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Date/Time: Sat, 24 Aug 2019 12:35:39 +0000



Incorrect Cumulative Last Size? Based on price and not price + type?

Support Request:
[2019-04-05 03:53:54]
seandunaway - Posts: 61
I've attached a 7 second looping animated gif.

The right three columns are: Cumulative Last Size, Currently Traded Bid Volume, Currently Traded Ask Volume.

20 *seemingly* prints into the offer, ask volume increases from 32 to 51 (+19, I guess 1 printed down)

70+ *seemingly* prints into the bid, but it splits some of the contracts separately into bid volume and ask volume.

Then it continuously hits the bid and the Cumulative Last Size is mismatched from the freshly reset Currently Traded Bid Volume.

-

Cumulative Last Size changes color depending on if the last trade was an uptick or downtick, but instead of combining records based only on price level, does it make more sense to combine on price + type?

When I see a red 213 contracts at 86-even, I'd like to think 213 just hit the bid, but really that's not true, 213 traded at 83 but some were at the bid and some were at the offer and entirely separately it's red so at least the last 1 contract was a downtick.
imagecumulative_last_size.gif / V - Attached On 2019-04-05 03:51:52 UTC - Size: 1.85 MB - 66 views
[2019-04-05 05:20:19]
Sierra Chart Engineering - Posts: 75442
We are not sure what you are trying to say here but you cannot determine if there is a problem by just visually looking at the window updates because you are not seeing all of the activity. You simply cannot.

You instead need to use the recent bid volume and ask volume columns instead. Refer to the documentation here:
https://www.sierrachart.com/index.php?page=doc/GlobalTradeSettings.html#ColumnDescription_CumulativeLastSize
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.
[2019-04-05 06:50:29]
seandunaway - Posts: 61
I mean to ask,

Can DOM column "Cumulative Last Size" combine records in the same manner Time and Sales records can be combined by "With Same Price and Type" instead of it's current function of combining by Price only?
Date Time Of Last Edit: 2019-04-05 06:50:41
[2019-04-05 07:05:33]
seandunaway - Posts: 61
I imagine how I described above is how people *think* it's actually working, and most logical, especially considering the several color settings with trailing descriptions "Bid Trade" and "Ask Trade".

One last justification would be that there isn't an option in the Time and Sales Settings window to Combine Records by "Same Price only", it wouldn't be as helpful.


Thank you for the most performant, most functional, most affordable, bestest software ever.
Date Time Of Last Edit: 2019-04-05 07:40:07
imagecumulative_last_size2.png / V - Attached On 2019-04-05 07:40:03 UTC - Size: 69.5 KB - 54 views
[2019-08-04 21:13:05]
seandunaway - Posts: 61
The attached image really does simplistically sum it up...

Does it make more sense to show a cumulative last size of green 55 then red 59 instead of green 55, red 114?
imagecumulative_last_size2.png / V - Attached On 2019-08-04 21:11:48 UTC - Size: 69.5 KB - 26 views
[2019-08-05 04:19:43]
Sierra Chart Engineering - Posts: 75442
We see what you are saying, but it is currently designed to just accumulate the last size when trading at the same price regardless of whether on the bid side or ask side.

What you are looking for is these columns:
https://www.sierrachart.com/index.php?page=doc/GlobalTradeSettings.html#ColumnDescription_RecentBidVolume



If anything Cumulative Last Size that just shows a single value should just get removed. The Recent Bid Volume and Recent Ask Volume columns are more advanced.
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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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.
[2019-08-05 07:15:59]
seandunaway - Posts: 61
Thank you for the update.

Please don't remove it! Many of us use it religiously, particularly the crowd from TT/X_Trader.

I know Jigsaw popularized the way of keeping the values persistent and that it replicates the data on the Cumulative Last Size but more advanced doesn't always mean more better :)

I just need it to see a absorption vs exhaustion near levels, and buyer vs seller aggression, in this moment, which the current way SC colors it is misleading (114 red in the example above), but only in balanced markets

Also it sure keeps things less cluttered when watching many products.
Date Time Of Last Edit: 2019-08-05 07:53:11
imagex_trader1.jpg / V - Attached On 2019-08-05 07:15:30 UTC - Size: 284.09 KB - 59 views
imagex_trader2.png / V - Attached On 2019-08-05 07:15:35 UTC - Size: 87.18 KB - 48 views
[2019-08-06 06:34:21]
Sierra Chart Engineering - Posts: 75442
Ok so to be clear what you are looking for is that when the trading changes from the bid side to the ask side or the other way around and the market continues to trade at the same price, to then reset the Cumulative Last Size?
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:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

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.
Date Time Of Last Edit: 2019-08-06 06:35:02
[2019-08-06 13:11:30]
seandunaway - Posts: 61
Yes,

(the same functionality as Time and Sales Settings -> Combine Records -> With Same Price and Type; seeing what prints up into the offer and separately what prints down into the bid, at every price)

-

I can't imagine any of your user base would prefer the existing functionality but perhaps a new column could be created in Trade -> Customize Chart DOM Columns... Cumulative Last Type, Cumulative Last Size of Type, or Bid/Ask Last Size
Date Time Of Last Edit: 2019-08-06 13:24:00
[2019-08-07 06:30:29]
User735587 - Posts: 7
Obviously there is a discrepancy between the numbers shown on the Time and Sales and the one's showing on the Dom column which requires to be fixed.

Lastly as seandunaway suggested, an additional column showing the accumulated traded volume on bid/ask based on an uptick or downtick is very much needed. Indeed
in case of the recent bid/ask you have to add it up on your own (mind calculation) to know how much has been traded totally on that price level on every tick movement.

This videos shows what has been requested:

https://www.youtube.com/watch?v=tSDXHHXbnAg

Thanks! I hope to see this implementation on a very future release :-)
Date Time Of Last Edit: 2019-08-07 06:53:50
[2019-08-08 12:04:30]
User735587 - Posts: 7
Update: I would like to point out that that problem is present irrelevant of the data used

In this example you see the discrepancies between TS & DOM on Sierra's Feed:

https://www.youtube.com/watch?v=UDT8gjfACnY

Thanks for the support
[2019-08-08 12:51:45]
seandunaway - Posts: 61
I think it's important to acknowledge that this column works without problem exactly as currently documented:
https://www.sierrachart.com/index.php?page=doc/GlobalTradeSettings.html#ColumnDescription_CumulativeLastSize

It's really two columns in one. The total traded at price, which doesn't need a color setting *and* a color indicator showing the direction of the last tick.

TT actually acknowledges this by using 3 colors, white for volume traded, and red or green only once when the aggressor changes.

I just find resetting the cumulative on bid/ask change infinitely more helpful when determining strength or weakness, especially in thinner and faster markets (anything but treasuries) where the mental math becomes impossible.

There's a big difference between "Did 100 just lift? or did 99 hit and only 1 went up?"

The current column often implies strength in complete balance or even weakness.
Date Time Of Last Edit: 2019-08-08 13:00:59
[2019-08-08 13:03:04]
User735587 - Posts: 7
The 3 color system like shown on the video from TT is really helpful and natural easy to read.
If there is an uptick or downtick there are 2 colors:
uptick: blue
downtick: red

If volume is traded into that same price then the added bid or ask volume is plotted "WHITE" until there is a price movement as an uptick or downtick.

Adding a 3rd color as well is very wishful.

THanks!
Date Time Of Last Edit: 2019-08-08 13:12:04
[2019-08-08 13:07:12]
seandunaway - Posts: 61
Strength?

Screenshot attached, courtesy @ticinotrader

Maybe we can get him to chime in as I very much value his opinion.
Date Time Of Last Edit: 2019-08-08 13:19:22
imagecumulative_last_size3.jpg / V - Attached On 2019-08-08 13:06:57 UTC - Size: 75.37 KB - 34 views
[2019-08-14 08:08:13]
User495158 - Posts: 22
+1

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