Support Board
Date/Time: Sun, 24 Nov 2024 02:48:15 +0000
Accurate Depth Data Handling During Microsecond Price Changes
View Count: 346
| [2024-06-18 16:39:31] |
| AndyB - Posts: 101 |
|
Hi Sierra Chart Support Team, I am currently using the data recording mode -BID_ASK_TRADE_SYNC for ES and have encountered a logic issue that I can't resolve with the available documentation. I have my bar period set to 1 tick to capture every bid/ask price change and all depth updates. However, I am facing a challenge with accurately tracking depth data during periods of heightened volatility. Specifically, while depth updates are timestamped to the millisecond, the best bid/ask prices can change with microsecond precision between these updates. This discrepancy poses a problem in two scenarios: - When the best ask price moves down or the best bid price moves up between depth updates, there might be no corresponding depth entry recorded even though depth must exist at these price levels. - If there is heightened volatility, resulting in multiple price changes between updates, it becomes difficult to accurately track the depth quantities. I am looking for the best way to access the corresponding depth record to fill in these gaps if no depth entry exists. For Bid & Ask Depth bars, there is an option to use Sum Bid Side and Sum Ask Side, which include OHLC values. For c_ACSILDepthBars, we can access sc.GetMaxBidQuantity, sc.GetMaxAskQuantity, sc.GetLastBidQuantity, and sc.GetLastAskQuantity. However, for the depth files, there appears to be just a single entry for each price. Additionally, how do Bid & Ask Depth Bars access open and low values, when the ACSIL method only provides Max and Last? I also assume that since I am using bar periods that are shorter than the update frequency, these records indicate the Max, Low, and Open for the prior millisecond. Is this correct? Could you please advise on the best approach to handle this situation? Thank you for your assistance. Best regards |
| [2024-07-01 03:08:08] |
| AndyB - Posts: 101 |
|
SC team, After reviewing the .depth files, I would have to assume that the OHLC values for your bid & ask depth bars are an amalgamation of record entries that share the same time stamp. Obviously, different price levels will have the same time stamp. However, I have noticed more times than not, that a single price can have multiple entries at a single time stamp. Is it correct for me to assume that you are using the first, greatest, lowest, and last quantities observed in a sequence of records with the same timestamp and same price are the values used for OHLC? it would be great to be able to access the individual values at the same time stamp via ACSIL some how. I assume they are in order of occurance. |
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