Support Board
Date/Time: Thu, 28 Nov 2024 00:24:46 +0000
Bid & Ask Depth Bars Study
View Count: 597
| [2023-06-12 14:54:45] |
| rinofarina - Posts: 8 |
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I have this study on a 1 minute chart of ES S&P500 Futures. The contract has just rolled over, and now this study has stopped displaying/processing market depth data. The price delta between the previous and forward contract was about 50pts. Is there anything about this rollover that would cause this behavior? I'm looking for a solution to begin processing depth data again. One thing of note is that the DOM displayed on the chart is still working correctly. Another change that might have impacted this, is that I added a Spreadsheet System for Trading study this weekend. Thanks! Date Time Of Last Edit: 2023-06-12 15:03:54
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| [2023-06-12 16:38:48] |
| John - SC Support - Posts: 36350 |
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You should not have an issue, but it can take a minute or two for the Bid and Ask Depth Bars to calculate and then display when a symbol is first loaded. Our best guess is that this is a Scaling issue, depending on how you have the Bid & Ask Depth Bars set to display. Be sure the study is set to "Automatic" scaling and then reset the scaling for the region that has this study. Refer to the following: Chart Scale and Scale Adjusting: Opening the Scale Settings Window For a Study Chart Scale and Scale Adjusting: Automatic (Scale Range) Chart Scale and Scale Adjusting: Resetting the Scale For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-06-12 21:12:41] |
| rinofarina - Posts: 8 |
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Thanks for that. Unfortunately, it's not helping. I can see the values for the study in an attached spreadsheet, and they're all 0. So, maybe not a display issue. Again, I can see DOM updating fine so I'm fairly sure it's not to do with the data feed. I've assembled and attached a chartbook and data archive that hopefully show the issue. Would you mind loading it and confirming the issue? Thanks! |
 Data.zip - Attached On 2023-06-12 21:10:36 UTC - Size: 194.85 MB - 140 views |
| [2023-06-12 22:17:07] |
| John - SC Support - Posts: 36350 |
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The symbol in the Chartbook you have attached is showing as "@ES#". This is not a valid symbol. We only need the chartbook, and we need the correct chart. Please try attaching it again to this thread. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-06-12 23:11:13] |
| rinofarina - Posts: 8 |
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I use the IQFeed data service, and I assure you that is the correct symbol. That's why I included the scid data file and market depth data files. Can you try loading the chartbook with those files in your data directory? |
| [2023-06-13 15:14:18] |
| John - SC Support - Posts: 36350 |
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Sorry about the symbol issue - we rarely get IQ Feed charts. The data starting at 6/11 does not look correct. We do not know why this is. You would have to ask IQ Feed about this and see what is occurring with their data. There isn't any reason that we can think of as to why the Bid/Ask Depth Bars would not be showing up if you are getting the Market Depth data from IQ Feed. Check that the Market Depth data looks correct and that the totals for each side makes sense. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-06-14 10:21:44] |
| rinofarina - Posts: 8 |
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Thanks for confirming, John. I really appreciate it. So, I went back and looked at the chart replay for the contract rollover, which occurred over the weekend 6/9-6/11. There appears to be something wrong with how the data is being processed. I've added "Trade >> Draw DOM Graph on Chart". You should notice during replay that the DOM and depth bars study appear to work properly. But then, when replay resumes on that Sunday, when the rollover data comes in, something goes wrong. You'll see the DOM is displaying data, but it appears corrupted or improperly handled by Sierra Chart. Since I can't look at the raw depth data, I can't say for sure whether it's the data or the code that is the culprit. Any further thoughts? |
| [2023-06-14 10:23:50] |
| rinofarina - Posts: 8 |
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Attached image of changed settings
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 SCBADBreplay_settings.png / V - Attached On 2023-06-14 10:23:14 UTC - Size: 245.32 KB - 89 views |
| [2023-06-14 10:29:11] |
| rinofarina - Posts: 8 |
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Attached images of DOM before and after rollover
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| BeforeRollover.png / V - Attached On 2023-06-14 10:28:34 UTC - Size: 89.52 KB - 94 views AfterRollover.png / V - Attached On 2023-06-14 10:28:42 UTC - Size: 96.13 KB - 87 views |
| [2023-06-14 14:43:28] |
| John - SC Support - Posts: 36350 |
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The data after rollover does not look correct. Are you using a Continuous Contract setting from us? If so, you need to check with IQ Feed to see if this is what you need to do. We are not sure how IQ Feed deals with this, so you need to check with them.
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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