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Date/Time: Thu, 20 Jun 2024 19:13:10 +0000



Post From: Eurex feed bid/ask volume

[2014-01-29 01:40:30]
Sierra Chart Engineering - Posts: 104368
But I am just using logic to determine wether or not a trade is a bid or ask trade in my examples. If you take a look at the first file in post #15. Before the 120 lot trades at 09:44:17, the market is bid 120 contracts at 139.65 (not in the image, but I've recorded it), offered 282 contracts at 139.66. Then the 120 lot trades at 139.65. After that trade the market is bid 260 contracts at 139.64, offered 153 contracts at 139.65. The 120 lot trade is labeled as an ask trade in SC. Are you really saying that I'm wrong in my analysis when I say that this trade should have been labeled as a bid trade instead of an ask trade?
Not based upon this analysis. Instead based upon a simple and direct comparison to the bid and ask prices because what the server is seeing for the best bid and ask, may be different than what you see because of the two different streams of data. There have been some changes so that what the server sees for the best bid and ask is in the proper order in relation to the trades.


They do look significantly different to me. Just a few quick observations: Cumulative Delta in both IQ and TT fall back sigificantly between 0905 and 0925, while at CQG it just keeps rising. AT 0925-0930 both IQ and TT are near the lows of the day, while CQG hovers near the highs. At 1005 IQ and TT are back at or near the lows, CQG is not.
We have noted this. When we said there was not a significant difference, this was based on some quick initial observations and what we were watching out for is a major difference where the Cumulative Delta Bars is giving a completely opposite result at times that we have seen with TT FIX and CME data.
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Date Time Of Last Edit: 2014-01-29 01:40:49