Support Board
Date/Time: Wed, 12 Feb 2025 20:56:40 +0000
Market Depth Historical Graph
View Count: 2632
| [2020-11-07 21:11:05] |
| nosast - Posts: 312 |
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John, I doublechecked my settings in MDH. I already have set "Use Last Quantity instead of Max Quantity for Bars" to Yes. So this seems to be not related. Any other idea why MDH liquidity lags updates in DOM? I have the DOM set to 50ms update interval and MDH to 250ms so for sure there is a lag by design but it often really takes way longer than 250ms to update. Somehow depth updates are slower than price updates in the same MDH chart. If I use the Chart DOM at the right side of the MDH chart, this is also updating quicker than liquidity in the chart in these special occurrences. Both use the same Denali feed and the information should come to my PC at the exact same time. Or is there a difference between update intervals of price and depth? Date Time Of Last Edit: 2020-11-07 21:18:37
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| [2020-11-11 12:28:01] |
| User907968 - Posts: 826 |
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Every 10 minutes the system flushes the cached Market Depth Data to the file, which is why there will be a full set of Market Depth every 10 minutes. There are two ways to work around this. The first, and easiest, is simply to use the option for Extend Last Known Depth. This will fill in those spaces where no depth updates have occurred. The second way would be to decrease the Chart Update Interval to something that would cover the time frame of the bars, or at least come close to minimize what you are seeing. I didn't see any real difference in MDHG display between a chart updated at 10ms intervals and another updated at 125ms intervals. Assuming that 'Extend Last Known Depth' means that the MDHG will always reflect the last transmitted depth update for a given level, and does not result in phantom depth levels, then it seems logical to extend the last known depth to cover the cache interval. Still don't really understand why such a difference between 1 second chart and trade based charts, but honestly it doesn't matter. I want to make sure that the charts I am looking at reflect market depth accurately, and so if the solution is to extended the depth, then so be it. Thanks for looking into this. Date Time Of Last Edit: 2020-11-11 12:30:43
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| [2020-11-11 16:12:32] |
| John - SC Support - Posts: 37910 |
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nosast (With regards to Post #25): We are still looking into this. It's not that the update interval is different, but there are differences in how the data is handled internally between the MDHG and the DOM. This is due to the MDHG having to deal with the data for the entire chart, versus the DOM only needing the current data. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-11-11 16:47:03] |
| nosast - Posts: 312 |
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Dear John, thanks for investigating this in detail! Maybe there is some possibility to update the inner book (lets say 10 levels up/down) much more frequently then the whole chart. This would also help for performance issues as the levels of 50 ticks or so away would be ok with a longer update interval I suppose... Date Time Of Last Edit: 2020-11-11 16:47:42
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| [2020-11-12 04:47:22] |
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There is a reason why this happens at times. And we will make sure it is properly documented: Any other idea why MDH liquidity lags updates in DOM?
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 |
| [2020-11-17 20:10:35] |
| John - SC Support - Posts: 37910 |
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For an explanation of what is happening from post #22, refer to the documentation here: Market Depth Historical Graph: Market Depth Historical Graph Timing in Relation to Chart Bar Date-Times For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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