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Date/Time: Fri, 29 Mar 2024 00:04:04 +0000



Post From: Recent Bid Ask Volume Timeout causes incorrent Recent Bid / Ask Volume Reset in DOM

[2021-07-13 17:34:20]
mhtt - Posts: 4
Hi,

I believe this issues has been raised before but not sorted out - DOM Recent Bid / Ask Volume Reset Discrepancy

If the "Recent Bid Ask Volume Timeout in Milliseconds" (Global Settings or Trade >> Chart DOM Settings) is set to zero the resetting works as it should. If that parameter is >0 the resetting seems to be sticking (I tested with 1ms, which should almost never be at play). If "Reset Cumulative Last Size on Bid Ask Change" is enabled than resetting also happens as expected according to that flag.

The nature of the bug:

Say a price is coming back up to a price level 100, which already has some numbers in the Recent Bid/Ask Volume.
When Ask gets to price level 100 it resets the numbers as expected, however this allows the bid to jump from 99 to 100 without resetting its number at 100. The bid can now jump between 99 and 100 without resetting any of the two for as long as it likes (provided ask stays at 100). Going down same thing applies. If the last bid happens at 99, than ask can come down to 99 without resetting the ask recent volume, and than jump between the two without resetting any.

Again this happens with timeout >0 and Reset Cumulative Last Size on Bid Ask Change disabled.

There might be some more issues associated with higher timeout delays, as I saw really high volume numbers with 2500ms, but I haven't tested those.

Kind regards,

Aleks
Date Time Of Last Edit: 2021-07-13 17:46:03