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

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[2019-04-05 03:53:54] #1 [Go To First Post]
seandunaway - Posts: 213
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.


cumulative_last_size.gif / V - Attached On 2019-04-05 03:51:52 UTC - Size: 1.85 MB - 566 views

[2019-04-05 05:20:19] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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: Global Trade Settings Windows: Cumulative Last Size - Left/Center/Right Aligned 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

[2019-04-05 06:50:29] #3 [Go To First Post]
seandunaway - Posts: 213
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] #4 [Go To First Post]
seandunaway - Posts: 213
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


cumulative_last_size2.png / V - Attached On 2019-04-05 07:40:03 UTC - Size: 69.5 KB - 503 views

[2019-08-04 21:13:05] #5 [Go To First Post]
seandunaway - Posts: 213
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?


cumulative_last_size2.png / V - Attached On 2019-08-04 21:11:48 UTC - Size: 69.5 KB - 611 views

[2019-08-05 04:19:43] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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: Global Trade Settings Windows: Recent Bid Volume - Left/Center/Right Aligned 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. 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

[2019-08-05 07:15:59] #7 [Go To First Post]
seandunaway - Posts: 213
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


x_trader1.jpg / V - Attached On 2019-08-05 07:15:30 UTC - Size: 284.09 KB - 660 views x_trader2.png / V - Attached On 2019-08-05 07:15:35 UTC - Size: 87.18 KB - 603 views

[2019-08-06 06:34:21] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. 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: 2019-08-06 06:35:02

[2019-08-06 13:11:30] #9 [Go To First Post]
seandunaway - Posts: 213
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] #10 [Go To First Post]
User735587 - Posts: 21
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] #11 [Go To First Post]
User735587 - Posts: 21
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] #12 [Go To First Post]
seandunaway - Posts: 213
I think it's important to acknowledge that this column works without problem exactly as currently documented: Global Trade Settings Windows: Cumulative Last Size - Left/Center/Right Aligned 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] #13 [Go To First Post]
User735587 - Posts: 21
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] #14 [Go To First Post]
seandunaway - Posts: 213
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


cumulative_last_size3.jpg / V - Attached On 2019-08-08 13:06:57 UTC - Size: 75.37 KB - 581 views

[2019-08-14 08:08:13] #16 [Go To First Post]
User495158 - Posts: 106
+1

[2019-11-14 21:09:01] #17 [Go To First Post]
User495158 - Posts: 106
I have tested the new option "reset cumulative last size on bid/ ask change" in v2010. For me personally, it is better to leave it disabled. Namely, with this option enabled I don't see the volume I would have previously seen, because it is constantly reset, and that is a problem in fast markets and when there is a lot of volume trading. But, in any case it is good to have this option in case someone may need it.

[2019-11-14 21:48:53] #18 [Go To First Post]
seandunaway - Posts: 213
I love it! I see errything.

[2020-01-30 22:54:13] #19 [Go To First Post]
User120942 - Posts: 71
@Sierra Chart Engineering, I would like to make an update to the previous request. I would like to request that you either update or provide a separate option to display both the accumulated last size at the bid/ask and the accumulated last size at the current price level, separated by a delimiter i.e. slash, dash or parentheses. I know that Bookmap has this feature available in their heatmap. Please see the attached image as example of what I am requesting in comparison to what is available in Bookmap. Thank You


Combined Cumulative Last Size.png / V - Attached On 2020-01-30 22:38:47 UTC - Size: 987.79 KB - 484 views Attachment Deleted.

[2020-01-30 23:40:45] #20 [Go To First Post]
seandunaway - Posts: 213
@User120942, Don't mess with perfection. :) Right now we can have it one way or the other via a checkbox in DOM settings. If they were two separate columns then people could add both variations at the same time to the same chart... but why? :) Date Time Of Last Edit: 2020-01-31 05:29:27

[2020-01-31 03:51:44] #21 [Go To First Post]
User120942 - Posts: 71
@Sierra Chart Engineering, Is it correct that volume for the Cumulative Last Size at Bid/Ask and the Cumulative Last Size at Price cannot be displayed concurrently in the same column? I was hoping this might now be possible in Sierra Chart, similar to the changes in version 2036 that implemented the option to Display Cumulative Last Size in Current Traded Total Volume. If not, I would accept an additional column to be able display both volume counts at the same time, side by side on the DOM. @seandunaway, Based on your original request above, it seems that we both use the Time and Sales Window with the setting "With Same Price and Type". I also use the Cumulative Last Size at Price columns (see image attached) to compare the volume traded in contrast to the orderbook. The request is intended to consolidate the most recent volume at the bid/ask from the time and sales window into a single column on the DOM with the Cumulative Last Size at price. When the orderbook is reloading it would be easier to see the imbalance in the most recent cumulative volume at the bid/ask compared to the total volume traded at the same price. Many times those imbalances are missed because of the speed of the time and sales window. This would definitely make it easier to see the difference between the cumulative last size at the bid/ask vs the cumulative last size at price. For example: 50(50) at the Bid would tell me that the most recent trades were one sided trades vs 50(500) at the Bid would indicate that there is two sided trading occurring at the current price level and may be a potential breakout or reversal when compared to the size of the orderbook near that price. I could see both values Without having to take my eyes off the column to see both the tape and the cumulative last size. Hope that provides some clarification of my thinking. Thanks


Attachment Deleted. Sierra Chart Combined Cumulative Last Size.jpg / V - Attached On 2020-01-31 03:29:26 UTC - Size: 101.41 KB - 547 views Sierra Chart Update 2036 2020-01-15.png / V - Attached On 2020-01-31 03:32:16 UTC - Size: 65.66 KB - 357 views

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