Support Board
Date/Time: Wed, 23 Apr 2025 03:09:19 +0000
Market Depth Historical Graph does not match DOM?
View Count: 1056
| [2022-04-29 15:52:05] |
| User839162 - Posts: 87 |
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Can anyone tell me why the Market Depth Historical Graph does not update like the DOM? What it looks like to me is it updates only when prices are traded. This isn't good when you're trading a slower instrument (like treasuries). Price will stall and the depth will shift, but it's not reflected on the Market Depth Graph or bid/ask depth bars until an order is executed. I'm attaching a screenshot. I have the Market Depth Graph set to show Last Depth after last bar, and extend last known depth set to no. |
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| [2022-04-29 16:11:39] |
| John - SC Support - Posts: 39428 |
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Since these are separate windows, you need to ensure that the Chart Update Interval for both of them is the same. It sounds like these may be set differently and that would cause the differences to be seen. Refer to the following: https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#ChartUpdateIntervalInMilliSeconds For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-04-29 16:23:33] |
| User839162 - Posts: 87 |
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My Chart Update Interval is set globally. Here is a screenshot with the Chart DOM on using the same update interval as the chart. You can still see the discrepancies between the two.
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| [2022-04-29 16:53:06] |
| User839162 - Posts: 87 |
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Let me explain why this is a MAJOR issue. Let's say I'm trading a slow instrument (ZB). Price trades up and stalls. No orders are being executed, BUT a few prices away the bid flashes 500. IF that bid of 500 disappears before an order is executed it will never be shown on the Depth Graph. Therefor the Depth Graph is showing the incorrect data. In an instrument like ES this isn't as big of a deal because 100's of orders are being transacted every second. In Treasuries it's a problem. |
| [2022-04-29 17:46:31] |
| John - SC Support - Posts: 39428 |
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The data should definitely be the same between the Chart DOM and the Market Depth Historical Graph in the same chart. Keep in mind that the numbers that are shown to the right of the bars can be set differently than the data in the bars themselves. Make sure the Input for Depth Quantity Type To Display After Last Bar is set to Last Depth. Another confusing thing is why the data in the bars is different from the numbers after the bars. We understand that the hundreds is cut off in the display but the last 2 digits should match up - as long as the data is the same being displayed after the last bar as in the bars. Where are you getting your data from? Is this the Delayed Streaming data? And is this a replay of any kind? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-04-29 19:00:58] |
| User839162 - Posts: 87 |
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I'm using Sierra's Delayed Streaming Data. No, it is not a replay. All of my inputs in the Market Depth Historical Graph are correct. I think I've figured out the issue. I believe it has to do with Range Bars. When using Time Bars the Depth Graph is updating continuously with every depth shift. Please look into this. Open a chart (ZB or ZN). Change the Bar Period Type to 1 tick Range Per Bar - Open=Close. Then throw on a Depth Graph and Chart Trade DOM. You will see the discrepancies between the depth graph numbers and the DOM. Date Time Of Last Edit: 2022-04-29 19:16:40
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| [2022-04-29 19:34:36] |
| User852559 - Posts: 40 |
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Yes that is a known occurrence in Sierra Chart with non-time based bars unfortunately.
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| [2022-04-29 19:55:30] |
| User839162 - Posts: 87 |
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In my opinion it needs to be fixed. Or there needs to be some type of warning stating that the Market Depth Graph will not show the correct data on non-time based charts.
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| [2022-04-29 21:42:21] |
| John - SC Support - Posts: 39428 |
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With a 1 tick chart that will be times when the Market Depth Historical Graph does not keep up with the bars. This is due to the fact that the charts update at a set interval, but the trades come in at whatever pace they come in. So a bar may be drawn that does not have all the market depth information in it, or possibly none at all. But the data in the Market Depth Historical Graph at the most recent bar should match the DOM (from the same chart) at any particular moment in time. User839162 - please get us the chart that you are using to look at this so we can see how you are setup. Refer to the following for how to get us a chartbook with just the one chart in it: 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 |
| [2022-05-05 15:16:11] |
| User839162 - Posts: 87 |
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I'm not using a 1 tick chart. I'm using a 1 range chart. I'm attaching a chartbook so you can see the issue. When using range bars and market orders are not trading, the Market Depth graph lags and will not show the correct depth numbers until the bid or ask is traded.
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Private File Attachment Deleted. |
| [2022-05-05 16:21:55] |
| John - SC Support - Posts: 39428 |
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Ok, we understand what you are seeing now. Yes, there is a difference in the way the chart updates in relation to the DOM. In particular, refer to the following: 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 |
| [2022-05-05 17:37:27] |
| User839162 - Posts: 87 |
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Don't you see this as a problem? The Depth Graph in essence is not displaying the correct data. You can get several shifts of market depth before a trade is executed in treasuries. If a price a few ticks away from current price flashes a bid before a trade is executed it's like it never existed on the Depth Graph. This is also an issue with the depth bars as well. All of your depth related studies are inaccurate if they are calculated this way. Is this something that could be fixed? |
| [2024-12-16 09:51:08] |
| MTScalper - Posts: 19 |
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Hello, I am experiencing the same issue mentioned in this thread. I have a DAX chart with a DOM on the chart, set to 2-tick increments, both on the chart and in the market depth. The settings for the Market Depth Historical Graph indicator are set to "Last Depth" and "Only After Last Bar", but the difference between the DOM and the indicator is absolutely misleading and, in my opinion, not very useful this way. I’d like to understand whether I’m making a mistake in the settings or if this is normal. The chart update interval is set to 50ms. |
 SierraChart_64_rOH4p9NSd0.png / V - Attached On 2024-12-16 09:50:58 UTC - Size: 35.33 KB - 30 views |
| [2024-12-16 17:49:20] |
| John - SC Support - Posts: 39428 |
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On the Market Depth Historical Graph, what is the Input for "Depth Quantity Type to Display After Last Bar" set to?
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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