Support Board
Date/Time: Fri, 24 Jul 2026 05:03:48 +0000
Post From: Time and Sales Window – Trade and Quote-Update processing
| [2026-05-31 20:28:03] |
| Sierra_Chart Engineering - Posts: 24299 |
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The inherent question for me is thus if trades actually appear as soon as they occur or if Sierra Chart always does a function call every {x} milliseconds and then adds each trade that happened since the last function call? For an understanding of how this works, refer to:General Settings Window: Chart Update Interval in Milliseconds (Global Settings >> General Settings >> General >> Update Intervals) No, but the exchange may not have transmitted this data: Could it be possible that between individual Trade-Records (Type = Bid Trade; Type = Ask trade) that are displayed as a block there were Quote-Updates (Type = Bid Ask) that were not recorded?
Another thing that I noticed is that for Bid-Trades (Type = Bid Trade) and Ask-Trades (Type = Ask Trade) the values that appear in the columns "Bid" and "Ask" are often stale across a block of trades and sometimes deviate significantly from the execution prices (column "Price"). Thus these values cannot represent the actual best bid and best offer at the time of execution. Yes, we do notice this but this just has to do with how the exchange transmits data. This is true in particular with the CME because of the architecture of the CME data feed. It is just too involved for us to discuss this. After processing market depth data, there are some trades which are processed after the end of that and you are going to see constant bid/ask prices when all of those trades are processed.
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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2026-05-31 20:36:25
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