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Direct MessagesDate/Time: Thu, 25 Apr 2024 04:47:49 +0000
Sierra Chart Data Feeds Start of Week Intermittent Market Depth Issue
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| [2020-06-11 09:24:52] |
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Over the last couple of months we have seen an intermittent issue at the start of a week, where some of the top levels of the market depth data on usually the ask side or only the ask side, are incorrect, and are below the values on the bid side, which should not be the case. What we have observed with this, is that these are values from the prior week. They should have been cleared and it is unknown, why they exist. When we hear about reports of the effect of this like the Trading DOM improperly displaying the current price and depth, we simply perform a reset of the internal connection for the real-time server processes which are affected. This is an intermittent issue only randomly occurring. We have added additional logging to isolate the problem and we should have it figured out over the next 2 to 3 weeks but we need for it to occur again on a Sunday evening. This affects the following data feeds: Sierra Chart Exchange Data feed Denali Exchange Data feed Sierra Chart Cryptocurrency and Forex data with depth. We are not sure if it affects data sent to a sub instance of Sierra Chart. In general, the handling of large amounts of market depth data, 1000+ levels, and doing this efficiently, does have complexities and the recent performance improvement we have implemented, is revealing this issue. We will get it resolved. It is not going to be hard to figure out once we successfully capture the related data the moment of the event which is triggering it. That may take a couple of rounds of events. We may not capture it the first time, but with additional logging added on the second or third time we should be able to determine the reason for the problem. The attached screenshot, highlights the levels on the ask side, for ESM20 at the start of this week which should not have been there. Also, we have added correction code to filter out this condition as best as we can. So good chance, it is just not going to happen for the users any longer but we still will be monitoring for the underlying problem and get it resolved in the background. This code is being tested and will be fully released over the weekend. 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: 2020-06-11 17:52:22
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 Market Depth Issue.png / V - Attached On 2020-06-11 09:24:09 UTC - Size: 15.47 KB - 312 views |
| [2020-06-13 00:30:39] |
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Also, we have added correction code to filter out this condition as best as we can. So good chance, it is just not going to happen for the users any longer but we still will be monitoring for the underlying problem and get it resolved in the background. This has now been released. We will also be monitoring Sunday evening for the condition.
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 |
| [2020-06-21 23:56:51] |
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We finally have some useful logging related to this. Still is not clear why it happens but we have done some code review, and there are some changes that we will be making which may have a chance of clearing it up. If these do not resolve the problem, we will determine what still needs to be done to resolve it. There are just so many elements involved with market depth data going all the way down to the exchange feed and the initial snapshot data and a lot of events and the sequence of those events which occur feed startup Sunday evening which makes this very complex. This is really only an educated guess, and has no confirmation but it might be related to implied market depth data. In any case, users are not going to be affected by the problem anymore because the correction code we had added, is automatically correcting this condition and we also have the ability to instantly be aware of when there is a problem and take the appropriate steps to clear it before users notice any issue. 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: 2020-06-22 01:16:50
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| [2020-07-04 08:35:36] |
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We believe we have isolated this issue. We did implement some changes. We will fully deploy this over the next 2 days.
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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