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Date/Time: Wed, 08 May 2024 07:33:01 +0000

Post From: Numbers bar study bid - ask split incorrect behaviour

[2014-03-28 07:51:57] Link To Thread - Link To Post [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We have deployed a change to the Sierra Chart EUREX data feed where when a trade occurs at the same price as before and exactly matches the latest quoted Bid, then it is considered a Bid trade. If it exactly matches the quoted Ask, then it is considered an Ask trade. Otherwise, logic is as before, where if the market trades higher or trades at the same price and previously traded higher, then it is considered an Ask trade. If the market trades lower were trades at the same price and previously traded lower, then it is considered a Bid trade. We have been monitoring it this morning and the algorithm works well and has been deployed across all servers. At this point, we think we have succeeded with providing a very good Bid Trade Volume and Ask Trade Volume estimation with EUREX that is sensible. 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 07:55:56