Support Board
Date/Time: Wed, 02 Jul 2025 13:40:59 +0000
Market Depth Historical Graph
View Count: 2942
| [2020-10-07 11:27:16] |
| User907968 - Posts: 840 |
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Hi SC team, Question regarding data display on the MDHG study: Please refer to the attached images, both charts shown have exactly the same MDHG settings (including disabling 'Extend Last Known Depth'), the only difference is timeframe, 1-second vs. 1-trade. The chart symbol is NQZ20 and the timezone is Chicago (-6 CST/-5 CDT). Firstly, I understand that when 'Extend Last Known Depth' is disabled, the depth display can be gappy/intermittent, especially at very low timeframes. What I am confused about is how the 1-trade chart shows almost no data, but the 1-second chart (which includes all of the period covered by the 1-trade chart) shows a much more complete picture - specifically note the depth shown at 11445, this is nowhere to be seen on the 1-trade chart. There were some periods yesterday when no depth printed on the 1-trade chart for between 2 and 5 minutes, whilst at the same time the 1 second chart was printing depth continuously. This issue is not confined to 1-trade charts, in the particular example the trade based chart did not mirror the time based chart until it was increased to >15 trades (and a typical bar period of >2 seconds). Thanks. |
Private File Private File |
| [2020-10-07 14:42:24] |
| John - SC Support - Posts: 40702 |
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Most likely this is related to the Minimum or Maximum quantity to color. But we will take a look at this, so please attach a Chartbook with both of those charts in it so we can see how you have things set. Follow these instructions, but be sure to have both charts, not just one: Support Board Posting Information: Providing Chartbook with Only a Single Chart For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-10-07 15:01:00] |
| User907968 - Posts: 840 |
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As requested, chartbook attached.
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Private File |
| [2020-10-07 15:24:38] |
| John - SC Support - Posts: 40702 |
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The following image shows what we get when we open your chartbook. Everything looks normal to us in this: http://www.sierrachart.com/image.php?Image=1602084172306.png Are you having problems right now with the Market Depth Historical Graph? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-10-07 15:54:34] |
| User907968 - Posts: 840 |
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Right at this moment no, there doesnt seem to be a problem. What do you see if you look at data from the time referenced in the original images? |
| [2020-10-07 15:59:33] |
| John - SC Support - Posts: 40702 |
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We cannot look back at data as we do not have the historical market depth data for that time. We will start saving the NQ Market Depth Data, so let us know if this occurs again and we should be able to look at that time. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-10-07 16:09:54] |
| User907968 - Posts: 840 |
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Ok, no problem, I'm not sure it was specific to NQ, but NQ is the only symbol that I looked into in detail so far.
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| [2020-10-07 16:58:42] |
| nosast - Posts: 313 |
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I can confirm the issue for ES and NQ. Attached is ES with 1s and 25 tick, you clearly see the gaps in liq. Extend depth is set to the lowest value of 1 min.
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| [2020-10-07 17:08:38] |
| John - SC Support - Posts: 40702 |
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We would need to get that ES chart as well so we can see the settings for your MDHG. Please attach that.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-10-07 19:08:43] |
| nosast - Posts: 313 |
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Please find attached CB with both charts (1s and 25t)
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Private File |
| [2020-10-07 19:42:06] |
| John - SC Support - Posts: 40702 |
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Looking at your settings for the Market Depth Historical Graph and what we have for data from the same time, what you are seeing looks perfectly reasonable. When you see an area again where you think things are not right, change your Market Depth Historical Graph so that the Range 0 Minimum Color is not black (make it Pink, or something bright), then set the Maximum Quantity for Coloring and the Minimum Quantity for Coloring to 0. by doing this, you will see the entire range of the data, which will prove that you have the right information. It is just being hidden by the particular settings that you have selected. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-10-07 20:03:58] |
| nosast - Posts: 313 |
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Thanks! Gonna test it in a few. What I don't understand is why there is a difference between the 1s chart (no gaps) and the tick based chart (gaps). Same settings on both and the liquidity is way bigger than my min threshold.
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| [2020-10-07 20:08:00] |
| nosast - Posts: 313 |
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Set both charts to display all sizes... Still - the issue is still very visible. I marked some of the gaps with purple box.
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| SNAG_ 2020-10-07 - 22-06-36.png / V - Attached On 2020-10-07 20:07:56 UTC - Size: 289.08 KB - 312 views |
| [2020-10-07 20:12:36] |
| nosast - Posts: 313 |
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And the pinkish setting for smallest liq
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| SNAG_ 2020-10-07 - 22-11-55.png / V - Attached On 2020-10-07 20:12:30 UTC - Size: 338.48 KB - 319 views |
| [2020-10-07 20:34:51] |
| nosast - Posts: 313 |
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Final observation. Exactly every 10 minutes the depth is fine in the tick based chart for 1-2 minutes. These clear blocks start spot on e.g. at 13:10, 13:20, 13:30,....
Date Time Of Last Edit: 2020-10-07 20:35:45
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Attachment Deleted. SNAG_ 2020-10-07 - 22-35-27.png / V - Attached On 2020-10-07 20:35:41 UTC - Size: 140.68 KB - 308 views |
| [2020-10-07 21:45:10] |
| John - SC Support - Posts: 40702 |
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We will have to look into that a bit further. In general, those are areas where the data has not changed, but it does not appear to be displaying in quite the right way with the 1 tick chart.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-10-07 22:21:14] |
| nosast - Posts: 313 |
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Right. The depth stayed consistent as you can see on a copied chart set to 1s and it's also strange that every 10 minutes depth is ok for 1-2 mins. Maybe some refresh timer and keep in mind, I have the depth set to be extended for 1 minute (smallest setting). For the record: the tick chart I posted is not a 1 tick chart. It's 25 ticks. Date Time Of Last Edit: 2020-10-07 22:22:49
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| [2020-10-10 16:02:12] |
| nosast - Posts: 313 |
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Any update on this issue? I testet in 2179 and still the gaps are visible in tick based charts. Attached are two screenshots (1s and 25t).
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| SNAG_ 2020-10-10 - 18-00-56.png / V - Attached On 2020-10-10 16:02:03 UTC - Size: 126.35 KB - 320 views SNAG_ 2020-10-10 - 18-00-38.png / V - Attached On 2020-10-10 16:02:08 UTC - Size: 147.61 KB - 299 views |
| [2020-10-12 13:44:58] |
| John - SC Support - Posts: 40702 |
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Sorry, no we have not had a chance to dive into it yet.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-11-06 18:35:07] |
| John - SC Support - Posts: 40702 |
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Sorry this has taken so long to get back to you but this was a difficult to thing to figure out. The pattern of a blank bar and then market depth filling in is related to a situation where a bar is drawn that is actually between the Chart Update Interval. At that point, there is no Market Depth data to associate with that bar, therefore the system thinks of that data as having not been updated at that time, which is why there will be a blank space if you do not have the option for Extend Last Known Depth set to Yes. Then, as the Market Depth updates on newer bars, it fills in those areas where it is receiving the market depth again. Every 10 minutes the system flushes the cached Market Depth Data to the file, which is why there will be a full set of Market Depth every 10 minutes. There are two ways to work around this. The first, and easiest, is simply to use the option for Extend Last Known Depth. This will fill in those spaces where no depth updates have occurred. The second way would be to decrease the Chart Update Interval to something that would cover the time frame of the bars, or at least come close to minimize what you are seeing. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-11-06 18:52:14] |
| Ackin - Posts: 1865 |
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John - SC Support) Perhaps it would be worth considering creating a native clone of this study only for a certain "small number" of levels (Market Depth Historical Graph II). The load data of that would not be so great. Not everyone wants to use hundreds of levels above and below. For example, many traders will only use 50 lvl, but would appreciate perfect numbers there without issues. Date Time Of Last Edit: 2020-11-06 18:53:49
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| [2020-11-06 20:46:23] |
| nosast - Posts: 313 |
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Dear John, thanks for coming back on this issue. I already tried both options you mentioned. Lowering the update interval is not really possible as I have two MDH charts open (NQ and ES) and have the update interval set to 250ms. Would love to go lower but then one CPU core would get maxed out and makes Sierra very unresponsive. I'm also trading from this chart and need to able to move stops around with no lag. So I extended the depth to 10 minutes which kind of solves the problem. Also using a 1 second chart instead of a tick based chart solves the issue. Initially I thought another issue I have with MDH is related but after your answer this seems like a different issue. Every once in while when price trades trough liquidity, the depth is still visible for maybe a second or two. For sure way longer than the 250ms chart update interval. Could not be feed or internet issues as price and volume in the DOM shows the cleared depth correctly. Any ideas how to address this? I'm using Denali with full depth CME, GPU and the all the CPU cores are far from maxed out. This also occurs when the market is slow but is most often visible in a fast market. |
| [2020-11-06 21:15:04] |
| John - SC Support - Posts: 40702 |
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nosast: The primary thing I can think of is that you are displaying the Maximum Market Depth instead of the Last Market Depth. Check your Input for Use Last Quantity instead of Max Quantity for Bars. If you want to see the Last depth (which will be the values that will match up with the DOM), then this should be set to Yes. Refer to the information here: Market Depth Historical Graph: Use Last Quantity Instead Of Max Quantity For Bars For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-11-07 04:17:04] |
| User472511 - Posts: 19 |
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When using the Last Quantity option on non-time based charts (i.e. reversal bars) why does the fill space not accurately reflect the DOM quantities as they update? It would be very helpful if these order book updates were reflected real time. Otherwise reading the heatmap becomes cumbersome.
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| [2020-11-07 21:11:05] |
| nosast - Posts: 313 |
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John, I doublechecked my settings in MDH. I already have set "Use Last Quantity instead of Max Quantity for Bars" to Yes. So this seems to be not related. Any other idea why MDH liquidity lags updates in DOM? I have the DOM set to 50ms update interval and MDH to 250ms so for sure there is a lag by design but it often really takes way longer than 250ms to update. Somehow depth updates are slower than price updates in the same MDH chart. If I use the Chart DOM at the right side of the MDH chart, this is also updating quicker than liquidity in the chart in these special occurrences. Both use the same Denali feed and the information should come to my PC at the exact same time. Or is there a difference between update intervals of price and depth? Date Time Of Last Edit: 2020-11-07 21:18:37
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