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Date/Time: Thu, 19 Jul 2018 00:09:02 +0000



Bitmex group orderbook depth

Support Request:
[2017-08-31 08:37:06]
N!co - Posts: 121
Hi,

Could you please ad the option to group the orderbook depth each 0.5, 1, 2.5, 5, 10 or whatever multiplier of the ticksize

right now the volatilitie of Bitcoin is way to big in order to use the chart DOM trading options and all its features

attached a few examples of how the orderbook can be grouped in the BitMex frondend

thank you very much !!
Date Time Of Last Edit: 2017-08-31 16:52:35
imageorderbook3.png / V - Attached On 2017-08-31 08:36:08 UTC - Size: 727.67 KB - 263 views
imageorderbook4.png / V - Attached On 2017-08-31 08:36:17 UTC - Size: 742.99 KB - 137 views
imageorderbook5.png / V - Attached On 2017-08-31 08:36:26 UTC - Size: 1011.82 KB - 278 views
Private File
[2017-08-31 16:50:47]
Sierra Chart Engineering - Posts: 61891
We understand and we are developing this capability.
Sierra Chart Support - Engineering Level

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[2017-10-21 23:06:17]
User198817 - Posts: 55
Any updates on this?
[2017-10-22 00:10:36]
Sierra Chart Engineering - Posts: 61891
Yes, we will have this done in a few hours.
Sierra Chart Support - Engineering Level

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[2017-10-22 10:43:25]
User198817 - Posts: 55
Very nice. Will it be a part of 1627 release? When is it due for release?
[2017-10-22 19:19:25]
Sierra Chart Engineering - Posts: 61891
We did not get this finished last evening. We are working on this now. Just give us a few more hours.

The lower-level details of the implementation are not likely to be completely as we want, but we are doing our best with this. There are some extensive changes which are needed that we cannot get done short-term.

It should be reasonable for the time being.
Sierra Chart Support - Engineering Level

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[2017-10-22 19:30:23]
User198817 - Posts: 55
Thanks for replying so swiftly. Looking forward to test the functionality.
[2017-10-23 04:24:27]
Sierra Chart Engineering - Posts: 61891
Update Sierra Chart with Help >> Download Prerelease. Refer to:
https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate

After this, go to the particular chart where you want to combine market depth values and select Chart >> Chart Settings >> Advanced Settings 3.

Set the Market Depth Combine Increment in Ticks to the number of ticks you want to market depth prices to be in.

This is going to reduce the number of depth levels displayed, but this will be improved upon in an upcoming version.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2017-10-23 04:25:18
[2017-10-23 10:08:55]
User198817 - Posts: 55
In Chart Settings -> Main Settings
* Disabled "Auto-set from data feed"
* Changed display format to 1
* Changed tick size to 1.0

In Chart >> Chart Settings >> Advanced Settings 3.
Set increment to 10.

I now have what looks to be what I wanted in the attached screenshot.

Thanks very much.
imageladder2.PNG / V - Attached On 2017-10-23 10:06:39 UTC - Size: 43.77 KB - 173 views
[2017-10-23 10:28:42]
Sierra Chart Engineering - Posts: 61891
Yes, post #10 does make sense. That is good.
Sierra Chart Support - Engineering Level

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[2017-10-30 14:18:17]
User198817 - Posts: 55
Hi,

There are some discrepancies in the orderbook / depth of market in the TradingDOM and probably elsewhere.

I'm going to try to attach a video capture of the orderbook as displayed through websockets on the bitmex website and through their api in general, comparing it to Sierra Chart.
Private File
[2017-10-30 14:28:39]
N!co - Posts: 121
are you refering to this ?
https://www.sierrachart.com/SupportBoard.php?ThreadID=30401
[2017-10-30 14:41:24]
Sierra Chart Engineering - Posts: 61891
We do not accept videos:
https://www.sierrachart.com/index.php?page=doc/PostingInformation.php#DoNotPostVideos

We see you are using BitMEX Testnet which has different data compared to the BitMEX live system.

Make sure you are using the service named "BitMEX" and not the one with Testnet. This is set through Global Settings >> Data/Trade Service Settings >> Service.
Sierra Chart Support - Engineering Level

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[2017-10-30 14:44:52]
User198817 - Posts: 55
No, I'm not using the testnet. I'm trading live.

Sorry for posting a video, i'll try to explain my self in pictures and word next time.
Date Time Of Last Edit: 2017-10-30 14:46:36
[2017-10-30 14:57:47]
Sierra Chart Engineering - Posts: 61891
You can provide chart images which also show the market depth window. Refer to:

https://www.sierrachart.com/index.php?page=PostingInformation.php#Image
Sierra Chart Support - Engineering Level

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[2017-10-30 16:52:58]
User198817 - Posts: 55
I will not upload the chart as the guide you linked too is directing me to, since it includes my username and other identifiable information.

I manually captured a screenshot, removing that extra information.

Attached are two screenshots, one where the precision is divided by 10, the other without any modification.

I use the following settings for the adjusted order book data.

In Chart Settings -> Main Settings
* Disabled "Auto-set from data feed"
* Changed display format to 1
* Changed tick size to 1.0

In Chart >> Chart Settings >> Advanced Settings 3.
Set increment to 10.


As you can see, there are holes in the bid/ask on several price levels on the precision adjusted chart.

What more information do you need?
imageimage2.PNG / V - Attached On 2017-10-30 16:50:14 UTC - Size: 1.1 MB - 207 views
imageimage3.PNG / V - Attached On 2017-10-30 16:50:23 UTC - Size: 1.05 MB - 98 views
[2017-10-30 22:14:38]
Sierra Chart Engineering - Posts: 61891
You just needed to use Edit >> Screen Images >> Upload Chart and that will not include the attached Trade Window. Or you could detach the Trade Window and hide it.


As you can see, there are holes in the bid/ask on several price levels on the precision adjusted chart.
This can just simply be due to differences in rounding. We do not know how BitMEX does rounding. In Sierra Chart, when you are combining to 1.0 units, .5 through .9 is rounded up and .1 through .4 is rounded down.

The other problem is when you are comparing the uncombined market depth in Sierra Chart to BitMEX, the BitMEX depth you are showing is still combining to 1.0.

The only valid comparison is to look uncombined market depth data from BitMEX, and compare that to the uncombined market depth you see in Sierra Chart.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2017-10-30 22:16:01
[2017-10-31 23:13:11]
User198817 - Posts: 55
http://www.sierrachart.com/image.php?Image=1509491446358.png

Here is chart, uploaded in the manner specified.

A 1 million ask @ 6400 is not there. How is that a matter of rounding? I have other sources for this book and it is clearly there.

I can give many other examples of data missing. I can't understand that this is a rounding issue. Is this an issue with Bitmex implementation of your DTC layer?
Date Time Of Last Edit: 2017-11-01 18:25:02
[2017-11-01 18:24:49]
Sierra Chart Engineering - Posts: 61891
We are doing additional work related to the processing of the market depth data from BitMEX. Any issues that exist, we expect to be resolved. Just allow about another day or so.
Sierra Chart Support - Engineering Level

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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-11-03 17:52:24]
User198817 - Posts: 55
Great. Let me know how it goes
[2017-11-03 18:20:45]
Sierra Chart Engineering - Posts: 61891
This is taking more time than expected. We should happen this done today.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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[2017-11-10 11:11:51]
User198817 - Posts: 55
http://www.sierrachart.com/image.php?Image=1510312269128.png

The market depth suddenly appeared strange today. Take a look at image.

Price levels are missing data, some levels doesn't seem to refresh. Have restarted a SC a couple of times without luck.

Every 2.5 ASK/BID is not there. PLEASE FIX ASAP. I can't be bothered with this ustability in the trading platform all the time.
Date Time Of Last Edit: 2017-11-10 11:24:14
[2017-11-10 16:37:32]
Sierra Chart Engineering - Posts: 61891
This is resolved.
Sierra Chart Support - Engineering Level

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[2017-12-02 13:01:32]
User198817 - Posts: 55
Ask side is not in sync with the actual market depth.

http://www.sierrachart.com/image.php?Image=1512219635920.png

Issue has been around the whole day.
Date Time Of Last Edit: 2017-12-02 13:42:29
[2017-12-02 18:22:38]
Sierra Chart Engineering - Posts: 61891
This is now resolved. Let us know if there any issues. The depth issues were resolved couple of days ago on one of our servers but we did not want to do the release to the other server until we were sure everything was OK.

We want to explain why there have been so many issues with BitMEX market depth. In the Crypto currency markets, there can be a large number of market depth levels, and for crypto currencies like Bitcoin with high values, they should be combined into a larger increment.

We had developed new code which does very efficient combining rather than performing a full combined of an uncombined order book at every price update. This was worked on by one of the newer developers, and there were some problems with this, but really this code should not be used with BitMEX now that they have increased the increment to .5. So we have simply removed this code. It will be worked on later as we work on integration to other crypto currency exchanges and update the integration to the existing exchanges.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2017-12-02 18:26:19
[2017-12-02 18:38:37]
N!co - Posts: 121
Support ,

I have to disagree with your statement "but really this code should not be used with BitMEX now that they have increased the increment to .5"
Bitcoin is VERY volatile
eazy it moves +300$ ( @0.5 that makes 600 ! ticks) in 1 minute , see screenshot
the DOM is nearly imposible to read without combining the increment of ticks
so please do NOT remove this code

also I want to ask you to resolve the issue in the following thread as it is related to this ( screenshot)

https://www.sierrachart.com/SupportBoard.php?ThreadID=30716
Date Time Of Last Edit: 2017-12-02 18:40:34
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imagechartdom.png / V - Attached On 2017-12-02 18:38:16 UTC - Size: 117.69 KB - 95 views
[2017-12-15 19:29:31]
rocdjc - Posts: 1
Can you please add decimal to the Advanced Settings "Market Depth Combine Increment in Ticks" please? Many Crypto coins are sub .0

Thank you.
[2017-12-15 19:36:48]
Sierra Chart Engineering - Posts: 61891
Can you please add decimal to the Advanced Settings "Market Depth Combine Increment in Ticks" please? Many Crypto coins are sub .0

No, this does not make sense because that setting is based on ticks. You need to alter the Tick Size to your requirements:
https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#TickSize
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2017-12-15 19:37:54
[2017-12-15 19:44:19]
N!co - Posts: 121
Support ,

please adress this issue in this post

https://www.sierrachart.com/SupportBoard.php?ThreadID=30716

i post it again here because it seems that the original post does not receive any response

thx
[2017-12-16 21:32:29]
Sierra Chart Engineering - Posts: 61891
We did respond already to that thread.
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