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Date/Time: Sat, 04 Apr 2020 06:11:29 +0000



Post From: bids offers closes to price on market depth historical graph

[2019-10-16 22:24:10]
Sierra Chart Engineering - Posts: 83109 | Ending Date: 2020-06-09
Post 35 is actually very helpful because it does prove that there is no problem at market depth level 1 with the quantities. This is consistent with what we have said (Refer to the posts from Sierra Chart Engineering at the beginning of this thread). And we said that again at post #33.

The implied depth is merged in at level 1 properly. But only the best level (Level 1). We do not merge in the implied depth beyond that level.

So this saved us some time. We will look at merging in level 2 later. So this matter is now closed.

Thank you.

One comment about this:
and there data and you have a issue with those 2-3 prices were his exact words .
Are they referring to market depth levels 1-2 or 1-3. Or levels 2 and 3. If they are referring to levels 2 and 3, then yes we will accept what they say. There is a question about level 1 in our mind, before post #35, but post #35 settles it. The quantities are accurate at that level.

And our comment about not trusting the CME, goes back to old employee of Transact where he tried to prove us wrong about a timestamp and was trying to back his position up with some senior person at the CME. We asserted, that we cannot trust the CME in this regard. And we were proven right and they acknowledged it to us.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2019-10-16 22:30:26