Support Board
Date/Time: Sun, 25 May 2025 15:24:46 +0000
bid/ask prices do not sync up with depth
View Count: 540
| [2023-05-26 20:19:15] |
| AndyB - Posts: 105 |
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upon countless hours of analyzing -bid_ask_trade_sync, i have come to the conclusion that bid/ask prices and trades(the study, and the data recording mode extensions) do not sync with depth. when there is true bid ask change, the new bid/ask depth is actually recorded and printed BEFORE price does, which wildly throws off any calculations used on these lower time frames. I can attach proof of this if needed.
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| [2023-05-26 23:52:30] |
| Sierra_Chart Engineering - Posts: 19695 |
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We are not fully understanding this. However, what you observe is what you observe. It is not something we can help with. You may need to develop your own custom study to do what you need, assuming that would help. In the end, we cannot change anything. This is just how it is. But we really do not understand what the problem is. But we do know enough that nothing is going to change. That is with definite certainty. 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: 2023-05-26 23:52:53
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| [2023-05-27 19:43:33] |
| AndyB - Posts: 105 |
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Here is a screenshot of what I'm referring to. I followed the instructions explicitly for setting up a 1 tick data recording mode chart (-BID_ASK_TRADE_SYNC). This example is on ES. The green arrows point to the moment where the bid/ask price changes (as do the vertical lines to show comparison to when the bid and ask depth values change). The green rectangles over the bid and ask bars subgraph show times when the last updated bid/ask depth values are equivalent to the following bid/ask depth values AFTER there was a bid/ask price change. This is for best bid offer, but I have double checked this on a non-filtered market depth setting and the results are the same. There are 8 occurrences of this in less than 1 second. Hard to imagine that this is just a coincidence in the book. When trying to build a system or do analysis, this greatly skews the results and I'm not exactly sure how a custom study could fix the data not lining up correctly. https://www.sierrachart.com/image.php?Image=168521615276.png |
| [2023-05-29 08:52:19] |
| Sierra_Chart Engineering - Posts: 19695 |
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First, it is impossible for us to really fully comprehend what you are presenting, without a lot of analysis and direct interaction with the chart. There is an immense amount of complexity, regarding all of the underlying data and the presentation of it with the studies you are using and there is an additional dimension of complexity, involving timestamps which are down to the microsecond in some cases. We added this section to the documentation for this recording mode: 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. We simply cannot provide any further help. You will have to develop your own solution involving the market depth data by directly accessing it: Market Depth Data File Format That is what we recommend you do. 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: 2023-05-29 08:53:18
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