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Direct MessagesDate/Time: Mon, 06 May 2024 10:07:25 +0000
Different footprint and Time and Sales records
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| [2015-10-06 07:25:29] |
| User740709 - Posts: 151 |
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Hello, I have noticed that in footprint charts, the platform very often prints orders that are recorded as Bid Trades in the Time and Sales window into the offer side (the other side) of the footprint, thus completely distorting delta and bid/ask volume numbers. Could you please have a look at it? Please find attached a screenshot of one of the occasions. Thanks and regards, Hana |
 SC screenshot.png / V - Attached On 2015-10-06 07:25:10 UTC - Size: 100.58 KB - 2721 views |
| [2015-10-06 09:14:49] |
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In the screenshot, the second chart shows a lot of zeros for the bid volume and ask volume for most price levels in the price bars. Is this because you have set Volume Filtering in the chart? Make sure you have a tick by tick data configuration: https://www.sierrachart.com/index.php?page=doc/doc_TickbyTickDataConfiguration.php Also, to answer your question, you are not matching up the times properly. Refer to the documentation here to understand the timestamps for chart bars: https://www.sierrachart.com/index.php?page=doc/doc_WorkingWithCharts.html#TimeScale 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 |
| [2015-10-06 13:13:50] |
| User740709 - Posts: 151 |
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Thanks, yes, I use volume filtering in the bottom chart, however the top chart is without filtering. I just used filtering to show you what happened in a clearer way since there is no way how to recongnize it in the standard footprint chart. As to the configuration, I have all correct as per your instructions in the link. Here, I had to scroll down a bit in the Time and Sales window since the action is fast and I am unable to make a screenshot immediately as the TS wihdow is relatively small. That is why you see not matching times. I will try to captchure another situation as I can see it is not clear from the one I attached. So, if you please hold on some time, I will send another, more precise screenshot. Thanks. |
| [2015-10-06 16:35:11] |
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We do not see any problem. The time of the bar that you see in the timescale or when using the Chart Values tool is its starting time. There could not be any problem like you describe. It is impossible . 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 |
| [2015-10-07 10:39:05] |
| User740709 - Posts: 151 |
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Thanks. I do not have any problems with the time of the bar. I have issues with market orders printing on the other side of the footprint. And yes, it is possible. Or are you implying that I lie or make things up? In any case, please consider the ticket closed. Best regards, Hana |
| [2015-10-07 10:49:53] |
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What we are saying is you have a misunderstanding of the time of the trades within each bar. It is not possible and we know because we developed the software. So therefore the only explanation is a misunderstanding. In this screenshot here: https://www.sierrachart.com/Download.php?Folder=SupportBoard&download=6137 All of the trades that you circled are not part of the bar that you also circled part of. 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 |
| [2015-10-07 10:55:02] |
| User740709 - Posts: 151 |
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Thanks, yes, I checked it and yes, as I wrote before, I wanted to find another situation when this happened because I could see that the circled trades were probably not what I meant. So, in what you write, you are right, the trades are not from the bar. So, please consider it closed. I will rely on my other platform. Have a good one. Thanks and best regards, Hana |
| [2015-10-07 18:07:41] |
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Another possibility has come to mind and that is in the case of OEC if you re-download some of the data in an Intraday chart, then the bid volume and ask volume may not match the Time and Sales data. This would not necessarily be unusual with the OEC Trading service data feed. However, we would not expect there to be a significant difference. 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: 2015-10-07 18:08:34
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| [2015-10-08 14:55:36] |
| User740709 - Posts: 151 |
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Hello and thanks. I have been in contact with my broker and if they have correct information, it might be the way of interpreting OEC data (which is a broker feed), however, I am not sure what it technically means nor on which side it should (if at all) be fixed. With regards to the difference, well, it is not significant when you take into account the whole day of data. However, it almost always concerns large block orders which are significant for an order flow trader like me. In any case, thanks for your replies I guess there is not much you can do about it. Thanks and have a good one. Hana |
| [2015-10-08 17:06:09] |
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You cannot rely on OEC for accurate Bid Volume or Ask Volume. With the way that data feed is designed, it can lead to problems. You must use the Sierra Chart Exchange Data Feed for the accurate data: Sierra Chart Exchange Data Feed 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 |
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