Support Board
Date/Time: Thu, 28 Nov 2024 10:40:21 +0000
BID_ASK_TRADE_SYNC question
View Count: 411
| [2023-05-02 23:02:30] |
| AndyB - Posts: 101 |
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previous support board threads indicate that you changed it so this recording mode would make a new bar every time the bid or ask quantity updated. is there a way to differentiate between whether its a bid or ask update? secondly, is there a way for me to record the actual continuously updated best bid/offer depth? when set to one tick using bid ask bars, there are so many holes in these, when I am seeing the dom and market depth window continuously update. this would be hugely beneficial if i could somehow record this on my own. |
| [2023-05-04 11:11:29] |
| Sierra_Chart Engineering - Posts: 17201 |
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No this is not going to be the case: so this recording mode would make a new bar every time the bid or ask quantity updated.
This recording mode has no consideration of the Bid or Ask quantity.If you need to know the quantities, you must rely upon the market depth data: Market Depth Data File Format Sierra Chart already records file market depth data through these files. You can read the file and do whatever you need with the data. 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: 2023-05-04 11:11:56
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| [2023-05-04 13:48:45] |
| AndyB - Posts: 101 |
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Thanks for the response. Then why is a new bar formed if the bid or ask price hasn’t moved and their hasn’t been a trade? Secondly, if all of the depth is recorded in those files, why are the depth bars incomplete on a 1t basis? Excuse my ignorance, just trying to understand! Thanks |
| [2023-05-05 15:11:27] |
| Sierra_Chart Engineering - Posts: 17201 |
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We probably need to fix this: Then why is a new bar formed if the bid or ask price hasn’t moved and their hasn’t been a trade?
Secondly, if all of the depth is recorded in those files, why are the depth bars incomplete on a 1t basis? There may not be any new market depth data at every trade.
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 |
| [2023-05-05 15:29:57] |
| AndyB - Posts: 101 |
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Please don’t fix that. It’s beneficial to see the changes in bud and ask quantities when price hasn’t moved or there hasn’t been a trade. That’s relevant information when dealing with micro structure. Cancellations, partial cancellations, between trade spreads, etc. it’s a part of the auction process
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