Support Board
Date/Time: Fri, 24 Oct 2025 03:11:41 +0000
Market Depth Historical Graph does not work with combined tick sizes
View Count: 90
| [2025-10-22 18:27:03] |
| DL-1992 - Posts: 20 |
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I have compressed my footprint chart by increasing the tick size to a multiple of the standard size. This seems to cause issues with the market depth historical graph highlighting. For example, I have set any volume above 10 to be highlighted. This works reliably for the normal tick size, but after increasing the tick size, it only works sometimes. In the attached screenshot, see how the combined price 4085 is highlighted due to the limit order with 11 volume, but the price 4086 is not highlighted despite there being a limit order with volume 13. I initially thought it somehow takes the average of all limit orders within the price increment, but that's not it. From my observation, it only highlights based on the last changed price, which is undesirable behaviour. E.g. if within the same price increment, a limit order changes from 9 to 10, it highlights the 10, but if another one changes to 9 afterwards (while the 10 remains unchanged), the highlight disappears. It should always highlight based on the highest volume within a price increment.
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 2025-10-22_20-11.png / V - Attached On 2025-10-22 18:25:53 UTC - Size: 10.28 KB - 14 views |
| [2025-10-22 18:58:03] |
| John - SC Support - Posts: 42540 |
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We are not fully understanding your setup, particularly from the image. The DOM and the Market Depth Historical Graph have different controls for aggregating the Market Depth data. For the DOM, the following settings apply: Chart Settings: Market Depth Combine Increment in Ticks (Chart >> Chart Settings >> Market Depth menu) Chart Settings: Apply Combine Increment in Ticks to Other Market Data Columns (Chart >> Chart Settings >> Market Depth menu) For the Market Depth Historical Graph, it is the following Input: Market Depth Historical Graph: Combine Increment in Ticks If you do not have these two different items set to the same aggregation, then you really can not compare what is occurring. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-10-22 19:32:57] |
| DL-1992 - Posts: 20 |
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It's not about any of these settings. You can easily reproduce. I opened the default Sierra Chart ExampleChartbook and only did the following: set MNQ as Symbol on the first chart, increased tick size from 0.25 to 2.5, enabled "Draw DOM Graph on Chart", and added Market Depth Historical Graph Study with default settings (I used "Reset Defaults"). The issue presents itself with just that. |
| [2025-10-22 19:40:42] |
| John - SC Support - Posts: 42540 |
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Do not change the Tick Size. Keep the Tick Size as the standard and use the options we gave above to aggregate the data.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-10-22 20:03:00] |
| DL-1992 - Posts: 20 |
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But as I said, I need to compress the footprint. And if I change the tick size, the market depth increment and others seem to already be based on that, so you can't really use those increment multipliers anymore.
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| [2025-10-22 20:45:36] |
| John - SC Support - Posts: 42540 |
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To aggregate the Numbers Bars data, use the "Volume at Price Multiplier". Refer to the following: Chart Settings: Volume at Price Multiplier for Historical/Intraday Chart (Chart >> Chart Settings >> Chart Data >> Volume at Price menu) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-10-23 08:04:30] |
| DL-1992 - Posts: 20 |
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Are the "Volume at Price Multiplier" and "Market Depth Combine Increment in Ticks" exposed to be settable through ACSIL? They don't seem to be. Also, increasing the tick size is one of the recommended ways to condense the footprint chart according to your documentation here: Numbers Bars: Adjusting Volume at Price Multiplier For Larger Increment Doing this seems to cause all other studies to adjust to the new tick increment as well, and is very simple and straightforward to do. So why not just fix this particular study that seems to have issues with it. Date Time Of Last Edit: 2025-10-23 08:15:58
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| [2025-10-23 16:37:45] |
| John - SC Support - Posts: 42540 |
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We need to update that documentation. You should use the Volume at Price Multiplier. There are going to be issues when changing the Tick Size, in particular the initial issues you were seeing. The "Volume at Price Multiplier" is exposed through ACSIL through the following: ACSIL Interface Members - Variables and Arrays: sc.VolumeAtPriceMultiplier The "Market Depth Combine Increment in Ticks" is not available. 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: 2025-10-23 16:41:38
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| [2025-10-23 18:49:32] |
| DL-1992 - Posts: 20 |
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It is read-only. Can you make those two variables settable from ACSIL? I have implemented buttons to quickly switch between different price multiplier levels based on market conditions, which works with the tick size since that's settable through ACSIL. But if that's not the preferred way to do it, and you can't set the others through ACSIL, you'd always have to change all the multipliers by hand, which is extremely cumbersome.
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