Data Recording Modes

-BID

Only the Bid price is recorded in the Intraday data file. The Ask and Last trade prices are ignored.

-ASK

Only the Ask price is recorded in the Intraday data file. The Bid and Last trade prices are ignored.

-BIDASK

The Bid and Ask prices are recorded in the Intraday data file. The Last trade price is ignored. The chart bars will represent the highest Ask price and the lowest Bid price during the formation of the chart bar.

-BAAVG

The average of the Bid and Ask is recorded in the Intraday data file. This average is recorded as if the last trade price trades at this average price. So therefore, if you look at the Time and Sales Window, each record that you see will show the last trade price as the average of the Bid and Ask price.

The actual Last trade price is ignored, if it is available.

In the case when the symbol provides a last trade price which is not an average of the Bid and Ask prices, then to have the Last Trade Price box on the right side chart scale show the Bid and Ask average, select Chart >> Chart Settings. Set the Trade and Current Quote Symbol to the same as the Symbol field and include a -BAAVG suffix on the symbol. Otherwise, the Last Trade Price box will show the true last trade price. Not the average.

In the case where the symbol only provides bid and ask prices, the data recording or last trade price generation occurs any time there is a change with the bid price, the bid quantity, the ask price or the ask quantity.

Whether the last trade price which is generated is considered to have occurred at the Bid price (Bid Trade) or the Ask price (Ask Trade) occurs according to standard rules which is defined in the Numbers Bars Definitions section.

-ALL

The Bid, Ask, and Last trade prices are recorded in the Intraday data file.

-BID_ASK_TRADE_SYNC

The Bid, Ask, and Last trade prices are all recorded in the Intraday data file each time any one of these values changes. So they are kept synchronized with each other.

Additionally, there is a recording of the Bid, Ask, and Last trade prices whenever the Bid Size or Ask Size changes. Although, the Bid Size or Ask Size are not recorded.

This data recording mode requires Sierra Chart is set to store data tick by tick. Refer to Tick By Tick Data Configuration.

If the Bid price changes, then this new Bid price, the current Ask price and the current Last trade price are recorded in a single Intraday data record. In this particular case all of the volume fields in the intraday record will be 0. The number of trades field will be 1.

If the Ask price changes, then this new Ask price, the current Bid price and the current Last trade price are recorded in a single Intraday data record. In this particular case all of the volume fields in the intraday record will be 0. The number of trades field will be 1.

With this data recording mode, to actually see the Bid and Ask prices, you need to add the Bid and Ask Prices study to the chart. The Bid and Ask values are not part of the chart bars.

In the case where the symbol does not provide a last trade price and only Bid and Ask price updates which is commonly the case for Forex symbols, it does not make any sense to use this data recording mode suffix. Therefore, do not use it in this case.

This data recording mode does not record the Bid Size or Ask Size. To have access to that data, requires historical market depth data.

To see the individual tick records where there has not been a trade but only a bid/ask update, go to the Intraday chart for the symbol which is using this recording suffix and select Edit >> Edit/Download Data-Intraday Chart. Records in the editor with an Open price of 0, with a Volume of 0 and with a Number of Trades of 1 indicates this type of record.

To create a chart where at each column in the chart you see the current Bid price, Ask price and Last trade price all synchronized to each other, follow these instructions:

1. Select File >> Find Symbol.
2. In the list of symbols, select the particular symbol you want to open an Intraday chart for.
3. In the Selected Symbol box append the -BID_ASK_TRADE_SYNC suffix to the symbol.
4. Press the Open Intraday Chart button.
5. Select Chart >> Chart Settings.
6. Set Use Number of Days to Load >> Days to Load to a small number like 1 or 2.
7. Set the Intraday Chart Bar Period to Number of Trades Per Bar.
8. In the box below the above setting, enter a 1.
9. Select Market Depth.
10. Enable Load Bid/Ask Update Only Intraday Records.
11. Press OK.
12. Add the Bid and Ask Prices Study to the chart through Analysis >> Studies.

The timestamps of the Intraday file records with this recording mode, are set according to the timestamp of the trade and bid/ask updates. These timestamps have precision to the millisecond. There is also a microsecond component to timestamps. The microsecond component is incremented by 1 anytime there a new record which has a duplicate timestamp as compared to the prior timestamp in the file. This microsecond component as described is also used even with the normal default recording mode for trades.

Studies like the Bid Ask Depth Bars which use market depth data, use timestamps which have a precision to the millisecond only. There is no microsecond adjustment done with market depth data. Therefore, the market depth data for the Bid Ask Depth Bars study is aligned with chart bars that contains the time range which fits the timestamps of the market depth data. In the case of a 1 Trade Per Bar this can result, in the market depth data being fit to a chart bar which is immediately before a chart bar that is associated with the bid/ask update. For example consider a market depth update with the timestamp 00:00:01.500000. And 2 chart bars with these timestamps: 00:00:01.100000, 00:00:01.500001. The market depth data with a timestamp 00:00:01.500000 will be aligned to the chart bar with the timestamp 00:00:01.100000 since it is considered to contain the time range from 00:00:01.100000 to 00:00:01.500000.

The historical market depth data can be directly accessed through the storage files that contain this data. Refer to Market Depth Data File Format.