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Direct MessagesDate/Time: Thu, 25 Apr 2024 16:44:52 +0000
Huge spikes on Denali offer data
View Count: 1493
| [2019-10-04 15:14:34] |
| 9710276 - Posts: 24 |
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I switched over to Denali data today and my offer depth is all whacked out. I tried build 1984 and 1991 I also tried deleting all scid and depth files to clear out all the old data -- many times. None of that makes any difference. I don't want to sound like a drama queen, but there's no way I trade like this - and since this is my ONLY data connection I'm totally up a creek and completely dead in the water -- not exaggerating. My trading methodology is heavily centered around bid and offer depth. Someone mentioned to me there was an issue, previously, regarding a special calculation after an 80% imbalance. Not sure of all the details but is that what is happening here? |
Private File Private File Private File |
| [2019-10-04 15:38:09] |
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What is the exact name of the study you are pointing out in the screenshot?
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 |
| [2019-10-04 15:42:27] |
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Ok we understand what is going on. You are referring to Bid and Ask Depth Bars and you are summing the Ask side. 500 levels are in the calculation. We notice at the very end of the 500 levels, that there is one level of a quantity 800 moving in and out. That is what is causing that behavior. Reduce the number of levels to like 450 and reconnect to the data feed: Real-Time Exchange Data Feeds Available From Sierra Chart: Controlling Number of Market Depth Levels You have to understand, we have no control over abnormally high quantities at certain price levels. The market can do whatever it wants. What you are seeing is 100% accurate. You should have been looking at the File >> Open Market Depth Window and you can see exactly what is going on. Or you can set the number of levels to calculate: Chart Settings: Number of Levels for Bid/Ask Depth Calculations (Chart >> Chart Settings >> Market Depth menu) 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: 2019-10-04 15:49:51
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| [2019-10-04 16:02:52] |
| 9710276 - Posts: 24 |
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OK; thanks guys -- much appreciated. I limited the depth, as you said, and that took the anomalies away. One question though: I see that the 800 quantity offer is at 65.00. I was under the understanding that Denali is limited to 500 ticks for depth. Could you please explain why the 800 quantity is being picked up when it is sitting roughly 1200 ticks above price? Thanks again. |
| [2019-10-04 17:21:12] |
| user9990910 - Posts: 15 |
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+1
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| [2019-10-04 21:24:38] |
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It is 500 levels. Not 500 ticks.
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 |
| [2019-10-05 00:19:33] |
| mattb - Posts: 30 |
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was waiting on that. now that's out of the way, perhaps you can answer their question. I'd like to know as well
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| [2019-10-06 11:24:35] |
| User786248 - Posts: 25 |
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in above example, could you explain why Denali is picking up the 800 quantity that is approximately 1200 levels away from that price?
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| [2019-10-06 11:38:31] |
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We are not here to provide a tutorial on market depth. We recommend contacting the exchange for them to provide you an explanation of market depth.
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 |
| [2019-10-06 20:18:03] |
| mattb - Posts: 30 |
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Denali offers 500 levels of depth. Correct? To show all 500 levels, Sierra Chart server depth settings should be set at zero correct? So the question is why are we getting the 800 lot order on the offer 1200 levels away if we want to only show the depth up to 500 levels away from current level. No one is asking for a tutorial on depth
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| [2019-10-06 20:26:42] |
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Sierra Chart server depth settings should be set at zero correct? Yes. So the question is why are we getting the 800 lot order on the offer 1200 levels away if we want to only show the depth up to 500 levels away from current level.
We would think the answer should be obvious. This is not hard. Why do you think? Think about it. Hint: Does it make sense that every price level has one or more orders.Also, we do not know whether that level was 1200 ticks away from the current price. But it does not matter whether it was or wasn't. 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: 2019-10-06 20:27:18
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| [2019-10-06 20:34:07] |
| mattb - Posts: 30 |
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Ok thanks for clarifying, so even Sierra Chart doesnt know how many levels they are providing.
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| [2019-10-07 14:40:13] |
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The Sierra Chart servers do track all the levels but they are not all transmitted out. And you can control how many levels you want to receive.
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: 2019-10-07 14:40:28
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| [2019-10-07 14:49:38] |
| mattb - Posts: 30 |
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thank you, I understand now that a level with zero orders is excluded
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| [2019-10-07 17:49:35] |
| 9710276 - Posts: 24 |
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Hi guys – original poster here. “Levels” from price is the wrong way to implement a specified bid and offer depth range. It needs to be ticks away from price so that there’s symmetry on each side of price (same distance up and down from price). Price moves, in part, based on this “pressure”, or “imbalance”, in the bid and offer. Without symmetry in bid and offer depth (equal distance on each side of price) there is no way to spot an imbalance at price. This is immensely important to understand – you can’t spot an imbalance at price, by looking at the bid and offer data, if you’re including an unknown amount of resting bids and offers beyond the range specified. That’s why the “range” MUST be ticks not “levels”. |
| [2019-10-07 22:27:08] |
| User132748 - Posts: 159 |
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Without symmetry in bid and offer depth (equal distance on each side of price) there is no way to spot an imbalance at price.
Not true. If you have a 100 bids resting order 3 ticks below and 100 offers 10 ticks above and no other resting orders and your "range" is set in ticks to 5T then whats your balance? You would see 100 bid imbalance pressure which is not true cause if theres a buy 100 order it will eat those offers at +10ticks cause thats first liquidity available and if a 100 sell order it will eat those 100 bids at 3T below. So the fact is the market is in balance and you would see this only when "range" set to LEVELS = 1. Range set in ticks means nothing. You need to watch the relative position of available liquidity not abstract price distance. Regards Date Time Of Last Edit: 2019-10-07 22:46:35
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| [2019-10-08 02:48:07] |
| 9710276 - Posts: 24 |
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Thanks. You’re right – and I see your point. If you want the full book, it’s available. But there’s an option to limit “level” data within a chart. And I only want to look a certain distance out, on each side of price, for my bid and ask depth studies (which doesn’t show price levels, like a heatmap, it just shows depth changes). There’s no way to limit that if levels are not ticks – unless I assume a certain distance out will always have resting orders – and limit the data feed to that assumed level. Date Time Of Last Edit: 2019-10-08 02:48:39
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