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Direct MessagesDate/Time: Mon, 13 May 2024 08:36:13 +0000
Why is the Bid Volume and Ask Volume drastically different for ES mini?
View Count: 818
| [2017-01-25 16:13:20] |
| User484986 - Posts: 4 |
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Comparing Tradestation and Sierra Charts data for Bid and Ask Volume for the day, they are drastically different. For example, TS is reporting 368,310 ask volume and Sierra 215,713; bid volume in TS is 223,320 and 204,356 in Sierra. Also total volume for the day is off with TS having more than 160,000 more total volume as this point. Can someone explain the reason for the difference? Date Time Of Last Edit: 2017-01-25 16:49:19
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| [2017-01-25 17:44:01] |
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Refer to help topic 43: Https://www.sierrachart.com/index.php?page=doc/helpdetails43.php Make sure you are actually comparing to the same period of time. You need to look at the Session Times settings. And also know that spread trades are not included. 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: 2017-01-25 17:44:26
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| [2017-01-26 07:37:53] |
| User484986 - Posts: 4 |
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I confirmed that the volume reporting is for the same time periods in the session time. How exactly can you determine a spread trade from normal volume in order to remove it? Date Time Of Last Edit: 2017-01-26 07:38:41
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| [2017-01-26 17:39:29] |
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This is able to be determined from a field on the data feed which indicates 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 |
| [2017-01-26 17:40:53] |
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If you tell us what the Session Times you are using, then we can give you the bid volume and ask volume for the day for IQ Feed so you can see that the Sierra Chart Exchange Data Feed matches that 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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