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Direct MessagesDate/Time: Thu, 25 Apr 2024 09:52:49 +0000
Post From: Bid and Ask Depth Bars (1950) showing spikes and incorrect values
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In regards to post #10, we need you to post an image following the instructions here: https://www.sierrachart.com/index.php?page=PostingInformation.php#PostingAnImage Essential information is not visible on those charts. They are meaningless to us. That sounds scary. What kind of filtering are you talking about?!? We need to see true spectrum of depth. Don't filter anything!
I kindly ask again what kind of data is Depthbars study based on since it doesnt use T&S? You owe your users that explanation otherwise noone will trust this study. Also this way we could be more helpful with testing it. Thank you. The filtering we do is based on imbalance between the number of levels on the bid side and ask side. If the imbalance is exceeding more than an 80% difference between the number of levels on the bid side and ask side, then we skip doing any calculations on that current market depth state. Normally there will be a balance. The calculations are based on the actual market depth data as it changes. The calculations are much more complete now than previously. The depth data we would record with time sales data was only snapshot. There is a considerable more degree of precision now than previously. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-07-18 18:32:53
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