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Direct MessagesDate/Time: Wed, 08 May 2024 16:00:33 +0000
Post From: Numbers bar study bid - ask split incorrect behaviour
| [2014-03-26 10:17:26] |
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The reason we say the result with IQ Feed is completely meaningless, is because it cannot be safely relied upon. Not that it is completely inaccurate, but because it cannot be relied upon, quoting a particular value with IQ Feed and comparing it to what you get with the Sierra Chart data feed, is meaningless because it proves nothing. This is the point we are trying to make. There is no valid point of reference because it is not possible to achieve accurate bid volume or ask volume with EUREX. We are still thinking about this but in the end, we only have come to the conclusion that we have to really understand what the objective here really is. Only users can answer that for themselves. And what is the most stable way of doing the calculation? And the most stable way is to use the price feed itself and that is to look at up ticks and down ticks. One area we could possibly change is when a trade occurs at the same price as before. Possibly if it matches exactly the current quoted bid or ask, we could use those to count the trade as either a bid or ask trade. That might be a reasonable algorithm but still that is imperfect. 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: 2014-03-28 07:49:56
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