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Date/Time: Fri, 21 Jun 2024 06:58:02 +0000

Post From: Wrong treatment of non-bid/ask data in Sierra Chart

[2023-03-21 04:43:19]
User894256 - Posts: 1
I found that Sierra Chart used to wrongly double count non-bid/ask tick data and classify such as ask tick data, as a result the cumulative delta volume is always positive.

I have attached 4 captures for your reference that:

1. I used Hong Kong local data from "Powerticker" provided by Megahub Limited, and then imported such data to Sierra chart to demonstrate what is correct I think.
2. Direct from Sierra Chart service.
3. AMP Quantower with CQG data can also identify such non-bid/ask tick data throughout the day.

Factual transaction is that 178 future contracts were dealt not under ask/bid trade, however (Capture no. 2) Sierra Chart direct service treats such as 356 future contracts of ask deal (178 x 2).

Capture no. 1 represents that I think both ask, bid and delta volume should be zero, but volume should be 178.

Capture no. 3 represents that by CQG data, HSI has nearly 700 future contracts dealt not under bid/ask trade, as a result Sierra Chart added 1,400 ask volume a day, especially during the period of contract month rollover, during such period many non-bid/ask trade involved.

Therefore, by Sierra Chart direct service, an ever upward of cumulative delta volume of daily chart for any year is represented regardless the downtrend or uptrend of price.
image1. Correct treatment Nil in ask, bid and delta volume, but w.jpg / V - Attached On 2023-03-21 04:36:41 UTC - Size: 276.51 KB - 78 views
image2. Sierra Chart treatment on non-askbid data.jpg / V - Attached On 2023-03-21 04:36:57 UTC - Size: 208.19 KB - 73 views
image3. AMP Quantower with CQG data - non-bidask data.jpg / V - Attached On 2023-03-21 04:37:04 UTC - Size: 150.34 KB - 69 views