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Date/Time: Fri, 17 Sep 2021 04:27:12 +0000



Recent Bid Ask Volume Timeout causes incorrent Recent Bid / Ask Volume Reset in DOM

[2021-07-13 17:34:20]
mhtt - Posts: 4
Hi,

I believe this issues has been raised before but not sorted out - https://www.sierrachart.com/SupportBoard.php?ThreadID=55078.

If the "Recent Bid Ask Volume Timeout in Milliseconds" (Global Settings or Trade >> Chart DOM Settings) is set to zero the resetting works as it should. If that parameter is >0 the resetting seems to be sticking (I tested with 1ms, which should almost never be at play). If "Reset Cumulative Last Size on Bid Ask Change" is enabled than resetting also happens as expected according to that flag.

The nature of the bug:

Say a price is coming back up to a price level 100, which already has some numbers in the Recent Bid/Ask Volume.
When Ask gets to price level 100 it resets the numbers as expected, however this allows the bid to jump from 99 to 100 without resetting its number at 100. The bid can now jump between 99 and 100 without resetting any of the two for as long as it likes (provided ask stays at 100). Going down same thing applies. If the last bid happens at 99, than ask can come down to 99 without resetting the ask recent volume, and than jump between the two without resetting any.

Again this happens with timeout >0 and Reset Cumulative Last Size on Bid Ask Change disabled.

There might be some more issues associated with higher timeout delays, as I saw really high volume numbers with 2500ms, but I haven't tested those.

Kind regards,

Aleks
Date Time Of Last Edit: 2021-07-13 17:46:03
[2021-07-13 18:12:09]
John - SC Support - Posts: 10622
From what we are reading of your description, everything is working as it should. The Recent bid Ask Volume Timeout in Milliseconds is meant to prevent the reset of the price at a particular level if the price moves off and then returns to that price within the timeout period.

Therefore, when you say that "...the bid can now jump between 99 and 100 without resetting", this is correct as long as the timeout period has not been exceeded, and the timeout period resets for each time it touches that price level.

For more information on this setting, refer to the following:
https://www.sierrachart.com/index.php?page=doc/GlobalTradeSettings.html#RecentBidAskVolumeTimeoutInMilliseconds
[2021-07-13 19:10:13]
mhtt - Posts: 4
I didn't mean that the bid jumps between 99 and 100 within 1 millisecond (that's 1/1000 of a second), all the moves that I described happen on timescales when timeout should not apply. I understand that 1 ms is not practical but I used it to highlight the issue after I realized the resets were not working as described with 2500ms timeout.

Also, ask and bid resets should happen independently, which isn't the case in my example when bid comes back up to a 100 without a reset after ask has touched it (the time between two touches of 100 could be hours and it still doesn't reset). When timeout is on, bid and ask reset is somehow connected, but it shouldn't be the case. Everything in my example also applies to ask on the way down.

I'll try to take a video of in the next few days, but since I'm not the first one to bring it up, I hoped with my description you would be able to pin point the issue in your code more easily.

Regards,

Aleks
[2021-07-13 20:03:19]
John - SC Support - Posts: 10622
Every time we look at this, and we just did again, we are not seeing anything incorrect going on, at least not for what we coded, which is what was asked for. Now perhaps there is a misunderstanding of what it is supposed to do, but that is a different issue.

From our perspective, the Bid and the Ask are separate. The timeout is applied to each side separately based on the last time the Bid or Ask was at a particular price level. Therefore, with a Timeout value of 1 millisecond, each time the Bid and Ask changes, it should reset the Recent Bid or Recent Ask at the level that it moved to, which is exactly what it does. We are looking at each side independently of the other.

Therefore, if you can give us a symbol and the particular settings you are using and describe what is occurring that should not be occurring, then we will look into this further.
[2021-07-14 18:03:41]
mhtt - Posts: 4
Thank you for your reply. I made a video of this. This is a replay of F.US.EPU21[m] from yesterday (13/07), the clock is in EDT time zone. The same issue happen in live session. The three columns on the right are (left to right) Recent Bid volume, Recent Ask Volume, Cumulative last size. I underlined the number which doesn't reset when I expect it to. To make it easier for you the non resets happen at:

00:04, 00:14, 00:33, 00:44, and the last three at 01:17 of the video.

The timeout is set to 50ms, DOM settings attached. Other than the last two non resets at 01:17 the timeout should not be at play (i'm pretty sure even those are longer than 50ms, but whatever). If the timeout is set to 0, the resets happen as I understand they should.

Regards,

Aleks
imagedom settings.png / V - Attached On 2021-07-14 17:49:55 UTC - Size: 54.87 KB - 32 views
attachmentsierra bug.mp4 - Attached On 2021-07-14 17:51:16 UTC - Size: 16.82 MB - 25 views
[2021-07-27 08:11:45]
mhtt - Posts: 4
Hi,

Did anyone manage to have a look at the video to confirm if it's working as you would expect?
[2021-07-27 14:00:19]
John - SC Support - Posts: 10622
Sorry, we thought we had responded to this.

We have seen some items that we need to look into further, but it is going to take some time to dig into. We will post back here when we have any further information.

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