Support Board
Date/Time: Tue, 04 Mar 2025 15:07:05 +0000
Inconsistent volumes
View Count: 1013
| [2021-11-15 10:25:55] |
| User740709 - Posts: 153 |
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Hello, I use Denali datafeed for EUREX. I have my Intraday Data Storage Unit set to 1 tick. I use the Combine Trades Into Original Summary Trade in my Advanced Settings 3 in Chart Settings. I have two questions and I attach two screenshots with them. 1) The screenshot shows two Footprint charts taken at identical time, the first one has the Combine Trades... selected, the second does not. How is it possible that if you add the volumes on bid and ask at each price, you get a different result? The footprint with the trades not combined has more contracts then the combined footprint. 2) The screenshot shows Time and Sales, a standard time-based chart (with Large Trade Study for dots for trades larger than 249) and a filtered footprint chart (trades larger than 249). All three have the Combine trades Into... setting selected, however, the Time and Sales shows a block buy, while the charts do not. Is that correct? Thank you very much. Kind regards, H. |
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| [2021-11-15 16:01:44] |
| John - SC Support - Posts: 38342 |
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1. It is going to be dependent on the time setting for the summary trade and whether that time is within the current bar or not. Therefore, it could either pull in to one bar or push out to the next. Whereas the underlying trades are at the different times and therefore just get associated with the bar for which the time of the trade occurred. 2. You would need to have the Time and Sales combining being done with the option Combine into Exchange Reported Original Summary Trade, in order to ensure that the combining is the same in the Time and Sales and in the Chart. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-11-15 16:47:42] |
| User740709 - Posts: 153 |
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Thanks a lot, No. 1 - sounds logical, understood. No. 2 - I double checked and as I have already wrote, they are all (TS as well as both charts) set to Combine into exchange reported original summary trades. Nevertheless it sometimes happens, just like as is seen in the screenshot, that the large trade is printed on TS but not on the charts. Any reason for that? Thank you! H. |
| [2021-11-15 17:29:11] |
| John - SC Support - Posts: 38342 |
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It should definitely be there if the combine settings are the same. The thing to do when you see this is to disconnect from the data feed (make sure you are not in a trade at the time), duplicate the Numbers Bars chart and then change the Chart Bar Period to Number of Trades and the number of trades set to 1 (so you have a 1 tick chart). This way you can see how the system is dealing with that trade. Find that specific trade and determine if it is showing up properly in the Numbers Bars (which it should). If it is there, then it should also have the Large Volume Trade Indicator next to it. From there, let us know where the particular issue lies and we can troubleshoot from there. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-11-15 17:58:48] |
| User740709 - Posts: 153 |
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OK, I will try.
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| [2021-11-26 14:44:38] |
| User740709 - Posts: 153 |
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OK, here is one from today, though they happen very often recently. Missing block on the numbers bars charts - in both, the settings Combine trades into original summary trade, is selected. Both are set to 1 trade per bar and as you can see, none of them show the block that is shown in Time and Sales (yellow circle shows the same time period). Could you advice? Thank you. H. |
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| [2021-11-26 15:21:27] |
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Provide us that chart by following these instructions: Support Board Posting Information: Providing Chartbook with Only a Single Chart And we must know the time zone of that chart. 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 |
| [2021-11-26 15:28:56] |
| User740709 - Posts: 153 |
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OK, here you go. The time zone chosen in Chart Settings is Glogal and it is set from 0:00:00 to 23:59:59
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| [2021-11-26 15:54:42] |
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What is the global time zone set to in Sierra Chart?
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: 2021-11-26 15:54:50
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| [2021-11-26 16:44:18] |
| User740709 - Posts: 153 |
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The Time Zone setting at Chart Settings - Advance Settings is set to "Use Global Time Zone. If you mean Time Zone in Global Settings - Time Zone settings, it is "Brussels". Date Time Of Last Edit: 2021-11-26 16:46:22
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| [2021-11-26 20:12:53] |
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Thank you. We are looking into the issue and will get this resolved. The problem is that with EUREX there is not entirely reliable process to identify, the end of a block of trades associated with a particular summary trade. We have to close the summary trade using other means leading to this volume 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 Date Time Of Last Edit: 2021-11-26 20:14:47
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| [2021-11-27 17:13:19] |
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This has been resolved in prerelease 2331. Instructions to update: Software Download: Fast Update 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 |
| [2021-11-29 09:33:09] |
| User740709 - Posts: 153 |
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Dear all, Thanks for your effort, however, here is a screenshot from a fex mins ago. The large trade (though divided between sell and buy???) registered in the standard Numbers bar chart but not in the chart with large volume study (above 249 contracts). So there still must be some missing piece here. Thanks. Regards, H. |
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| [2021-11-29 15:59:57] |
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We do still see an issue but not what you are seeing. This is what we see: http://www.sierrachart.com/image.php?Image=1638201463431.png The problem is the total volume is not correct but the individual bid and ask volume are. We are looking into 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: 2021-11-29 16:00:25
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| [2021-11-30 21:38:39] |
| John - SC Support - Posts: 38342 |
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Use one of your backup Chartbook files in order to see if you can get back to your charts the way you were expecting them to be. You will need to close Sierra Chart first, which if it is being unresponsive you will have to use the Task Manager to close. And then restart it and not open any chartbooks. If you are setup to automatically open chartbooks, then make sure you select Cancel one time on the Login Screen, which will stop the automatic login, then deselect the option for Open Files on Startup and then select OK to do the login. Then refer to the following for how to use a backup file: Chartbooks (Workspaces): Accessing a Backup Chartbook File For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-11-30 21:50:08] |
| User740709 - Posts: 153 |
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Huge thanks, John, for your fast response. I managed to uncheck the "Open files..." in the dialog box that appears after I click on the SC icon. Then only SC opened without chartbooks. I downloaded the prerelease and only then I opened the chartbooks with correct settings. All working now again. |
| [2021-12-01 08:31:43] |
| User740709 - Posts: 153 |
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Hello, I do not know if that is going to help in some way but I noticed with regards to the combined trades (blocks): On the DOM, the large trade registers at one price but on Time and Sales and in the charts it sometimes appears one tick lower or higher. It happens so fast that I am unable make a screenshot without really focusing on it. If I spot it in the future, I will try to be quick enough. I know you are dealing with the fact where Eurex reports the trade in some way, however if it happens in DOM at a different price it is questionable what is correct then. Thank you. Date Time Of Last Edit: 2021-12-01 08:32:28
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| [2021-12-01 22:18:41] |
| Sierra_Chart Engineering - Posts: 18641 |
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We are still looking this over. We will get the issue resolved. Not likely it will get resolved until next week though.
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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-12-07 09:52:55] |
| User740709 - Posts: 153 |
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Hello, I know you are looking into the issue but it is just getting out of hands. The roll over of the December Bunds contract from Dec to March 22 has made some charts using the "Combine trades..." feature unusable. Please find attached a screenshot. The top chart setting is a "heatmap" that has the feature "Combine trades..." selected. The roll over added the vertical lines out of the blue. Seemingly due to that, the bottom chart (which is a standard VP chart) with the "Combine trades..." selected as well stops displaying candles entirely. It displays candles only when there are no vertical lines in the above chart. I would be very grateful if that gets resolved quickly. Thank you. |
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| [2021-12-08 10:28:59] |
| Sierra_Chart Engineering - Posts: 18641 |
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First understand the way that the EUREX data feed works, makes it difficult to implement combining into the original summary trade. From what we can tell the issue is resolved in prerelease version 2334. If you continue to have issues, then combining into the original summary is just not supported with EUREX. So in this case it is just not supported and there is nothing further we can do. We will not provide any further help. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2021-12-08 10:29:27
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| [2021-12-13 07:30:01] |
| User740709 - Posts: 153 |
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Thank you for your answer. So, for the sake of simplicity, why do you not program the platform to combine the trades just as it is done for the US markets? And as for my post no. 129 above, regarding the screenshot of no bars and bars with long lines, those are caused by the roll-over. So it seems that everything in the chart rolls (i.e. adjusts according to the adjustment value) but the combined trades do not and remain off the rolled chart exactly by the adjustment value. Can you please correct that? Thank you. |
| [2021-12-13 17:58:45] |
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The basic problem is that the EUREX data feed does not provide a clear indication consistently at the end of a block of related trades to indicate the end. And we are also noticing some summary trades can consist of trades both on the bid side and ask side. Combining back into the original summary trade is not completely reliable with EUREX. We should not have this kind of trouble. There should never have been a problem to begin with. So it is clear fundamentally the EUREX T7 data feed has no clear support combine back into the original summary trade reliably like the CME MDP data feed does does. but the combined trades do not and remain off the rolled chart exactly by the adjustment value. Can you please correct that? Ok we understand. We can take care 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 |
| [2021-12-17 13:32:30] |
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This will be solved in version 2336: but the combined trades do not and remain off the rolled chart exactly by the adjustment value. Can you please correct that?
We should have this out today. 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 |
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