Support Board
Date/Time: Sun, 25 May 2025 16:34:17 +0000
Post From: bid/ask prices do not sync up with depth
| [2023-05-27 19:43:33] |
| AndyB - Posts: 105 |
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Here is a screenshot of what I'm referring to. I followed the instructions explicitly for setting up a 1 tick data recording mode chart (-BID_ASK_TRADE_SYNC). This example is on ES. The green arrows point to the moment where the bid/ask price changes (as do the vertical lines to show comparison to when the bid and ask depth values change). The green rectangles over the bid and ask bars subgraph show times when the last updated bid/ask depth values are equivalent to the following bid/ask depth values AFTER there was a bid/ask price change. This is for best bid offer, but I have double checked this on a non-filtered market depth setting and the results are the same. There are 8 occurrences of this in less than 1 second. Hard to imagine that this is just a coincidence in the book. When trying to build a system or do analysis, this greatly skews the results and I'm not exactly sure how a custom study could fix the data not lining up correctly. https://www.sierrachart.com/image.php?Image=168521615276.png |