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Direct MessagesDate/Time: Wed, 08 May 2024 16:32:25 +0000
Post From: Numbers bar study bid - ask split incorrect behaviour
| [2014-03-26 09:55:47] |
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The new algorithm did not give a reasonable result for the Cumulative Delta. Up/down ticks definitely produces a more reasonable/ accurate Cumulative Delta rather than just comparing to the bid or ask price. We have confirmed this. It is abundantly clear to us, that with the EUREX data feed, you cannot possibly get an accurate bid volume or ask volume with IQ Feed any data feed. Only an estimation. So doing a comparison to IQ Feed, to us is not valid. With what we know it is completely meaningless. It is not accurate. We are not saying it is very inaccurate, but certainly it is not 100% accurate. To what degree it is not known. The problem is there are trades which occur between the most recent reported bid and ask, frequently. Or above or below the bid and ask This is why with the EUREX the only stable way to do this is with up ticks and down ticks. If you are using the Sierra Chart Data Feed, the depth always comes from the Sierra Chart data feed. Not any other source. If we were using another source for depth, there would be less accuracy. It would not even work right. 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: 2014-03-26 09:56:37
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