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Date/Time: Sun, 26 Jun 2022 23:49:06 +0000



Your Market Depth Studies have a MAJOR flaw!

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[2022-05-08 18:44:22]
User839162 - Posts: 75
I’m not exactly sure what’s all involved but can we please get real-time continuously updating depth studies?

As of right now the Market Depth Historical Graph and Bid Ask Depth Bars do not display/update in a continuous fashion (like the DOM). They update when either a new bar is created or when an order is executed. Let me explain why this is a MAJOR issue. Let's say I'm trading a slow instrument (ZN). Price trades up and stalls. No orders are being executed and a new candle has not printed, BUT a few prices away someone puts 500 on the bid. IF that bid of 500 disappears before an order is executed or a new candle is created, it will never be shown on the Depth Graph. Therefor the Depth Graph is showing incorrect data. This data will also be missing from the bid ask depth bars.

I thought I could somewhat get around this problem by using 1 second bars BUT THOSE DON’T PRINT EVERY SECOND?? Your 1 second bars will not print if no orders are executing. Why?

Without the fluidity of depth in ZN it causes bursts of action and sudden changes in depth that can’t be seen before it up ticks or down ticks. All of your depth studies are inaccurate if they are not calculated in real-time and it especially hinders us who use these studies in slow instruments.

PLEASE fix this.
[2022-05-08 19:55:17]
Sierra Chart Engineering - Posts: 103469
Refer to the documentation here regarding this:
https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=375&Name=Market_Depth_Historical_Graph#MarketDepthHistoricalGraphTimingInRelationToChartBarDateTimes

This is not really true like you say:
They update when either a new bar is created or when an order is executed.

The specific behavior is documented here:
https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=375&Name=Market_Depth_Historical_Graph#MarketDepthHistoricalGraphTimingInRelationToChartBarDateTimes

IF that bid of 500 disappears before an order is executed or a new candle is created, it will never be shown on the Depth Graph.
This is not necessarily true. It depends upon the Input settings and whether this was a maximum depth value at the price level.

This is definitively not true at all:
This data will also be missing from the bid ask depth bars.

The data is absolutely not missing. It is processed and displayed but assigned to the appropriate chart bar when that bar is available.

The documentation explains all of this. And the solution.
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
[2022-05-08 22:59:47]
User839162 - Posts: 75
I followed that first link you posted and added the -BID_ASK_TRADE_SYNC to the ZN symbol. It looks exactly like this in my symbol settings (ZNM22-CBOT-BID_ASK_TRADE_SYNC). I then followed the instructions underneath it to create a 1t chart. I'm still seeing the depth graph not matching up with the DOM.

Please explain to me how I can see the Depth Graph update in real-time with every change of depth? Everything I've tried does not work and I see differences between the two.

I'm attaching an image so you can see that the Data Recording Suffixes do the same thing.
Private File
[2022-05-08 23:44:46]
User839162 - Posts: 75
I also don't understand why you would make this thread hidden? Plain and simple the Heatmap does not match the DOM.

This is not necessarily true. It depends upon the Input settings and whether this was a maximum depth value at the price level.

I've witnessed levels on the heatmap that are showing more than what the maximum depth value is and it doesn't update if that current depth value drops below before an order is executed or a candle is created. This is a problem.
Date Time Of Last Edit: 2022-05-08 23:47:19
[2022-05-09 14:13:43]
Sierra Chart Engineering - Posts: 103469
In the latest prerelease, we have made a change to -BID_ASK_TRADE_SYNC to also record data when there is a change in bid/ask quantities. This should solve the problem.

We have not yet tested this but will be testing it today.

We are also checking on another thing but we do not expect to find any further 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
[2022-05-10 14:40:51]
Sierra_Chart Engineering - Posts: 2699
The functionality that you are referring to is fully documented here:
https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=375&Name=Market_Depth_Historical_Graph#MarketDepthHistoricalGraphTimingInRelationToChartBarDateTimes


There is a solution by using a special data recording which is documented in the section linked above.

Here is an example of this:
https://www.sierrachart.com/image.php?Image=1652192303728.png

You must be running the very latest release which is 2393. This recording mode has been enhanced for this specific purpose.

I also don't understand why you would make this thread hidden?
Since you are making statements which are actually not technically true in some cases and asserting them as if they are true.

The fundamental issue is you are using a very short timeframe per bar. If the timeframe per bar were like 10 minutes, you would not notice any problem. Other than at the end of 10 minutes for a short duration.

The release that we did previously, in 2392 related to this recording suffix for the Market Depth Historical Graph still did not work properly. It does now and you need to run 2393 or higher.
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, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2022-05-10 14:46:04
[2022-05-10 16:27:37]
User839162 - Posts: 75
It's working great now. I have one other question.

With this update it has made the depth bars look much different because it's recording the depth the entire time (which is good). But I did notice that when I Download Depth Data From Date-Time it will download the "old" depth that doesn't continuously update. Is there any way to download the depth for the -BID_ASK_TRADE_SYNC symbol that continuously updates?
[2022-05-10 17:21:30]
Sierra Chart Engineering - Posts: 103469
No this is not supported:
Is there any way to download the depth for the -BID_ASK_TRADE_SYNC symbol that continuously updates?

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
[2022-05-10 17:39:00]
User839162 - Posts: 75
No this is not supported:
Is there any way to download the depth for the -BID_ASK_TRADE_SYNC symbol that continuously updates?

Please consider this in the future. It would be nice to be able to backtest the correct depth data.
[2022-05-11 07:37:01]
User311344 - Posts: 122
How does this issue relate to Denali Delayed Data?

I get that when it was downloaded from Date-Time it doesnt have continous updates, but does it have continuous updates when being pulled directly from stream (as delayed data)?
Date Time Of Last Edit: 2022-05-11 08:40:10
[2022-05-11 17:14:23]
Sierra Chart Engineering - Posts: 103469
The Market Depth Historical Graph does work with the Delayed Exchange Data Feed:
Delayed Exchange Data Feed

Everything will be identical except the data will be delayed 10 to 15 minutes.

If you are seeing something different, we need to know.
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
[2022-05-12 11:16:08]
User311344 - Posts: 122
You said that BID_ASK_TRADE_SYNC switch is not supported when data being downloaded with Download Depth Data from Date/Time so Im asking if it's supported for Denali DELAYED Data or ONLY for LIVE Denali data?
Date Time Of Last Edit: 2022-05-12 11:17:10
[2022-05-12 11:25:24]
Sierra Chart Engineering - Posts: 103469
The historical data downloaded in no case is going to use this type of recording mode:
BID_ASK_TRADE_SYNC
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
[2022-05-13 06:39:01]
User311344 - Posts: 122
The historical data downloaded in no case is going to use this type of recording mode:
BID_ASK_TRADE_SYNC

Yes but what about DELAYED Denali data being pulled from datafeed? Would it use this type of recording and look EXACTLY the same as true LIVE Denali data?
[2022-05-13 07:17:16]
Sierra Chart Engineering - Posts: 103469
Yes.
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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