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DOM Recent Bid / Ask Volume Reset Discrepancy

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[2020-08-03 10:47:04] #1 [Go To First Post]
mpro - Posts: 44
I think the reset is not working as described here: Global Trade Settings Windows: Recent Bid Ask Volume Timeout in Milliseconds (Global Settings >> Chart DOM Settings >> Other >> Other Settings) Please look at my attached screenshot. How is it possible that the market has a recent Ask Volume of 186 when it traded lower for multiple minutes before and the last 3 Minutes have only 61 as ask volume. Sometimes a reset happens but it seems very rare and random. EDIT: t=120s not 180s but definitely more than 2500ms Date Time Of Last Edit: 2020-08-03 10:52:17


SC_ESU20_M1_DOM.png / V - Attached On 2020-08-03 10:36:07 UTC - Size: 173.6 KB - 552 views

[2020-09-17 17:58:52] #2 [Go To First Post]
User308633 - Posts: 17
I'm wondering about this as well. I have it working on one chart but not the other. Any follow up from Admin?

[2020-09-18 10:05:41] #3 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
I have it working on one chart but not the other. There is absolutely no chance this is at all true. It is impossibility what you say since these calculations are done outside of a chart. The functionality does work correctly and the question is not within the scope of our support. It is impossible to explain to explain what has happened in the past in particular cases, and would be billable. And we do not allocate time to 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 Date Time Of Last Edit: 2020-09-18 10:06:16

[2020-09-18 10:31:00] #4 [Go To First Post]
mpro - Posts: 44
There is still a bug or the reset is not happening as described. When I disable "Reset Recent Bid/Ask Volume on Bid/Ask Change" it doesn't reset old volume when market orders are traded on a price again after a time that is higher than the configured reset time. With every Sierra Chart Version or Chart. For my understanding from your description it should count when its trading at a price and reset when it's trading again at this price under the Condition: It has traded at another price and not at the counted price for a minimum of 2500ms (setting). "Example 2: The Recent Bid Ask Volume Timeout in Milliseconds is set to 2500ms, and the Recent Bid Volume column is displayed in the Chart DOM. There is a Bid trade at a price level of 1000 and accumulates a volume of 2. The last trade price then moves to 999 and is a Bid trade and accumulates trades with a total volume of 3. The last trade price then returns to 1000 after more than 2500 milliseconds and another Bid trade occurs with a volume of 1. In this case the Recent Bid Volume at the price of 1000 is reset and accumulates starting at a value 1." Disabling "Reset Recent Bid/Ask Volume on Bid/Ask Change" means it should reset with changing market orders and not with Bid / Ask price changes. There is a logical error. The reset for the function "Reset Recent Bid/Ask Volume on Bid/Ask Change" enabled is working as described. Date Time Of Last Edit: 2020-09-18 10:55:29


DOM Recent Bid : Ask Volume Reset Discrepancy.png / V - Attached On 2020-09-18 10:22:53 UTC - Size: 76.2 KB - 453 views

[2020-09-18 14:44:37] #5 [Go To First Post]
mpro - Posts: 44
Another example attached. I can reproduce it with SC Delayed Data Feed, Rithmic, Chart trading Dom and normal trading Dom. Sometimes there is a reset but it is inconsistently. Date Time Of Last Edit: 2020-09-18 15:10:45


NotResetting.png / V - Attached On 2020-09-18 14:44:02 UTC - Size: 222.44 KB - 462 views Example4.png / V - Attached On 2020-09-18 14:55:36 UTC - Size: 321.03 KB - 511 views CustomizeChartDomCollums.png / V - Attached On 2020-09-18 15:01:17 UTC - Size: 292.45 KB - 380 views

[2020-09-18 14:50:42] #6 [Go To First Post]
User308633 - Posts: 17
There is absolutely no chance this is at all true. It is impossibility what you say since these calculations are done outside of a chart. The functionality does work correctly and the question is not within the scope of our support. It is impossible to explain to explain what has happened in the past in particular cases, and would be billable. And we do not allocate time to this. I can absolutely, 100% show you that it is not functioning on one, and is on the other. Rather than blanket denial, let me know how I can show you. perhaps I can video the screen.

[2020-09-18 15:28:13] #7 [Go To First Post]
User308633 - Posts: 17
MPRO I'm with you. I know it's buggy. Denying that it exists it not cool

[2020-09-18 16:52:24] #8 [Go To First Post]
John - SC Support - Posts: 31059
There are two possible things going on here, but these are about understanding how this works, not bugs. First, the images provided by mpro are asking about Recent Bid/Ask Volumes that are far away from the current price. The reset to the Recent Bid/Ask Volume only occurs at the current price level. Therefore, if that is the data that was accumulated at that price previously, then that is what it is. It is not going to change when the price is no longer at that level. Second, the Recent Bid/Ask Timeout in Milliseconds applies to both changes due to a trade and those that are just due to changes in Bid/Ask prices. Therefore, if this is set differently for different charts, then it will affect the way the data gets accumulated and reset. Refer to the documentation for these items starting here: Global Trade Settings Windows: Reset Recent Bid/Ask Volume on Bid/Ask Change (Global Settings >> Chart DOM Settings >> Other >> Other Settings) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2020-09-18 18:51:37] #9 [Go To First Post]
mpro - Posts: 44
"First, the images provided by mpro are asking about Recent Bid/Ask Volumes that are far away from the current price. The reset to the Recent Bid/Ask Volume only occurs at the current price level. Therefore, if that is the data that was accumulated at that price previously, then that is what it is. It is not going to change when the price is no longer at that level." That's correct but the price was again at that level and the volume is cumulating up with every volume that was ever traded at that level instead of restarting at zero with the new volume. It should not count old and new volumes together when the market didn't touched it for multiple minutes. With "Reset Recent Bid/Ask Volume on Bid/Ask Change" enabled it's acting exactly like it should. But not with disabled active price changes. There is a problem with the function otherwise I wouldn't say that the other function with reset by bid / ask price works correct. Their reset behavior should be very similar when every bid/ask change include a market order (in ES possible) but they deliver completely different results. In my scenario the Bid / Ask Volume ist counting up endless in most cases. I have read your description multiple times to be sure that I understand it correct. I also described the conditions so I think I know how it should reset. I am a computer scientist so i know a lot about logic. Maybe it's a glitch on my computer I can test it on another system if you want. You don't have to fix it but there is an issue. Please look at these numbers from „Example4.png“ if you don‘t see it ask someone else. https://www.sierrachart.com/Download.php?Folder=SupportBoard&download=43532 There can‘t be 10k traded when recently only 96+210+57+200 bid volume was traded. The first marked 96 should have initiated a reset. Date Time Of Last Edit: 2020-09-18 19:38:08

[2020-09-18 19:52:40] #10 [Go To First Post]
John - SC Support - Posts: 31059
What is your Recent Bid Ask Volume Timeout in Milliseconds set to? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2020-09-18 19:59:44] #11 [Go To First Post]
mpro - Posts: 44
2500 ms

[2020-09-18 20:15:34] #12 [Go To First Post]
mpro - Posts: 44
"Second, the Recent Bid/Ask Timeout in Milliseconds applies to both changes due to a trade and those that are just due to changes in Bid/Ask prices. Therefore, if this is set differently for different charts, then it will affect the way the data gets accumulated and reset." In my Sierra chart the DOM Settings are acting global for every chart so that makes no sense to me. Date Time Of Last Edit: 2020-09-19 06:25:21

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