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Direct MessagesDate/Time: Mon, 06 May 2024 06:30:42 +0000
FX Last trade data and FX recalculation
View Count: 722
| [2019-02-03 19:46:38] |
| ARDAN - Posts: 66 |
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Recently I took my time to read documentation of Sierra chart. So I have a few questions before using it for live trading. 1. I mostly trade FX via LMAX. In this page Data Recording Modes it is stated that "By default, only the last trade prices are written/recorded to an Intraday chart data file and set the Current Daily Quote Data. In the case of spot Forex markets, the average of the Bid and Ask price is used instead of the last trade price since there is no last trade price." I can also view the Time and Sales window filled with real trade data (realized trades). So these are real trades. So I could not get why last traded price could not be charted in this case. 2. I obtained Forex Decorrelation study from this post Offering To The Community: Forex: Currency Decorrelation (and Currency Strength) It is great but It requires me to recalculate charts quite often. Do you have a way to recalculate all charts or periodical recalculate option? What would be your suggestion to overcome this issue? Thanks. |
| [2019-02-03 19:49:39] |
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I can also view the Time and Sales window filled with real trade data (realized trades). So these are real trades. This is generated trades from the bid and ask average that you see in the Time and Sales window.2. That is not our study but you can recalculate a single chart through Chart >> Recalculate. Also recalculating all charts at once is not recommended. There should be some time gap between each of them. 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: 2019-02-03 19:49:58
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| [2019-02-04 06:47:31] |
| ARDAN - Posts: 66 |
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Thank you for the prompt answer. So for FX data in Time and Sales Window is not reported trades data from the exchange but they are generated by Sierra from the average bid-ask price. I read this one to further understand it. Numbers Bars: Definitions So my conclusion is that the exchanges only supplies current bid or ask prices and Sierra Chart determine the type of trade with the exception of CME. IF FX exchange does not report trades, how do you determine the bid or ask trades then by using the rules defined in the "definitions" section? If you are just getting ask and bid price levels how can you determine a trade type and size? On top of that inside the determination criteria, I read below expression. "The trade occurred between the Bid and the Ask and the Trade direction is a downtick and the Bid direction is a downtick." and "The Trade occurred between the Bid and the Ask and it is closer to the Bid." Here I read that Time and Sales Window "All trades need to happen at the Bid or Ask when trades are executed on an exchange. Therefore, the concept of a trade between the Bid or Ask or trade above or below the Bid or Ask prices is due to a lack of Bid and Ask updates. The reason I try to clarify these I would like to use Stop With Last Triggering Order type explained here. Order Types: Stop with Last Triggering So I need to understand how Sierra will determine the Last Price indicated in the documentation of this order type by using only market depth. Thanks. Date Time Of Last Edit: 2019-02-04 09:50:31
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| [2019-02-06 05:33:55] |
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Documentation is pending for 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 |
| [2019-02-06 08:19:45] |
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We updated the documentation here to explain all of this: Data Recording Modes: -BAAVG 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 |
| [2019-02-06 10:31:41] |
| ARDAN - Posts: 66 |
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Thank you very much It is clearer now. One thing about -BIDASK data recording mode. If one wants to buy market he/she will buy from the lowest ask price when quantity is enough at that level. If one wants to sell market he/she will set at the highest bid price when quantity is enough at that level. Why -BIDASK recording mode represent the highest Ask price and the lowest Bid price during the formation of the chart bar per documentation? What is the purpose of this mode? Thanks. Date Time Of Last Edit: 2019-02-06 10:32:36
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| [2019-02-06 16:35:08] |
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None of these recording modes has any effect on market orders. The highest Ask price and the lowest Bid price is referring to the highest best Ask and the lowest best Bid during the duration of the chart bar. 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 |
| [2019-02-06 19:08:17] |
| ARDAN - Posts: 66 |
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Yes, I know but It might affect my technical analysis as they will change how the chart looks like. Thanks. |
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