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Direct MessagesDate/Time: Sat, 18 May 2024 15:57:06 +0000
Bid Ask Depth Bars v2 Stopped Working on ES - Denali
View Count: 1231
| [2019-12-12 00:45:32] |
| Acro - Posts: 436 |
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At 1800 NY time tonight, bid ask depth bars have stopped working on ES (whether it's ESZ19 or ESH20) on the Denali feed eg the bid ask difference stays at zero. This seems isolated to ES and the same problem does not appear in NQ, GC or 6A. I have connected, disconnected, rebooted, duplicated the chart, made a fresh chart from scratch etc to troubleshoot but with zero success. I have looked at bid ask difference, ratio, sum bid side, sum ask side etc but all are reading zero. If the total sum of the bid side is zero there is clearly something not right Can you please look at this |
| [2019-12-12 01:51:47] |
| User234172 - Posts: 44 |
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Last week same happened to me for MJNK. I'd only added it to an experimental chart a few days earlier and it seemed normal. Then stopped working. Never had the time to look into it.
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| [2019-12-12 02:08:56] |
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We are checking on this.
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 |
| [2019-12-12 02:11:51] |
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Exit from Sierra Chart. Go to your \Data\MarketDepthData folder. Locate the market depth data file for that symbol for today's date. Rename it with a .backup file extension. Run Sierra Chart again and let us know if that resolves the problem. If so we need to get that file from you in a compressed format and we will look at it. 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 |
| [2019-12-12 02:28:10] |
| Acro - Posts: 436 |
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I have followed those steps but that does not resolve the problem. The Bid Ask Depth value remains at zero for ES. Would you still like me to post any files ? |
| [2019-12-12 02:30:54] |
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Go to the chart and select File >> Open Market Depth Window. Is there any issue with the displayed depth there?
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 |
| [2019-12-12 02:37:13] |
| Acro - Posts: 436 |
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I've attached a screenshot of the Market Depth Window. This looks normal to me |
 2019-12-12_10-35-07.png / V - Attached On 2019-12-12 02:36:37 UTC - Size: 57.02 KB - 355 views |
| [2019-12-12 02:54:29] |
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Yes it is normal. Our best determination at this point is that there is a data error in one of the depth files from another prior day causing an extended effect with subsequent calculations. Can you go through the same procedure by exiting from Sierra Chart, and renaming depth files for prior days for that symbol until the problem is resolved. Actually there is an easier way. Limit the depth loading through Chart >> Chart Settings >>Market Depth . This is a small box near the top left of the chart settings window. Set it to 1 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: 2019-12-12 02:55:39
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| [2019-12-12 03:05:13] |
| Acro - Posts: 436 |
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I have temporarily removed all files from the Market Depth folder. I have restricted the number of Market Depth days loaded to 1 I have removed the Bid Ask Depth Bars v2 study from the chart and reinserted it. However, the value is still stuck at zero and does not want to budge |
| [2019-12-12 03:55:33] |
| Acro - Posts: 436 |
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I have done a fresh installation of v2021 and have got ESH20 depth bars working. ESZ19 would still not work and I've given up trying. I hope you find the issue so I don't experience this again |
| [2019-12-12 16:14:49] |
| Acro - Posts: 436 |
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It stopped working soon after the market open this morning. I now have zero ideas how to fix this. Totally frustrating when you are building a process and suddenly part of that process disappears and will not work |
| [2019-12-12 16:19:29] |
| Acro - Posts: 436 |
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The only other thing I can bring up for you is that the old version of the Bid Ask Depth Bars do work, albeit the candles are tiny and not properly formed
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| [2019-12-12 16:24:32] |
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We are able to reproduce the problem. The number of market depth levels has been increased to 800 and there is a large imbalance between the number of levels on the bid and ask side right now. Just give us a little time to think up a solution. We will have one out today.
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 |
| [2019-12-12 16:30:27] |
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We will put out a new revision of prerelease 2025 in about 20 minutes to resolve this.
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 |
| [2019-12-12 17:00:22] |
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We apologize for the delay. We are putting out 2025 now, but we realize there is actually a more proper solution and one that has already existed for a while. Set this chart setting to about 350: Chart Settings: Number of Levels for Bid/Ask Depth Calculations (Chart >> Chart Settings >> Market Depth menu) The calculations will not be as efficient. But it will resolve the problem. The lower the number the better performance and zero gives the maximum performance. 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 |
| [2019-12-12 17:05:41] |
| Acro - Posts: 436 |
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Thanks for the update and the suggestion. I will test out whether it impacts the usefulness of the bars if one did reduce the number of levels in the calculations |
| [2019-12-12 18:57:26] |
| User132748 - Posts: 159 |
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Of course it will have negative impact. Market making plays are very wide at the moment. This is old and still unresolved problem in a civilised way. We need to see the market as it is! Decreasing number of levels was never an acceptable and final solution. First you have hard coded the number of levels imbalance threshold at 80% and after many requests you decreased it to 50%. I really hoped that this issue will be totally resolved on Denali feed as it was said that it was one of many faults of CQG datafeed. Please remove this hardcore workaround. We need to see full market depth and depthbars should reflect the real depth situation and not just be gone. Also decreasing number of levels is global setting at the moment so it affects all traded instruments at any given moment or forces to use many different SC instances. Common Sierra make Denali great as always been said. Thanks in advance. Date Time Of Last Edit: 2019-12-12 19:02:18
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| [2019-12-12 19:10:50] |
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This is not a data feed specific issue. The imbalance has to do with the actual imbalance in the actual market. The numbers were something like 375 on one side and over 700 on another side. This is with full depth. The market itself is a major part of the data feed. This is not a Denali data feed specific issue at all. It is completely unrelated to that. And the issue users had with CQG has to do with the repetitive incremental clearing and rebuilding of depth every 20 minutes by CQG and the disruption that would cause. We detail this on our CQG page on this website. But actually it is manageable in another way by limiting the depth to 500 levels: https://www.sierrachart.com/index.php?page=doc/DataSourceSettings.php#MaxDepthLevels As we been working on market depth in recent months, the number of levels was increased from 500 to 800. So it is the unrestricted depth which is a problem. 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: 2019-12-12 19:14:10
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| [2019-12-12 21:02:08] |
| User132748 - Posts: 159 |
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Yes but theres no reasonable explanation why depthbars should be turned off on big depth levels imbalance. If thats how the market looks like at the moment thats what depthbars should be showing. Of course at 300/700 levels there will be a meaningful depth imbalance but thats how the market looks like and suggesting to cut available market depth information off is really against any rules. Why should we throw off any market information market is giving us??? Whats even more strange is you provide ACSIL functions that allow to build own depthbars working without any restrictions, working on all available depth levels, showing true imbalance regardless of number of levels and their imbalance. Of course this data is based on DOM data (sc.GetAskMarketDepthNumberOfLevels() and sc.GetAskMarketDepthEntryAtLevel(DepthAskEntry, Level)) or on T&S feed (TimeSales[TSIndex].Type == SC_TS_BID || TimeSales[TSIndex].Type == SC_TS_ASK) and not on true depth data, which you still didnt allow us to access via ASCIL but those bars match almost 99.99% with native depthbars with that distinction that they work all the time and never swtich off. Please remove that levels imbalance restriction from native depthbars. Im sure youre more than capable of doing it. You guys rock. Thank you. Date Time Of Last Edit: 2019-12-12 21:04:31
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| [2019-12-13 01:12:22] |
| Acro - Posts: 436 |
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I echo the sentiments of User132748, who is a little more blunt than I am. If we restrict the levels used by the bid ask depth bars it defeats its purpose. The Denali feed is a highly reliable, high quality feed. Sierra should be focussed on letting its customers maximized the benefits of that feed, including ALL the levels available, without restriction. Otherwise we may as well use a totally filtered feed like IB, which is next to useless |
| [2019-12-13 19:57:16] |
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Yes but theres no reasonable explanation why depthbars should be turned off on big depth levels imbalance It is due to other data feeds, where there are certain temporary conditions and scenarios where the depth can be momentarily out of balance and that needs to get filtered out.
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 |
| [2019-12-13 20:45:15] |
| User132748 - Posts: 159 |
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Your explanation is really hard to follow. First you say: This is not a data feed specific issue. Now you say: It is due to other data feeds I'll try to assume that Denali guarantees depthbars being visible reardless of market levels imbalance. So why Denali users must suffer that horrible filtering out because of others feeds faulty behaviour? Maybe you could add an option in depthbars study to switch on/off that filtering out so Denali users could use this awesome feed without any restrictions? Date Time Of Last Edit: 2019-12-13 20:45:51
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| [2019-12-23 00:16:42] |
| Acro - Posts: 436 |
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Looks like the ES bid ask depth bars have stopped working again around 1900 hours Sunday on ES with full depth (ie no limit set on bid ask depth). This continues to be disappointing to say the least. If there is a big imbalance I would certainly like to know what it is rather than the bars just stop working ! |
| [2019-12-23 00:37:31] |
| Acro - Posts: 436 |
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I decided to run a second instance of sierra on a different IP address but with the same symbol depth and server settings. This one has not stopped working and this just confuses things. No matter what I do to my main instance I cannot get the bid ask bars to start working again on ES whilst it continues to operate just fine on the second instance |
| [2019-12-23 04:04:41] |
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We are not observing any problem after an extended test and we think maybe you are running an older version. Make sure Sierra Chart is up-to-date with the installation that has this issue: Software Download: Fast Update 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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