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Direct MessagesDate/Time: Wed, 24 Apr 2024 00:09:03 +0000
Time & Sales and Historic Bid Ask
View Count: 2576
| [2015-03-11 11:33:59] |
| jesslinn - Posts: 108 |
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The scid files now contain historic bid/ask data but how does one access this historic time and sales data? The following excerpt from the documentation says that the preferred way to access T&S is not GetTimeAndSales anymore but I do not see how to wake up a study with bid/ask/DOM changes nor how to access the quotes (other than GetTimeAndSales or reading the scid file directly) once the study is woken up. ------------------------------- Alternative Way For Obtaining Time and Sales Data: Open a 1 tick chart for the symbol you want Time and Sales for. Select File >> Data/Trade Service Settings and make sure the Intraday Data Storage Time Unit is set to 1 Tick. Use the sc.GetChartArray and the sc.GetChartDateTimeArray functions to access the price and volume arrays and the DateTime array. Every element in these arrays is 1 tick. This may actually be a preferred way of accessing time and sales since there will be abundant amount of history available. |
| [2015-03-11 17:04:49] |
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The documentation says it might be the preferred way if you need to access a large amount of historical time and sales data. The only way to access the historical bid and ask values is to do a replay and sc.Bid and sc.Ask will be set to the values. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-03-14 20:42:58] |
| jesslinn - Posts: 108 |
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Can you please verify that the following is correct and the way SC is currently working: 1) Bid/Ask records are not being stored in single tick scid files. What is stored is trades. Each trade may have the bid ask prices at the time of the trade (indicated by open set to 0.0). The bid size and ask size are not recorded. 2) Since bid/ask records are not stored, in the scid files, the only way to access them is through the GetTimeAndSales array in realtime, which is not stored. There is no built-in way to playback time and sales data. To do this one would have to record the bid/ask quotes separately and arrange to read them in instead of the T&S array. 3) Studies are not called for bid/ask changes but only when a new trade has occurred. ------------------------------------------------------------------------------------------------ If correct, could you please consider a change that allows bid/ask records to be recorded in the scid files so that the full T&S record is recorded? This would make the files substantially larger, so it probably needs to be switched, but it would open the door to many strategies and back tests, such as trading in thinly traded instruments where the bid/ask records are the main data of interest. |
| [2015-03-16 00:58:46] |
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1. Yes this is correct. 2. Time and sales data can be played back through a chart replay but only the trades are played back along with the bid and ask at the time of the trade. 3. This is not correct. 4. You can record bid and ask updates with the recording modes: http://www.sierrachart.com/index.php?page=doc/doc_RecordingModes.php 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-07-06 20:26:19] |
| jesslinn - Posts: 108 |
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There appear to be problems with the way that bid/ask records are written to the scid files (using -ALL recording mode with 1 tick). I have not made a comprehensive study of different symbols so if any of the following is not supposed to be true, I will look into it more. 1. The number of trades is always 1 whether there is a trade or not (should be 0 for quotes). 2. The bid size and ask size are not recorded for quotes (bid volume or ask volume are always set to 1). 3. There does not appear to be a way to distinguish between trades and quotes. In the following example of BNFT-ALL the two trades happen to have a volume of 100 and the quotes all have a size of 1, but there is nothing to say that the trades are not quotes with a size of 100 or the quotes are not trades of 1 share. 4. For quotes, the CLOSE field could be 0 since all it does is alternate between the bid and the ask. 5. A chart must be open to record the quotes. They cannot be loaded historically. It would be useful if SC would record the full time and sales record and make them available historically. Hopefully it will be easy to at least record the bid size and ask size in the scid file (say in the bid volume and ask volume fields) and make quotes distinguishable from trades (say setting the number of trades field to 0). It is probably a good deal more involved to provide historical quotes but it would be really great if this were possible, as it would make back-testing of various tape-reading and quote analysis strategies feasible. 20150706_130714.021000 0 42.23 41.97 42.23 1 1 0 1 20150706_130714.020000 0 42.23 41.97 41.97 1 1 1 0 20150706_130714.019000 0 42.23 41.97 42.23 1 1 0 1 20150706_130714.018000 0 42.23 41.97 41.97 1 1 1 0 20150706_130714.017000 0 42.23 42.1 42.23 1 1 0 1 20150706_130714.016000 0 42.23 42.1 42.1 1 1 1 0 20150706_130714.015000 0 42.23 42.1 42.23 1 1 0 1 20150706_130714.014000 0 42.23 42.1 42.1 1 1 1 0 20150706_130714.013000 0 42.24 42.1 42.1 1 100 100 0 20150706_130714.012000 0 42.24 42.1 42.24 1 1 0 1 20150706_130714.011000 0 42.24 42.1 42.1 1 1 1 0 20150706_130714.010000 0 42.24 42.1 42.24 1 1 0 1 20150706_130714.009000 0 42.24 42.1 42.1 1 1 1 0 20150706_130714.008000 0 42.24 42.1 42.24 1 1 0 1 20150706_130714.007000 0 42.24 42.1 42.1 1 1 1 0 20150706_130714.006000 0 42.24 42.15 42.24 1 1 0 1 20150706_130714.005000 0 42.24 42.15 42.15 1 1 1 0 20150706_130714.004000 0 42.24 42.15 42.24 1 1 0 1 20150706_130714.003000 0 42.24 42.15 42.15 1 1 1 0 20150706_130714.002000 0 42.25 42.15 42.25 1 1 0 1 20150706_130714.001000 0 42.25 42.15 42.15 1 1 1 0 20150706_130714.000000 0 42.25 42.15 42.2 1 100 100 0 I attached a file with a screenshot of the time and sales window for this small bit of time. Date Time Of Last Edit: 2015-07-06 20:27:01
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 BNFT_TimeAndSales.png / V - Attached On 2015-07-06 20:24:09 UTC - Size: 19.92 KB - 395 views |
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