Support Board
Date/Time: Sat, 07 Nov 2026 15:27:27 +0000
Delta and Volume at Price Data Changed After Market Close
View Count: 520
| [2026-09-21 22:14:11] |
| User955871 - Posts: 16 |
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Hi, I’m having an issue with my order flow data. I’m subscribed to Denali data, and I have my Sierra Chart account connected using Teton Order Routing. I also connected my Earn2Trade account to Sierra Chart. While the market was open, I was monitoring NQ and the order flow indicators and entered a trade based on my strategy. At that time, I saw specific Delta and Volume at Price Threshold values. Later, I came back to review the same period and noticed that the Delta and Volume at Price Threshold data had changed. The candles themselves have not changed; only the order flow data is different. I also have a screenshot showing the data while the market was open, and I can provide another screenshot showing the same period now, so you can see the difference clearly. I already closed and reopened Sierra Chart, but the difference is still there. Could you please explain why this happened and what the correct solution is? I need to know how I can make sure that my order flow data is reliable and consistent, especially for backtesting my strategy. Thank you. |
| [2026-09-22 14:30:55] |
| John - SC Support - Posts: 48459 |
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Exactly what "Delta" were you looking at? If you were using the "Cumulative Delta Bars - Volume", then if you are not resetting at the start of the trading day, then this can change due to the amount of data in the chart. If the chart was reloaded, this could change how much data is in the chart and then change this. The "Volume at Price Threshold Alert V2" should not change. We definitely want to see the images you have of this. And we need to see the settings for your "Cumulative Delta Bars - Volume". Also, did this problem only occur when you were connected to Rithmic? When connected to Rithmic, was the setting for "Global Settings >> Data/Trade Service Settings >> Common Settings >> Allow Support for Sierra Chart Data Feeds" set to "Yes" or "No"? We wonder if you were specifically using the Rithmic data in this case. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-09-22 19:48:55] |
| User955871 - Posts: 16 |
|
Regarding your first question, I was looking at Delta, Max Delta, and Min Delta in the Cumulative Delta Bars - Volume study. Yes, Allow Support for Sierra Chart Data Feeds was set to Yes when I was connected to Rithmic. Regarding the data connection, I initially had the chart connected through the Rithmic/Earn2Trade connection. I then switched to Denali data with Teton Order Routing. After switching, the Delta and Volume values remained different and did not return to the values I had originally seen while the market was open. |
| [2026-09-22 21:01:12] |
| John - SC Support - Posts: 48459 |
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As we noted, depending on how you have the "Cumulative Delta Bars - Volume" setup, when you reload the chart, you can end up with different values. This is especially true if you are not resetting at the trading intervals, but developing over the entire chart. The reason for this is that the chart will continue to add days beyond the number that you started within initially, until the chart is reloaded. When you changed service, you are forcing a reload of the chart, so you would probably end up with a different number of days for the data, which will give you different "Cumulative Delta Bars - Volume". Even if you are resetting the start of the "Cumulative Delta Bars - Volume" at a trading interval, then you may still end up with different results based on differences in the charts for the different symbols that are used between Rithmic and Teton. For instance, if you changed the "Session Times" from the defaults set in the Symbol Settings for the Rithmic chart, then you changed to Teton, the symbol is changed and the default Session Times are loaded. This would give you different Session Times resulting in different values. And there are a number of different Chart Settings that can affect this just due to changing the symbol. If the charts are setup the exact same between the two services and you are still having an issue, then we would recommend redownloading the data for boh charts and seeing if that resolves the issue. Maybe you were missing some small amount of data that lead to differences. From there, you would need to look at both charts and see where things diverge and what is different at that point. Again, redownloading the data would be the solution. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-09-22 23:01:42] |
| User955871 - Posts: 16 |
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Thank you for the reply. I would like to clarify that my previous mention regarding the data switch was incorrect. My issue has nothing to do with switching data services or changing symbols. The issue happens on the exact same data feed and setup: while watching the market live, if I close Sierra Chart and re-open it, both the 'Cumulative Delta' and 'Volume at Price Threshold' values change after the chart reloads. Tomorrow, I will try to capture screenshots before and after reopening the software to show you the difference clearly |
| [2026-09-23 14:29:19] |
| John - SC Support - Posts: 48459 |
|
As we have stated previously, you can still have changes in the Cumulative Delta Bars - Volume by having a chart reload, which will happen when you restart Sierra Chart. See the first paragraph in our response in post #5.
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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