Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Thu, 16 May 2024 11:36:04 +0000
[Locked] - Bid Ask Depthbars not being calculated
View Count: 3225
| [2019-07-30 19:41:43] |
| User132748 - Posts: 159 |
|
Please stop filtering and calculate depthbars regardless of number of levels imbalance! The filtering we do is based on imbalance between the number of levels on the bid side and ask side. If the imbalance is exceeding more than an 80% difference between the number of levels on the bid side and ask side, then we skip doing any calculations on that current market depth state. Normally there will be a balance.
Your assumption of balance as normal state is totaly wrong. Depending on market the number of levels can be very different. Yes it offsets the market but thats all. It shouldn't affect the study calculation! Please see the screenshot. Blue and red line is current number of available levels for bid and ask side. You will see many price bars without study being calculated which is just wrong. As soon as number of levels got below 80% imbalance it started to calculate again. No idea what was your plan here. Whats wrong with different numbers of levels??? It's the true market and you should represent it correctly as it is. Please remove your filtering rule. Thank you Date Time Of Last Edit: 2019-07-30 20:08:02
|
 imbal2.jpg / V - Attached On 2019-07-30 20:01:17 UTC - Size: 104 KB - 529 views |
| [2019-07-30 20:13:17] |
| samual sprat - Posts: 343 |
|
over the last couple of hours on 1958 i’ve been getting big gaps in my sierra depth bars of about 5-10 minutes, is this related? looks like the difference between bid and offer is around the 80% mark so this would confirm the thread creators idea agreed, please remove this restriction |
| [2019-07-31 12:57:45] |
| User132748 - Posts: 159 |
|
Crude day session just starting and I have over 15 minutes of depthbars not working just because theres levels imbalance over 80%! Build 1963. Please remove imbalance filtering asap! We need to see the market as it is! Thank you. Date Time Of Last Edit: 2019-07-31 12:58:46
|
| imbal3.jpg / V - Attached On 2019-07-31 12:53:59 UTC - Size: 67.79 KB - 455 views |
| [2019-07-31 20:11:31] |
| |
|
We need some time to look this over. Do you see Bid and Ask Depth Bars appear where they are missing, when you set this setting to 50: Chart Settings: Maximum Market Depth Levels (Chart >> Chart Settings >> Market Depth menu) The solution to the problem is to limit the number of market depth levels used in the calculation. Limit it to no more than 300. With the recent changes made to CQG market depth processing we probably do not need the imbalance check in that particular case but it may be applicable for other services. Although it would not be needed for Sierra Chart data services. So therefore it is quite challenging from our side to manage this. If we take this out, while it might be ok for you, other users could have a problem with other non-Sierra Chart data feeds. 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: 2019-07-31 20:15:04
|
| [2019-07-31 21:01:55] |
| User132748 - Posts: 159 |
|
Of course market is much more balanced near to price so yes decreasing the maximum depth levels will increase the depth balance, but I need to see full market depth for my trading. Please remove this imbalance check restriction as it has no trading-wise explanation and I guess you could review the problem if anyone else would have any issue when using other services in future. Really looking forward to it and from my knowledge there are many other people having big issue with this filtering issue. Thank you! |
| [2019-07-31 21:10:18] |
| User136422 - Posts: 33 |
|
I use full depth and cqg, and i know there are a lot of people doing the same, and the filtering issue is a major problem to us. Please take all the time you need but fix it. Thank you for your hard work |
| [2019-07-31 21:15:28] |
| traderp - Posts: 4 |
|
I use full depth too and User350415 has correct viewpoint and explanation, Please leave it unfiltered and remove the imbalance check. Thanks |
| [2019-08-01 18:19:49] |
| User132748 - Posts: 159 |
|
Please, please remove imbalance filtering! 30 minutes of no data. Market dropped 300 ticks causing major depth imbalance but it doesnt mean theres something wrong with it. It is how it is. We need to see the market! Please remove this filtering asap! Thank you!!! |
| imbal4.jpg / V - Attached On 2019-08-01 18:17:43 UTC - Size: 198.48 KB - 477 views |
| [2019-08-01 19:03:44] |
| traderp - Posts: 4 |
|
Saw similar issue today with fast market movement, same timings. Dear SC engineers, please fix this. Thanks |
| [2019-08-01 19:08:19] |
| User132748 - Posts: 159 |
|
So it's over 1.5 hours of trading now with no depthbars data. Please kill that filtering asap. Thank you! |
| imbal5.jpg / V - Attached On 2019-08-01 19:07:26 UTC - Size: 208.86 KB - 458 views |
| [2019-08-01 19:14:09] |
| User136422 - Posts: 33 |
|
same here
|
| [2019-08-01 19:32:42] |
| zippyzip - Posts: 293 |
|
Us 500 plus depth users are counting on you fixing this soon , personally im not worried as you always take care of your customers so im happy to wait for the fix to come out , thank you !!!
|
| [2019-08-01 19:34:32] |
| User150906 - Posts: 5 |
|
Twice this week I lost my depth, today during the tariff fall-off, and I came to find out why, this seems to be the issue. I had to roll back to 1941 to get my depth back.
|
| [2019-08-01 19:36:23] |
| User666 - Posts: 9 |
|
+1
|
| [2019-08-01 19:41:12] |
| user777 - Posts: 7 |
|
+1
|
| [2019-08-01 19:50:32] |
| Shairzad - Posts: 6 |
|
+1
|
| [2019-08-01 19:50:54] |
| USER0007 - Posts: 21 |
|
+1
|
| [2019-08-01 19:55:57] |
| Sundowned - Posts: 7 |
|
+1
|
| [2019-08-01 20:39:59] |
| RogerT - Posts: 10 |
|
I utilize CQG Full Depth feed for trading Nikkie 225 so would really appreciate if the Engineering team can raise the priority on this issue, thanks guys.
Date Time Of Last Edit: 2019-08-01 20:42:20
|
| [2019-08-01 20:52:10] |
| User716575 - Posts: 24 |
|
+1
|
| [2019-08-01 21:09:32] |
| 02108 - Posts: 27 |
|
+1
|
| [2019-08-01 21:22:57] |
| user9990910 - Posts: 15 |
|
lost depth as well. no good.
|
| [2019-08-01 21:31:27] |
| User117347 - Posts: 46 |
|
+1
|
| [2019-08-02 10:47:22] |
| |
|
We are doing our best, we just do not want to make a change that then starts causing problems for other users. We have to consider everyone. This is a rather involved process because we have to do a careful examination of market depth data processing. However, we know that you are all wanting the change related to not filtering based on an imbalance. The imbalance check is there but it has been reduced to being a ratio of 50/100. This will be out in version 1968 in about 15 minutes. 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 |
| [2019-08-02 14:18:48] |
| Tooth Fairy - Posts: 79 |
|
Can you put an option & a percentage parameter to whether to filter or not? Then everyone is happy?
|
To post a message in this thread, you need to log in with your Sierra Chart account: