Support Board
Date/Time: Thu, 01 Oct 2026 20:21:21 +0000
ES (CME) locked market (Bid = Ask) appearing in T&S Bid/Ask records
View Count: 297
| [2026-08-17 09:36:13] |
| User145288 - Posts: 7 |
|
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. |
| [2026-08-18 02:41:48] |
| Sierra_Chart Engineering - Posts: 25017 |
|
What is the time zone of the timestamps in the Time and Sales data you are showing above. We want to compare this to another data feed. We are quite sure we would see the very same thing. We will answer the questions, but there are not going to be any changes, assuming any changes would even be possible to resolve this. 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? We understand what you mean by this, but the end of an event is considered the last group of fields, in the packet, a symbol change in the packet, or the end of event indicator, whichever is encountered first. If we do not do that, this results in an incomplete market depth state in particular when trading activity is light or with spreads. We have plenty of experience with this. There can be packets which are lost or potentially out of order. This is rare, but it does happen. Packets can be lost, which is not really that rare. It is simply impractical and proven faulty to be solely relying on MatchEventIndicator. We know this. We have experience with this.Also there is no implied market depth with equity indexes. You will never see implied depth with equity indexes. 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: 2026-08-18 03:15:36
|
| [2026-08-18 07:40:26] |
| User145288 - Posts: 7 |
|
The timestamps are in UTC. Would it be possible(if re-display rights allow it) to expose field in the future like -CME Priority Indicator (iLink FIX Tag 638) -XNas ITCh Message Type indicator? A more detailed view of exchange side messages would help a lot with tape adjustment/reconstruction. |
| [2026-08-19 15:42:02] |
| Sierra_Chart Engineering - Posts: 25017 |
|
Not at this time. We do not even know what those are. We do not see documentation for those. Never have seen fields like that. How could there be a priority indicator? There certainly are order IDs. And this message type indicator also makes no sense. Quite sure you are looking at documentation for some other data feed. We had a look at the template file. Those fields do not exist. And the existence of them does not even make any sense. We are not spending any further time on this thread. There are no problems here at all. We are not also looking at any other data feed either. We realize you are referring to a bid/ask update which we could not see historically. 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: 2026-08-19 16:54:41
|
To post a message in this thread, you need to log in with your Sierra Chart account: