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Direct MessagesDate/Time: Sat, 18 May 2024 14:09:43 +0000
Post From: Sierra tick statistics - seconds with no data
| [2017-09-26 01:03:41] |
| Merlin - Posts: 81 |
|
I'm noticing something strange in the Sierra Market Statistics. I use TICK-NQ and TICK-NASDAQ extensively. My understanding is that values for these statistics are meant to be transmitted at least twice each second, and often more frequently than that. What I'm seeing in my live data is that there are many seconds when no values for these stats are transmitted at all. For example, for the 1-minute time period beginning at 15:30 New York time today, I count 18 seconds (almost one-third of the 60 seconds within the minute) where no tick data appears. I've traced the problem to the actual data, and put together a simple chart to illustrate it. I created a 1-second TICK-NASDAQ chart, checked "Include Columns with no data", unchecked "Do Not Draw Columns With No Data" on Chart Settings/Advanced Settings, and added the "Number of Trades" study: http://www.sierrachart.com/image.php?Image=1506386054964.png Notice that there are many, many bars where number of trades = 0. I also notice that these seconds when no ticks are transmitted most often follow a second where a high number of ticks has been transmitted. Looking at older data, this seems to have happened much less frequently in the past. The first day I see with so many empty seconds is Tuesday September 5. For example, here is view of the same chart from August 25, there is only one second without ticks within the 4-minute period shown: http://www.sierrachart.com/image.php?Image=1506386638505.png So this seems to be a new behavior. I don't believe this is how this is supposed to work? My guess is that this is a problem with the data feed. But please let me know if it indicates something wrong with my installation, or some option I need to change. Thanks. Merlin |