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Bid and Ask Depth Bars (Cumulative Bid-Ask) inconsistent live vs downloaded depth data

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[2025-11-13 08:43:47] #1 [Go To First Post]
ApexCapital1 - Posts: 7
Hi Sierra team, The bid and ask depth bars (cumulative bid-ask) is printing radically different data, at least visually, between live and downloaded data. The live data tends to be wick orientated and sideways, whereas downloaded data tends to have no wicks and trend aggressively with little to no wicks. A few points to simplify problem solving: - I am subscribed to CME Professional Data for NQ and GC - I am subscribed to package 11 of Sierra Chart - I have searched through the support boards and cannot find a similar issue, hence the new ticket - I have deleted and downloaded depth data between continuous and non-continuous contracts with the same result - I have ensured that the calculation method is consistent Please assist with: - why this is happening? - What can one do to obtain consistent data and calculation for this indicator, particularly with relevance to backtesting and live trading? Screenshots of chart (Bid and Ask depth 4th chart window) Live Data - wicky and sideways https://www.sierrachart.com/image.php?Image=1763022920818.png Downloaded Data - full body closes, gaps and aggressively trendy https://www.sierrachart.com/image.php?Image=1763023158162.png THANK YOU

[2025-11-13 16:44:57] #2 [Go To First Post]
John - SC Support - Posts: 43661
Please do the following for us: - Once the live data has filled in a good portion of the Bid and Ask Depth Bars, take an image of that chart. - Then follow the instructions at the following link to delete the data starting at the far left edge of the chart then that data will redownload: Data Errors or Spikes in Charts, Flat or Flat Line Graph, Compressed Graph, Errors with Date/Time Values: 2.1.2 Deleting and Re-downloading Data. (Easier and Recommended Method) - Take another image of the chart, so it is showing the same times as the image taken previously, but now it has downloaded data and not "live". - Get us both of those images so we can see how it looks in both of these cases for the same times. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2025-11-14 10:24:15] #3 [Go To First Post]
ApexCapital1 - Posts: 7
Hi John, Thanks for the speedy response. I have followed the instructions, see attached images presenting identical data: Live Data: https://www.sierrachart.com/image.php?Image=1763114382764.png Delete and Redownload: https://www.sierrachart.com/image.php?Image=1763115217169.png A few observations: - The data or calculation method that Sierra collects / uses when it is connected to live data is different from the data collected from the server when the indicator is not attached. - To put he idea into practice, I have chosen a day were the indicator was not connected to the chart and subsequently gone through the same process outlined in your prior message. Notice that the data remains unchanged similar to the above screenshots. Downloaded data (indicator not attached to chart on the day) https://www.sierrachart.com/image.php?Image=1763115538797.png Delete and Redownload: https://www.sierrachart.com/image.php?Image=176311566482.png - I also found the area where I logged off yesterday and noticed the data change again. Having deleted and redownloaded the data, I was again left with the contrast in data between live and downloaded. I take taken two screenshots as it is challenging to show both with the same detail given the difference in scaling / size. Live Data: https://www.sierrachart.com/image.php?Image=1763116464984.png Downloaded data (post log off) https://www.sierrachart.com/image.php?Image=1763116644581.png Happy to assist again where relevant. Date Time Of Last Edit: 2025-11-14 10:38:50

[2025-11-14 17:54:23] #4 [Go To First Post]
Sierra_Chart Engineering - Posts: 22069
First, these images are too complicated. We cannot help with this, with so much complexity being presented to us. All studies must be removed from the chart, other than the study in question. You can duplicate the chart, and then clean up that duplicated chart as explained here: Support Board Posting Information: Attaching or Posting a Screenshot/Image (Optional) All of your chart images are rejected at this point. And all 6 images you provided, in those last screenshots, none of them show the Bid and Ask Depth Bars study. Or we do not know what is what. And also the images are very large for us because we are using a lower resolution but that is all right. Update Sierra Chart to the current version: Software Download: Fast Update This is essential/mandatory . Otherwise, we cannot help. The Bid and Ask Depth Bars study relies on market depth data. So therefore you need to use the Market Depth Historical Graph to be sure you actually have the market depth data: Market Depth Historical Graph: Market Depth Historical Graph Not Displaying So you need to be sure you actually have market depth data, in the areas of the chart where you are looking at the Bid and Ask Depth Bars study. The issue must relate to historical market depth data. Bid and Ask Depth Bars is 100% stable in the way it is designed. 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: 2025-11-14 18:22:35

[2025-11-14 19:21:23] #5 [Go To First Post]
ApexCapital1 - Posts: 7
Hi team, - I have simplified the charts to only show the Bid / Ask Depth Bars Study. - I have updated Sierra Chart to the latest version. - I have the professional CME / COMEX package which includes market depth data per the below. Denali Exchange Data Feed: What is Included - I can confirm that the Bid and Ask Depth is active based on your market depth historical graph outlined above. The depth data is present under 'data', the 'record historical data' under symbol is set to yes and custom settings are checked to yes. https://www.sierrachart.com/image.php?Image=1763146871137.png - I have deleted and redownload market depth data from time and date multiple times as requested. The issue still remains, which is that the data displayed is radically different between downloaded directly from server (not live) and live data. Downloaded data: Note it is trending with substantial gaps and no wicks https://www.sierrachart.com/image.php?Image=1763147069192.png Live Data: Note more range bound, less gaps and wick orientated. https://www.sierrachart.com/image.php?Image=1763147190321.png This is consistent across the past 3 days of using the indicator. I appreciate the ongoing communication - Please assist with next steps.

[2025-11-14 20:08:25] #6 [Go To First Post]
Sierra_Chart Engineering - Posts: 22069
It just occurred to us that this may relate to the "Cumulative" calculation. This may inherently be just how this works. It would make sense, because this is the calculation: Running sum of (Total Ask Quantities - Total Bid Quantities) The opposite calculation with bid minus ask but effectively the same concept. Therefore, this calculation is definitively going to be affected by a changing the first Date-Time loaded in the chart. And also we do not see any bars, with this calculation at all: https://www.sierrachart.com/image.php?Image=17631508214.png So why you are seeing bars we do not know. There is of course a bar but the high and low are very close to each other. Our recommendation is to not use that calculation method. We will not be spending further time on this. This is a good example of when we add features for users, that inherently are difficult concepts to implement, that we then get burdened with more support which we do not want. So please do not use, the Cumulative calculation. 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: 2025-11-14 20:22:23

[2025-11-14 20:21:32] #7 [Go To First Post]
Sierra_Chart Engineering - Posts: 22069
Also to create the inconsistency you should only have to do Chart >> Recalculate. Do you notice the inconsistency then? Also for the record we do not notice any inconsistencies when we recalculate, and we would not think so either when re-downloading market depth data. Bid and Ask Depth Bars looks the same after a recalculation. 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: 2025-11-14 20:21:53

[2025-11-14 20:36:37] #8 [Go To First Post]
ApexCapital1 - Posts: 7
Hi team, Indeed I have set the indicator to cumulative (ask - Bid) and you are correct. That being said, it seems that the image you have attached is on historical downloaded data and not on live market data. If you were to leave the indicator running, you will notice that the live data presents very differently (and likely correctly) relative to the downloaded data. This is the challenge. I think the indicator is fantastic and a great value add from Sierra chart - it would be a shame to not see this solved as I would imagine the solution is simple.

[2025-11-14 21:58:39] #9 [Go To First Post]
Sierra_Chart Engineering - Posts: 22069
There is no difference between, the study results initially from a chart reload, and updating with real-time data. We did test that carefully. It is identical. In both cases, we do not see chart bars, there is a bar there but it is just a very small range. What we want to know though, is that do you notice a change, when you select Chart >> Recalculate, with the Bid and Ask Depth Bars data. 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

[2025-11-15 19:04:10] #10 [Go To First Post]
Sierra_Chart Engineering - Posts: 22069
One thing we want to be clear about, is since the calculation is cumulative, you would only see a difference with the study results when reloading the chart if the first Date-Time in the chart changes. Which it can if loading data based on a number of days, and you have reloaded the chart, in a different day compared to before. Otherwise, the study result we see is stable. Check to be sure the Bid and Ask Depth Bars study is not based on another study: Chart Studies: Settings and Inputs Tab >> Based On - Basing a Study on Another Study 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

[2025-11-17 14:39:10] #11 [Go To First Post]
ApexCapital1 - Posts: 7
Hi Team, - When I complete the edit >> recalculate step on the chart the difference between live and backtested data remains. - Noted regarding the values changing based off of the start date and time. The challenge is the 'shape' and 'character' of the data. The only other direction I can point to that could explain the differences is Global Settings >> Sierra Server Settings >> Market Depth >> Max Depth levels. I have this set to twenty on purpose. Does the indicator take this setting into account when calculating downloaded data / non live data?

[2025-11-17 15:55:43] #12 [Go To First Post]
Sierra_Chart Engineering - Posts: 22069
Yes we think that is the reason for the difference. 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

[2025-11-17 16:12:03] #13 [Go To First Post]
ApexCapital1 - Posts: 7
Hi Team, Excellent I'm glad we've found the cause. Could we get the indicator to take this into account for backtesting purposes?

[2025-11-17 18:52:39] #14 [Go To First Post]
Sierra_Chart Engineering - Posts: 22069
There may actually be a solution to the issue. Set this setting to 20 as well: Chart Settings: Maximum Market Depth Levels (Chart >> Chart Settings >> Market Depth menu) 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

[2025-11-19 07:59:00] #15 [Go To First Post]
ApexCapital1 - Posts: 7
That solved it - Thank you for putting the time in to help For those with a similar issue - The indicator calculates historical data based off of the depth of market chart settings and Sierra Server settings. - for coherent data across live and downloaded data, ensure that both of the following have the same settings: Chart >> Chart Settings >> Market Depth menu Global Settings >> Sierra Server Settings >> Market Depth >> Max Depth levels

[2025-11-19 14:03:32] #16 [Go To First Post]
blt - Posts: 132
... setting Market Depth to zero (0) in chart menu to match MD Levels in Global Setting will work the same I suppose

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