Support Board

Date/Time: Sun, 19 May 2024 16:26:05 +0000

Post From: Bid/Ask Depth Bars Study: Differences Between New (>= 1949) and Old Version

[2019-08-22 19:32:43] Link To Thread - Link To Post [Go To First Post]
User41727 - Posts: 124
I am running the aforementioned study on equities with the SC data feed, i.e. I can only use top of the book quotes. I am seeing large discrepancies between the values that the old implementation was returning compared to those calculated by the new one to the point where both are regularly telling me the opposite at the same point in time. I have ASCIL code that relies on those values, and on backtesting those signals with the new version, the results are significantly worse, bordering on useless. If I re-install a pre-1949 version, the results are as expected again even when using historical depth data that had been collected with a newer version. Hence, the issue must be with the way the new calculation is performed, because the data is clearly still there. Therefore, could you please at least document the exact nature of the changes in the depth bar ratio calculation, so as to enable me to understand what is going on, and maybe find a workaround for this issue? Or, ideally, add a "legacy" calculation mode to the study that performs as the old version would have.