Support Board
Date/Time: Fri, 24 Jul 2026 04:15:34 +0000
Time and Sales Window – Trade and Quote-Update processing
View Count: 316
| [2026-05-31 13:27:13] |
| User537545 - Posts: 4 |
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Hi there, in the "Time and Sales Window" one can see all Bid-Trades (Type = Bid Trade), Ask-Trades (Type = Ask Trade), and Quote-Updates (Type = Bid Ask). I have attached 2 screenshots as reference. I am aware that these records are not ordered by their timestamps but by their sequence number which is assigned by Sierra Chart to each record. I noticed though, that trades seem to appear in "batches" meaning often 3 to 10 as a single block with a Quote-Update before and after the block. 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? Did all trades that are displayed between two Quote-Updates (Type = Bid Ask) actually happen in the same millisecond? 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? Furthermore, does every Trade-Record (Type = Bid Trade; Type = Ask trade) represent a single trade order that got executed or can the same trade order be split across multiple Trade-Records? It would be interesting to know if it is possible to determine which executions belong to the same trade order. I am assuming that a block of trades between two Quote-Updates does not represent a single executed trade order but multiple executued trade orders. 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. Are the values in the columns "Bid" and "Ask" the best bid and best offer at the time the trade order was sent to the exchange (meaning it could change before the orders actually got executed)? If not, what do these values represent? |
 Time & Sales Window - Ask-Trades.png / V - Attached On 2026-05-31 13:16:49 UTC - Size: 169.86 KB - 42 views Time & Sales Window - Bid-Trades.png / V - Attached On 2026-05-31 13:16:54 UTC - Size: 170.56 KB - 48 views |
| [2026-05-31 20:08:36] |
| Sierra_Chart Engineering - Posts: 24298 |
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No this is not true: I am aware that these records are not ordered by their timestamps but by their sequence number which is assigned by Sierra Chart to each record.
They are ordered according to the transmission of records from the source/exchange. And timestamps are always ascending. 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 20:28:13
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| [2026-05-31 20:28:03] |
| Sierra_Chart Engineering - Posts: 24298 |
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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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