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Date/Time: Wed, 08 May 2024 16:08:20 +0000

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

[2014-03-30 04:01:23] Link To Thread - Link To Post [Go To First Post]
Sierra Chart Engineering - Posts: 104368
As we said the new Bid volume and Ask volume algorithm has been applied on 2014-3-28 for the EUREX. When you look at the Cumulative Delta Bars for 2014-3-28 for the DAX, using any data feed whether it is IQ Feed or the Sierra Chart data feed, the Cumulative Delta Bars goes negative even though the market was up for the day. None of this makes any sense. which only proves our point, that you cannot accurately do Bid volume or ask volume for the EUREX. It seems to be questionable from our perspective to do bid volume and ask volume analysis on the EUREX. This is why we adopted the uptick and downtick method as an alternative. Which we are still using with the modification as stated, but nevertheless, it still appears to give a nonsensical result from time to time unless there is a very good reason why the Cumulative Delta would go in the opposite direction as the price of the market. 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: 2014-03-30 04:02:07