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Direct MessagesDate/Time: Fri, 03 May 2024 11:18:32 +0000
Bid & Ask Depth Bars study
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| [2016-11-17 06:42:36] |
| Neo - Posts: 198 |
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"Each Time and Sales record is equivalent to one trade or one Bid/Ask quote update. The Number of Stored Records applies for each symbol being tracked. Using a high Records setting could potentially take a considerable amount of memory. It is recommended to maintain about 5000 Records. If you use 100000, that is going to consume a lot of memory!" If each time and sales record is equivalent to one bid/ask quote update, then using a setting of 100,000 isn't even gong to store a days worth of data in a liquid market like the ES. Would it not make more sense for the bid & ask depth bars to now be stored with the market depth data/ built off the market depth data, instead of the time and sales data? |
| [2016-11-17 07:19:27] |
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It is a very involved task for the Bid and Ask Depth Bars Study to use the new stored market depth data. We do not expect to get to that until sometime next year. And we do not know when. We would not expect it until a second or third quarter of next year at the soonest. 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: 2016-11-17 07:20:12
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| [2016-11-17 19:54:52] |
| Neo - Posts: 198 |
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If you are calculating the bid/ask depth bars study off each change in the bid/ask depth then it's a very involved task. However, as it stands, what if you just build the bid/ask depth bars off "the last market depth quantities"? Being able to visualize the likes of sum side bid/ sum side ask/ difference( bid/ask) go hand in hand with the Market Depth Historical Graph. |
| [2016-11-18 17:04:59] |
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We can do this: However, as it stands, what if you just build the bid/ask depth bars off "the last market depth quantities"? However, there will no longer be bars but just a single value at each chart bar for the study. 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: 2016-11-18 17:05:09
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| [2016-11-20 00:05:28] |
| Neo - Posts: 198 |
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However, there will no longer be bars but just a single value at each chart bar for the study.
I don't think that's too much of an issue. Users who get the most value from market depth based studies are going to scalpers who are looking at small time frame charts eg 1sec or tick. So displaying a single value based on a closing price isn't gong to be much different than basing it off every change/ update. Being able to visualize the likes of sum side bid/ sum side ask/ difference( bid/ask) go hand in hand with the Market Depth Historical Graph.
See image attached.
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 visual.png / V - Attached On 2016-11-20 00:04:04 UTC - Size: 73.98 KB - 1498 views Attachment Deleted. |
| [2016-11-29 02:52:58] |
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In the next release coming out of Sierra Chart, support for using the historical market depth data by the Bid and Ask Depth Bars study will be released. There is a new Input which controls this.
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 |
| [2016-11-30 03:23:38] |
| Neo - Posts: 198 |
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Awesome, look to forward to this.
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| [2016-12-13 05:34:25] |
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This has been released.
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 |
| [2016-12-15 07:39:15] |
| Neo - Posts: 198 |
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This appears to work well and has made the bid/ask depth bars study much more powerful. Being able to easily identify bid/ask depth iterations using simple alerts formulas is a great feature.
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