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Date/Time: Fri, 21 Jun 2024 08:36:49 +0000

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

[2023-03-23 15:05:52]
Sierra_Chart Engineering - Posts: 15024
We are not understanding this fully and we will not take the time to understand this. This is too involved for us and we do not help with other sources of data. Including CQG.

In the case of Hong Kong futures data when using SC Data-All Services, bid and ask volume is determined as explained here:

Alternative Bid Trade / Ask Trade: In the case of EUREX, HKFE, cash index symbols, the following method is how a trade is determined to be at the Bid or Ask price. In the case of exchange traded futures, although a trade must always occur at the Bid or Ask price, based upon the transmission of the Bid/Ask data from the exchange, often there is no synchronization between this Bid/Ask data and trades.

This is why this special algorithm is used. If the last trade price is the exact same price as previously, then if this price is equal to the current known Bid price, then it is considered a Bid Trade. If this price is equal to the current known Ask price, then it is considered an Ask Trade. Else if the last trade is an uptick or was previously an uptick, then the trade is considered to be an Ask Trade. If the last trade is a downtick or was previously a downtick, then the trade is considered to be a Bid Trade.

This section does not apply to IQ Feed data.

There cannot be any double counting of trades. Whether the allocation of volume to the bid side or the ask side is correct or not, is a question but it is what it is. If it is not useful, then do not use the data. We are not going to change this.

Sierra Chart always will allocate a trade to either bid volume or ask volume. This cannot be changed.

In the case of CQG historical tick data, how bid and ask volume is determined requires some research on our part and we cannot allocate time to that.

Sierra Chart is removing support for Hong Kong futures data through the SC Exchange Data Feed. And we may even be dropping support for CQG.
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:

For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2023-03-23 15:15:58