Support Board
Date/Time: Tue, 26 Nov 2024 18:28:21 +0000
Bad price data in the Sierra charts data feed
View Count: 449
| [2023-10-30 13:53:22] |
| User534810 - Posts: 5 |
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Starting Friday last, I am getting random mis pricing errors, in my data, that messes up charting. it is issues like a stock is trading at 413, then a bar has 423 as the high, which creates spikes. it is not a volume thing, it happens on 1 second charts with even below average volume. We should not be getting data with prices that jump from 3 to 10 dollars per bar, obvious trash data.I have noticed it on NVDA and TSLA symbols. Please explain how to filter out random bad price number greater than 0.25% change. Your volume filter is irrelevant with this bad data situation. Thanks in advance for help with this situation.
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| [2023-10-30 14:31:13] |
| Sierra_Chart Engineering - Posts: 17182 |
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These are not bad or trash prices. These prices are transmitted by the exchange and they are correct. However: Update to the current version: Software Download: Fast Update And follow the instructions here to not include odd lot trades: Data/Trade Service Settings: Process Known Odd Lot Equity Trades for DTC Services (Global Settings >> Data/Trade Service Settings >> Common Settings >> Common Other Settings) And do not include the pre-or post-market, only the regular trading hours in the chart: Chart Session Times 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 |
| [2023-10-30 15:09:14] |
| User534810 - Posts: 5 |
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Greetings again. The update did nothing. The setting not to display odd lot trades was already set as you described. Actually just getting more spikes on the charts now. I suppose rather than debating whether the hft boys can blast through all the standing orders just to screw up charts for the cheap seats as a joke, or not, is pointless. What you programmers could do is add a filter for data points useless to non hft traders, so that price changes more than some percentage setting, 0.1% - 0.25%, are blocked. Date Time Of Last Edit: 2023-10-30 15:15:09
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| [2023-10-31 03:06:23] |
| Sierra_Chart Engineering - Posts: 17182 |
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Tell us one time and time zone when you see the out of range price. We are not going to add a filter. That is out of the question. Filters do not make sense because they only have a detrimental effect of filtering out valid trades. We have too much experience with this. We will never do that again. The only thing that we can do is identify if there are particular sale conditions for these trades and see if the it is appropriate to filter those out based upon a particular sale condition code. This is not something which can be implemented soon. It will take time. 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 |
| [2023-10-31 06:04:39] |
| User534810 - Posts: 5 |
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TSLA has price spikes lately. The data feed is accurate, and the price spikes are real. Possibly what is happening is an hft or hedge fund, is filling up all the bids or buying all the offers to create a new NBBO for a microsecond, during which they get to place orders at prices several dollars away from the price 2 seconds ago. This allows to short 3,4 5 dollars above the previous price 2 seconds ago, or buy at several dollars below the previous price 2 seconds ago. Easy money with instantaneous fills. So they are making money, but the spikes created by their market manipulations flatten out prices in charts. You may choose to add a filter, which persons can voluntarily choose to use at times, or not; as your volume filter is now. Some may use it, other may not. But trying to adjust data bar by bar, the only fix now, is too slow and inefficient.
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