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Depth of Market displays different numbers in DOM and Market Depth Historical Graph

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[2021-06-08 14:40:46] #1 [Go To First Post]
Tofer - Posts: 37
Hello, I have seen some differences between what I see on the DOM versus the "Show Quantity Numbers" on the Market Depth Historical Graph. Of course are not huge, however I am wondering why those differences are there. My idea is to getr rid of the DOM during my trading, and just use the Numbers Bars together with the Market Depth Historical Graph in order to have everything togetherand with easy acces to the depth of market and the historical orders. I am attaching a screenshot with some examples. Can you help me to understand this situation? This instrument is FDAXM21-EUREX (SC Data - All Services) Thank you


sierra-chart-dom-market_depth_historical.jpg / V - Attached On 2021-06-08 14:40:23 UTC - Size: 1.31 MB - 667 views

[2021-06-08 16:07:05] #2 [Go To First Post]
John - SC Support - Posts: 31704
The first thing to check, although we do not think this is the case, is that the data that is displayed after the last bar is the Last market depth data and not the Max market depth data. In other words, ensure that the Input for Depth Quantity Type to Display After Last Bar is set to Last Depth. Refer to the information here: Market Depth Historical Graph: Depth Quantity Type to Display After Last Bar Offhand, the main reason we can think of for what you are seeing is that the Chart Update Intervals for the two charts are different. Take a look at both and ensure that they are both set to the same setting (typically this would be set to the Global Setting for both). Refer to the following: Chart Settings: Chart Update Interval in Milliseconds (Chart >> Chart Settings >> Display >> Chart Update Interval menu) One other thing to do is to look at the Market Depth in the chart against the same Market Depth in the same chart in the DOM on the chart. That way you would not need to worry about updating time differences. I have personally done a lot of work recently on the Market Depth Historical Graph and looked at these numbers in comparison to one another and I have never seen a disconnect between the data when using the same chart. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-06-09 09:21:52] #3 [Go To First Post]
Tofer - Posts: 37
Thanks for your quick response! I now attached the DOM and have the chart together with it, having the same studies, and as you can see I see quite different results the more away the levels are from the price. I have the CHart Update Interval set to 0, so it uses the Global (which is 10 ms). I also checked the Depth Quantity Type to Display After Last Bar and it is set to Last Depth. And as you can see on the v3 file, that is even more weird, as in one chart (left) the Market Depth says 76, and on the right, it says 81, which is what the DOM prints on the left chart. On Market Depth Historical Graph I have set to 60 the Maximum Levels to Display. Thank you! Date Time Of Last Edit: 2021-06-09 09:22:42


sierra-chart-dom-market_depth_historical-v2.jpg / V - Attached On 2021-06-09 09:09:30 UTC - Size: 1.6 MB - 464 views sierra-chart-dom-market_depth_historical-v3.jpg / V - Attached On 2021-06-09 09:21:37 UTC - Size: 828.28 KB - 371 views

[2021-06-09 14:01:17] #4 [Go To First Post]
John - SC Support - Posts: 31704
We will look into this deeper and see what we can find. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-06-09 14:30:04] #5 [Go To First Post]
John - SC Support - Posts: 31704
Can you please get us a Chartbook that contains the chart where you are seeing the issues by following these instructions: Support Board Posting Information: Providing Chartbook with Only a Single Chart For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-06-09 14:40:14] #6 [Go To First Post]
Tofer - Posts: 37
Sure, here you have the chartbook. Thank you very much


thread-id-64868.Cht - Attached On 2021-06-09 14:40:05 UTC - Size: 18.21 KB - 183 views

[2021-06-09 15:02:25] #7 [Go To First Post]
John - SC Support - Posts: 31704
The problem you are having is related to the option for Extend Last Known Depth in combination with the Maximum Levels to Display. Since the Maximum Levels is limited to 60, when you extend the last known depth, it is displaying items above/below that 60 that have not been updated. Hence, the numbers do not match. There are basically two choice. Either turn off the Extend Last Known Depth, or increase the number of levels displayed, and understand that anything outside of the actual number of levels you entered is old information and may not be correct. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

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