Support Board
Date/Time: Tue, 20 Oct 2026 17:49:01 +0000
Below Bid and Above Ask - access
View Count: 40
| [2026-10-20 14:54:07] |
| Sudhirc - Posts: 58 |
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Hello, I'm writing a custom ACSIL study that reconstructs unbundled CME trades (ES, Sierra Chart Exchange Data Feed) from sc.GetTimeAndSales(). For each record I currently get s_TimeAndSales::Type as SC_TS_BID or SC_TS_ASK, and I process only those two. The Time and Sales window can color trades as Below Bid and Above Ask (Graphics Settings: "Time and Sales: Below Bid Trades Background" and "Above Ask Trades Background"). I would like the same information in my study. Questions: 1. How does Sierra Chart decide a trade is Below Bid or Above Ask? Is it a comparison of the trade price with the bid/ask at the time of the trade, or something else? 2. Is that classification available to ACSIL? 3. If it is not available, what is the correct way to derive it? Does each T&S trade record carry the bid and ask at the time of the trade, or should I track the bid/ask update records in the array and compare myself? Thank you. |
| [2026-10-20 15:48:38] |
| Sierra_Chart Engineering - Posts: 25226 |
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Yes: Is it a comparison of the trade price with the bid/ask at the time of the trade, or something else?
However, in actuality a trade is never below the Bid price or above the Ask price. That really can never happen. We would not put any attention on this because the reality is it never happens. It just simply means, at the time the bid and ask are captured at the time of the trade this condition seems to occur but it really never did occur. 2. You can determine this very easily in ACSIL because the Time and Sales records do have the bid and ask prices. But as we said we would put no attention on this. 3. Yes. Does each T&S trade record carry the bid and ask at the time of the trade,
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 Date Time Of Last Edit: 2026-10-20 15:50:46
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