Support Board
Date/Time: Mon, 17 Aug 2026 15:25:38 +0000
[User Discussion] - ES (CME) locked market (Bid = Ask) appearing in T&S Bid/Ask records
View Count: 25
| [2026-08-17 09:36:13] |
| User145288 - Posts: 4 |
|
Environment: - Sierra Chart version: 2813 - Data feed: Denali Exchange Data Feed, Full CME Group with market depth - Symbol: ESU26-CME Observation: Intermittently I see type 6 records where the Bid price equals the Ask price. A locked Market. My question is whether this reflects a state actually disseminated by CME on MDP 3.0, or whether it is an artifact of how Sierra Chart reconstructs the BBO for Time & Sales quote records. My understanding is that the Globex matching engine does not permit a locked or crossed book in an outright instrument during continuous trading, an aggressing order that would lock the book trades against the resting side instead, so I would not expect bid = ask to be a valid exchange-side state outside of the pre-open / no-cancel period. Specific questions: 1. When an MDIncrementalRefreshBook (MsgType X) message contains both a bid-side and an ask-side MDEntry at price level 1 within the same event, does Sierra Chart apply the full message atomically before emitting a Bid Ask record, or does each MDEntry generate its own record? If it is the latter, a transient lock would be expected every time the inside market steps through, and would be a reconstruction artifact rather than an exchange state. 2. Does the backend or the client honor the MatchEventIndicator (tag 5799) end-of-event flag to determine when the book is consistent before publishing a quote record? 3. Does the market depth data (Trade DOM / market depth) show the same locked state at the same timestamp, or is the lock confined to the Time & Sales Bid Ask records? If they disagree, that would point to the T&S quote path specifically. 4. Are implied prices (implied in / implied out) merged into the top-of-book used to populate the Bid and Ask columns in Time & Sales? An outright bid shown against an implied ask could account for the appearance. I am logging Time & Sales via sc.GetTimeAndSales() in an ACSIL study with sc.UpdateAlways enabled and Number of Stored Time and Sales Records set to [N]. The locked records are SC_TS_BIDASKVALUES type, with Bid and Ask read from the same record. Sequence numbers are contiguous across the locked records, so this is not dropped-record aliasing on my side. Here is my recording with added "locked_market?" header: DateTime,Price,Volume,Bid,Ask,BidSize,AskSize,Sequence,UnbundledTradeIndicator,Type,TotalBidDepth,TotalAskDepth,TradeIndicator,NumberOfTrades,locked_market? 46251.324079606478335,7819.5,1,7819.25,7819.5,18,10,3448,0,6,3083,2914,0,0,FALSE 46251.324084537038289,7819.5,1,7819.25,7819.5,18,9,3449,0,6,3083,2913,0,0,FALSE 46251.324084537038289,7819.5,1,7819.25,7819.5,18,8,3450,0,6,3083,2912,0,0,FALSE 46251.324084548614337,7819.5,1,7819.25,7819.5,18,7,3451,0,6,3083,2911,0,0,FALSE 46251.324084548614337,7819.5,1,7819.25,7819.5,18,6,3452,0,6,3083,2910,0,0,FALSE 46251.324085196756641,7819.5,1,7819.25,7819.5,18,3,3453,0,6,3083,2907,0,0,FALSE 46251.324085196756641,7819.5,1,7819.25,7819.5,18,2,3454,0,6,3083,2906,0,0,FALSE 46251.324090439811698,7819.5,1,7819.25,7819.5,18,2,3455,1,2,0,0,0,0,FALSE 46251.324090439826250,7819.5,1,7819.25,7819.5,18,2,3456,2,2,0,0,0,0,FALSE 46251.324090439811698,7819.5,1,7819.5,7819.5,2,2,3457,0,6,3066,2906,0,0,TRUE 46251.324090439811698,7819.5,1,7819.5,7819.75,2,30,3458,0,6,3066,2904,0,0,FALSE 46251.324090439811698,7819.5,1,7819.5,7819.75,2,29,3459,0,6,3068,2921,0,0,FALSE 46251.324090439811698,7819.5,1,7819.5,7819.75,2,28,3460,0,6,3068,2920,0,0,FALSE 46251.324090439840802,7819.5,2,7819.5,7819.75,2,28,3461,0,1,0,0,0,0,FALSE 46251.324090439811698,7819.5,2,7819.25,7819.75,20,28,3462,0,6,3066,2919,0,0,FALSE 46251.324090451387747,7819.5,2,7819.25,7819.5,20,1,3463,0,6,3085,2902,0,0,FALSE 46251.324090451387747,7819.5,2,7819.25,7819.5,20,2,3464,0,6,3085,2903,0,0,FALSE 46251.324090451387747,7819.5,2,7819.25,7819.5,20,3,3465,0,6,3085,2904,0,0,FALSE Thank you. |
To post a message in this thread, you need to log in with your Sierra Chart account: