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Direct MessagesDate/Time: Mon, 29 Apr 2024 00:44:03 +0000
Post From: Eurex feed bid/ask volume
| [2014-01-10 09:26:41] |
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There is not necessarily a problem here. We did explain this previously but not in enough detail. The source data feed that we work with has two streams of bid and ask prices. There is the best bid and ask price stream and the market depth bid and ask price stream. The timing of these two streams of data differ from each other in relation to trades. Whether a trade occurs at the bid or the ask is determined on the server-side in relation to the best bid and ask price stream. Not the market depth stream. If you are using any market depth features within Sierra Chart, for the particular symbol of the Time and Sales window, then you are only receiving the depth stream. If you are not, then you receive the best bid and ask stream. You only get one or the other. So your analysis, is inconclusive and not particularly relevant as to whether a trade is properly identified at the bid or ask. Our analysis is in comparison to IQ Feed, assuming they are correct. We are working to determine if there is a statistically a significant difference. And reduce the difference as much as possible. We cannot work off of what you are seeing because as we have explained, there is a particular reason for why you are seeing what you are. As far as the timing difference between the depth stream and thee best bid and ask stream, we will see if we can do something about that. 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: 2014-01-10 09:29:30
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