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Direct MessagesDate/Time: Thu, 16 May 2024 09:57:48 +0000
Time And Sales Bid Size / Ask Size Studies Not Working
View Count: 1761
| [2020-08-08 19:16:40] |
| User336770 - Posts: 30 |
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I would like to know why those studies are not plotting anything. The values are clearly showing up in time and sales window. Data downloaded is 1 tick.
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 STUDY ERROR.png / V - Attached On 2020-08-08 19:16:30 UTC - Size: 102.04 KB - 373 views |
| [2020-08-08 20:27:27] |
| Hammerhead - Posts: 14 |
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Hi, I honestly do not know, but have you tried changing the "Replay Mode" in the chart replay window, say to 'calc as real time', or 'calc at every tick'? For some reason I feel like that could be the issue. You might want to try slowing down the replay speed too, but like I said, I don't really know. Regards, |
| [2020-08-09 00:05:24] |
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We see why these Time and Sales Bid and Ask records studies do not display anything during a replay. We will solve that in the next release.
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 |
| [2020-08-09 18:14:09] |
| User336770 - Posts: 30 |
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We see why these Time and Sales Bid and Ask records studies do not display anything during a replay. We will solve that in the next release.
Thanks. It would be great if you could add an extra option in the Time and Sales Volume study, the same "combine records" options of the time and sales. |
| time sales volume study extra option.png / V - Attached On 2020-08-09 18:14:02 UTC - Size: 69.9 KB - 309 views |
| [2020-08-11 11:10:33] |
| User336770 - Posts: 30 |
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To Sierra Chart Engineering: Just wanted you guys to confirm if you are going to add the "combine records" options to time and sales volume study (since you are gonna fix the time and sales bid / ask size study). This would help a lot, this option should be there anyways. What I have done was to load a time and sales volume study, then I add the subgraph summation periodic study to sum the bid, and other the ask, and I play with the period, this way instead of the values "run away and disappear" (like in the time and sales volume study), I can sort of keep them in the bar they happen. If you add the combine records options from the time and sales window to the study, then the readings would be better. Also, the color options in global graphic settings for the time and sales regarding "trades above ask and below bid" are kind of useless, in a way they won´t tell you anything. Sierra Chart Engineering should invert that, so we can choose the color of the "trades below ask and above bid" and "trades above bid and below ask", this would show the trades that happened inside the spread, when there is one. This shows hidden buying/selling. "Above Ask" and "Below Bid" can even be removed from the options as they serve no purpose. Date Time Of Last Edit: 2020-08-12 21:24:32
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| [2020-08-12 21:24:38] |
| User336770 - Posts: 30 |
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@Sierra Chart Engineering: I ask you please to answer posts 4 and 5. Best regards |
| [2020-08-12 21:52:53] |
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These are feature requests and we are not taking new features now: Notice: Suggestions (Currently not accepting) 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 |
| [2020-08-12 21:57:11] |
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But you do raise a good point about the color settings for trades above the Ask and below the Bid. Those were added a very long time ago, maybe in response to a request, or an observation. They really should be removed altogether, we will do that, because with all of our knowledge and experience, these types of comparisons are inherently faulty. There simply is no guaranteed synchronization between the trades and the bid/ask data to reliably do these comparisons. When a trade is identified to be at the bid or ask, and this is the only kind of determination which should be done, on our own source data feeds, we normally have an indication of this from the exchange. Otherwise, there is only an estimation being made. It is only relevant to indicate whether a trade occurred at the bid or the ask. There really is no such thing as a trade occurring between the bid or ask. That is something which is only observable in a subsequent price stream which is not delivering full bid/ask data. 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: 2020-08-12 21:58:15
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| [2020-08-13 10:17:43] |
| User336770 - Posts: 30 |
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These are feature requests and we are not taking new features now:
Fair enough, but the study is called "time and sales volume", it could at least have the same "combine records" options from the time and sales window. There really is no such thing as a trade occurring between the bid or ask. That is something which is only observable in a subsequent price stream which is not delivering full bid/ask data.
Well I have to disagree with that, I have done lots of tape reading courses and practiced this stuff, and all the other major platforms offer the option to color the trades that happen between bid and ask (usually they appear in white), and they help to identify hidden buyer or seller. I will say 99% of the time when you have an iceberg order / refreshing ECN (when the DOM is showing few lots on a level but on time and sales you see thousands of lots being printed at that level) the white prints will appear (for example when bid is at 30 and offer at 30.5, several white prints will happen at 30.25) |
| [2020-08-13 12:34:22] |
| User336770 - Posts: 30 |
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Complementing the post above, here in this image you can see the offer at 10.10 and bid at 10.11, offer had 600 shares in level II, but on time and sales we see 8.400 shares printed inside the spread at 10.09, it was a hidden buyer at that support.
Date Time Of Last Edit: 2020-08-13 12:34:55
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| prints inside the spread.png / V - Attached On 2020-08-13 12:33:58 UTC - Size: 1.99 MB - 419 views |
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