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Direct MessagesDate/Time: Mon, 29 Apr 2024 12:23:32 +0000
"Last" price is appearing outside the Bid/Ask spread on chart
View Count: 1826
| [2015-09-16 04:01:20] |
| User760942 - Posts: 120 |
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Hi SC, I notice that sometimes in my SC charts the price of the market's "last" closed trade falls outside of the Bid/Ask spread. For example, in attached screenshot "1.jpg" you'll see that: -The Ask Price (red dots) is 69.225 -The Bid Price (Blue dots) is 68.175 -The "last" closed trade price (dashes) is 68.075 Screenshots "2.jpg" and "3.jpg" show the settings I used to make this chart. Any idea why this is happening? Thanks! |
Attachment Deleted. |
1.jpg| [2015-09-16 04:28:42] |
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This question is not within the scope of Sierra Chart support.
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 |
| [2015-09-16 04:50:30] |
| User760942 - Posts: 120 |
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I don't understand your response. Perhaps I'm wrong, but I don't see how it would be possible for a trade to close for a lower price then the best bid price that exists at the time of the trade's closing (which is why I figured this was a technical issue). Are you saying it is not a technical issue? Date Time Of Last Edit: 2015-09-16 04:52:32
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| [2015-09-16 05:11:55] |
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No, it is definitely not a technical issue at all that we would have any control over. This question is something that should not be asked of us if it is known that it is not a technical issue. It is most appropriate to ask the CME about this. And yes, do please contact them about this. They are a far larger organization than us, with far amounts of greater resources. If they cannot answer it, then why should we be answering it when we do not even know the answer to begin with. This is not the domain of our support and this is what we meant with our prior response. 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 Date Time Of Last Edit: 2015-09-16 05:21:20
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| [2015-09-16 05:34:23] |
| User760942 - Posts: 120 |
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I did not know it was not a technical issue when I asked you. I'm sorry.
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| [2015-09-16 05:34:51] |
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For comparison purposes, we are attaching a chart from IQ Feed for this particular contract: http://www.sierrachart.com/image.php?l=1442381640233.png You can see the last trade price in many instances is outside of the bid and ask range. No need to apologize, we realized you did not know it was a technical issue. It is just that from our perspective, we can get very bogged down chasing after all the different data "issues" that get brought up. We can only focus on the genuine ones that we have control over. 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 Date Time Of Last Edit: 2015-09-16 05:36:07
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| [2015-09-16 05:47:36] |
| User760942 - Posts: 120 |
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Thanks. Again, sorry for bothering you with this. I did not realize it was not a technical issue when I first asked the question. |
| [2015-09-19 03:35:23] |
| User760942 - Posts: 120 |
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I showed both yours and my screenshots to the CME group and they cannot figure out what is causing the problem either. I've also spent countless hours of my own time trying to figure this out and am running out of testing options. Can you please do a quick test to see if this issue exists when accessing the symbol's data from your "Sierra Chart Real-Time and Historical Exchange Data Feed" data plan? I have a paid subscription to the above mentioned plan and I'd do the test myself, but I don't want to spend the additional $94.50 CME exchange fee unless I can be sure it will solve the problem. (Also, I'm aware my SC account expires tomorrow, I'll gladly renew it once you can direct me toward a viable solution to this.) Thanks. |
| [2015-09-19 04:08:43] |
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We still see the same thing even with our own processing of the CME FIX Multicast market data feed: http://www.sierrachart.com/image.php?l=1442635604394.png While we do not want to speculate on the reason, most likely there is a good reason why we see this. When there is a market order taking out many levels of the bid or ask depth, the new best bid and ask are not transmitted until all of those trades are transmitted first. So this is the result that you get. The CME should know this. So why is it that we can give me an answer which is probably correct, and they cannot answer it? Does not make any sense. 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 Date Time Of Last Edit: 2015-09-19 04:15:10
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