Support Board
Date/Time: Fri, 29 Nov 2024 14:54:27 +0000
Study which shows Trades above Ask or Below Bid
View Count: 949
| [2023-01-08 08:56:52] |
| aviat72 - Posts: 36 |
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I am looking for a study which shows trades that happen above the ask or below the bid. Objective is to detect market orders which sweep the order book. Is there a pre-existing study that can be configured to achieve that. |
| [2023-01-08 19:09:18] |
| Sierra_Chart Engineering - Posts: 17228 |
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No, this does not exist. This is not even technically possible to occur. The market data sometimes may indicate this. However, that really cannot be accurate. And also whether a trade occurs at the Bid or Ask is given by an indication from the exchange, not by 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-01-08 19:25:06] |
| aviat72 - Posts: 36 |
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You are correct that it is likely an artifact of how the data is being reported. T&S will show trades above ask/below bid. Graphics Settings: Time and Sales: Above Ask Trades Background Can we get a study configuration to detect what is being shown the T&S. There is may be a technical explanation for that. Market orders are expected to get precedence over everything else in the order matching engine. So when the market orders come they will lift the resting orders in the book. . From the point of sequencing of time-stamps its its likely that the timestamp of the bid/ask updates will be behind the market order execution, which then results in the artifact being discussed. |
| [2023-01-31 00:34:56] |
| MandelBro - Posts: 10 |
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I have my T&S window on the side with a black background and bright green/red running numbers shown in very small font. I have set a bright green/red background for above ask / below bid and the running figures are inverted in black. This helps me see in my peripheral vision whether the order book is swept up or down.
Date Time Of Last Edit: 2023-01-31 00:43:47
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