachart.com/index.php?page=doc/GlobalTradeSettings.html#RecentBidAskVolumeTimeoutInMilliseconds

This is the relevant section:
The resetting is fully independent between the Recent Bid Volume and Recent Ask Volume price levels. So the last trade price could move between these two different Bid and Ask price levels but those Bid and Ask price levels are not changing. The Bid Volume and Ask Volume at those price levels will continue to increase without resetting.

Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2019-11-15 13:39:50
[2019-11-15 10:59:06]
BenjParis - Posts: 39
Thanks.
So if I understand correctly, the reset requires that the price trades at same side before being enabled: for example, for the BID to reset, it needs to trade at another BID level and come back, correct?
[2019-11-15 13:51:07]
Sierra Chart Engineering - Posts: 79201
We updated the paragraph in our post #4 above to make this more clear.

The way you describe it does not sound completely technically correct. But this portion of what you said is correct:
it needs to trade at another BID level and come back, correct?

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.
Date Time Of Last Edit: 2019-11-15 13:51:52
[2019-11-15 16:36:48]
BenjParis - Posts: 39
Yes, thanks for updating that paragraph, but it is still not perfectly clear:

The resetting is fully independent between the Recent Bid Volume and Recent Ask Volume price levels. So the last trade price could move between these two different Bid and Ask price levels but those Bid and Ask price levels are not changing. The Bid Volume and Ask Volume at those price levels will continue to increase without resetting.

Ok price can move between BID and ASK and not rest, but what resets it then (except the ms delay)?
Does it need to move from BID to another BID then comeback to that first BID to reset?
And so it doesn't reset if moving from BID to ASK then back to BID without traveling to another BID in between?

Is that it?
[2019-11-15 17:16:50]
Sierra Chart Engineering - Posts: 79201
Does it need to move from BID to another BID then comeback to that first BID to reset?
Yes.


And so it doesn't reset if moving from BID to ASK then back to BID without traveling to another BID in between?
Yes.
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.

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