Support Board
Date/Time: Mon, 12 Oct 2026 21:13:45 +0000
Current Traded Bid/Ask Volume differs from Numbers Bars at newly traded price levels
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| [2026-08-28 09:50:28] |
| User330797 - Posts: 5 |
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Hi, I’m comparing the Current Traded Bid Volume / Current Traded Ask Volume columns on a Chart DOM with Numbers Bars Bid/Ask Volume at Price. I am aware that Numbers Bars accumulates volume according to the chart bars, while the Current Traded columns accumulate from their own reset point. I am specifically accounting for this. To make the comparison valid, I am looking at newly traded price levels that had not previously traded during the current Numbers Bars bar, after both the footprint and the Current Traded columns were already active. In other words, I am comparing fresh price levels where there is no pre-existing footprint volume from earlier in the bar. Sierra Chart is configured with: Intraday Data Storage Time Unit = 1 Tick no volume filters same symbol and same data feed no trade-size filtering Despite this, I sometimes see substantial differences between the two. For example, at a newly traded price level I can see: Numbers Bars: 66 Bid x 35 Ask while at the same price: Current Traded: 8 Bid x 0 Ask I have also seen the opposite type of discrepancy, including cases where one display shows zero volume on one side while the other shows several or even dozens of contracts. Importantly, this is not limited to Trades Combining Method. I have tested with: Trades Combining Method = None on both the Numbers Bars chart and the Chart DOM, and discrepancies can still occur. I have also tested Combine Into Original Summary Trade. That setting appears to affect the results in some cases, but it does not seem to be the sole cause of the mismatch. So my main question is: Under what conditions can Current Traded Bid/Ask Volume at a price differ from Numbers Bars Bid/Ask Volume at the same newly traded price, when both are observing the same real-time trades and the price had no previous volume during the current bar? Are the Current Traded Bid/Ask columns and Numbers Bars using different internal trade records, different Bid/Ask classification logic, or different processing paths? I would also like clarification on how Trades Combining Method affects each of the following: Current Traded Bid/Ask Volume on the Chart DOM Numbers Bars Bid/Ask Volume at Price Volume-at-Price calculations and Point of Control I have noticed that changing the combining method can sometimes alter the POC as well. If Original Summary Trade components are combined at the same price, I would normally expect volume-at-price to remain unchanged, so I would appreciate clarification on the exact processing logic. Date Time Of Last Edit: 2026-08-28 10:04:13
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| [2026-08-28 13:23:03] |
| John - SC Support - Posts: 48181 |
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We did the exact same test you describe for the ES and let the bar develop for 5 minutes. We get the exact same information in the Current Traded columns as we do in the Numbers Bars. Attached is an image of what we see. The columns in the DOM from left to right are the "Current Traded Bid Volume", "Current Traded Ask Volume", "Bid Size/Buy", "Price", "Ask Size/Sell". Just like you state, it is almost impossible to catch the reset of the Current Traded columns with the start of a bar. So you will see a discrepancy in the information at the price level of 7751.00 due to this. Also, in this case, we had the option for "Combine Trades Into Original Summary Trade" enabled. The point is that the Current Traded Bid/Ask uses the same data that the Numbers Bars are derived from. The combining makes no difference in this case. So we do not know why you would be seeing any difference in the information, you should not. -- When combining trades, a trade that was broken into several pieces due to how it filled, will be considered a single trade at a single price level. Therefore, the actual data at a price level can change. As we noted above, the Numbers Bars and Current Traded Bid/Ask will show the same information regardless of how the combining is done. You will have different values for each if you use different combining methods. Due to the fact that the volume at a price level can change, this would mean that the POC for a Volume by Price profile could change. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| Screenshot 2026-08-21 102008.png / V - Attached On 2026-08-28 13:20:06 UTC - Size: 46.14 KB - 44 views |
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