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Direct MessagesDate/Time: Wed, 24 Apr 2024 04:32:09 +0000
Bid Ask Depth Bars Incorrect Values
View Count: 698
| [2019-09-03 00:32:32] |
| 101010 - Posts: 18 |
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I am having issues with Bid and Ask Depth Bars study showing the correct values with the Denali datafeed. I have made a comparison of the study on version 1983 using CQG data and Denali data in separate instances. I also used a third party Bid Ask Depth Bars study within Denali to compare to the native Sierra study. As you can see from the picture the values in the CQG instance using the SC native study match the values of the third party study in the Denali instance, but in the Denali instance the native studies values are clearly incorrect. I have all of the study parameters set the same in both instances. In each instance and chart the settings for Maximum Depth Levels are set to 0 for all applicable parameters including the SC Server settings. Please advise. Date Time Of Last Edit: 2019-09-03 00:33:26
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Private File |
| [2019-09-03 01:22:39] |
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We will *not* provide any support for using the CQG data feed with this study or comparison to any third-party study. CQG data is not reliable with this study: CQG Trading Platform Service: CQG Market Depth Data And there is no third-party study that is capable of providing accurate data like the new version of Bid and Ask Depth Bars does. The study is accurate, 100% consistently and reliably accurate, with the Denali Exchange Data Feed. However, be aware there are two settings which control the number of market depth levels that are relevant for this study. Both of these are documented here: Bid & Ask Depth Bars We just updated that page, so read over the first part of it again. When you look at the Market Depth window, and the total at the bottom of either the bid side or the ask side you can compare that to the same calculations with this study to see that it is accurate, assuming that it is calculating the same number of levels as you see displayed in the Market Depth Window. Refer to: File Menu: Open Market Depth Window (File) 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: 2019-09-03 01:29:29
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| [2019-09-03 01:57:51] |
| 101010 - Posts: 18 |
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That is where I am having the issue. I have that setting set to 0 so in theory the SC study should be calculating all depth levels. The native SC study matches the market depth window in version 1983 on the CQG instance. The third party study matches the market depth window on the Denali instance. But the native study on the Denali instance isn't anywhere close to correct. I don't know if there is an error, but all settings are set to allow for maximum depth levels including all settings you have mentioned in the documentation. The market depth window reads a value of approximately 5k for each bid and offer, yet the native SC study reads around 750 and 160. This is a major discrepancy and it's almost as if it is being filtered even though I have all depth settings set to allow maximum levels. I only provided comparison with CQG to show that it was matching the market depth window using the native study and that the issue was only occurring when using the Denali feed in conjunction with the native study for me, as in that same Denali instance the third party study is also matching the market depth window. I will continue supporting the Denali feed and it is my data feed of choice, but I need the Bid and Ask Depth Bars study to function properly with it.
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| [2019-09-03 02:17:32] |
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I have that setting set to 0 What setting? This issue you are having is not specific to the Denali Exchange Data Feed. 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: 2019-09-03 02:18:22
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| [2019-09-03 02:26:00] |
| 101010 - Posts: 18 |
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I have attached screenshots of the depth settings for my chart, global data/trade service settings, and the SC server settings. Everything is set to allow maximum depth levels yet I'm not seeing a value anywhere near the market depth window's reading.
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Private File Private File Private File |
| [2019-09-03 02:30:39] |
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Ok it just occurred to us, this is probably a lower level issue involving the price multiplier for the symbol when using the SC Order Routing service.
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: 2019-09-03 02:30:48
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| [2019-09-03 02:37:29] |
| 101010 - Posts: 18 |
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Thank you. I just walked the number of levels for bid/ask depth calculations up from 1 until there was no change to the values and the values stopped changing at around 30 levels if that is useful information to you at all.
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| [2019-09-03 12:39:41] |
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This issue has been corrected in prerelease version 1984.
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 |
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