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Direct MessagesDate/Time: Fri, 26 Apr 2024 19:18:28 +0000
Odd market depth data quirk for only one NQTV symbol
View Count: 405
| [2022-05-09 17:36:19] |
| frozentundra - Posts: 84 |
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Not sure if this is something on my end or from NQTV, but here is what I noticed: In a custom study if I call: `sc.GetMarketDepthBarsFromChart` and point to a `c_ACSILDepthBars` structure, then follow up by calling `GetBarLowestPriceTickIndex` and `GetBarHighestPriceTickIndex` on the most recent 5min bar, I will be able to calculate the Number of price ticks in that bar by simply subtracting the highest index from the lowest. Most of them seem reasonable, but one stands out from the rest: Most recent 5min bar's number of price ticks: NVDA-NQTV - 425 NFLX-NQTV - 843 AAPL-NQTV - 408 BABA-NQTV - 4352 (!!!) Any ideas on why BABA-NQTV would be seeing almost 10x the amount of price ticks per bar than other NQTV symbols? It is definitely not reflective of the actual number of price ticks happening in BABA-NQTV. I've tried resetting to default the symbol's settings, as well as deleting all data and re-downloading. Open to other suggestions and thank you in advance. |
| [2022-05-10 14:23:48] |
| Sierra_Chart Engineering - Posts: 14105 |
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This is not necessarily unusual because there could have been a price level that had market depth data, that was out of the usual range. It may have occurred momentarily.
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 |
| [2022-05-10 19:23:13] |
| frozentundra - Posts: 84 |
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It may have occurred momentarily
Looks like it is still happening. I noticed this started last week (or maybe week prior). Still happening on BABA-NQTV as I write this reply. |
| [2022-05-11 15:04:51] |
| frozentundra - Posts: 84 |
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Just confirming this is still happening now on 5min bars on BABA-NQTV. BABA-NQTV 5/11 11:00 Total Price Ticks=3886, Low Price=62.139999, High Price=101.000000
Actual Low and High of BABA-NQTV was L=84.56 and H=85.00. If anyone could sanity check this for me to rule out something on my end, that'd be much obliged, but it looks like the NQTV data for this symbol BABA might be off for some reason despite it charting properly, the market depth data is returning wildly different numbers. |
| [2022-05-11 15:56:38] |
| User431178 - Posts: 411 |
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`GetBarLowestPriceTickIndex` and `GetBarHighestPriceTickIndex` on the most recent 5min bar, I will be able to calculate the Number of price ticks in that bar by simply subtracting the highest index from the lowest.
I think you misunderstand what those functions do. The price tick index relates to depth data at that bar index, not necessarily contained within the high and low of the bar. The levels available would be governed by how many depth levels are loaded/present, so if you have many depth levels and there are resting orders far from current price, you will see them. Date Time Of Last Edit: 2022-05-11 15:57:27
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| [2022-05-11 16:12:32] |
| frozentundra - Posts: 84 |
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@User431178 you are absolutely correct. I must be undercaffienated. If there are orders on the book on BABA far away from current price, this exact scenario will happen. Thank you for the kind push in the right direction.
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| [2022-05-12 03:03:23] |
| frozentundra - Posts: 84 |
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Still feels odd that BABA has no market depth anywhere near the current price but every other symbol does. BABA used to, at least on my machine, a few weeks back. That doesn't seem quite right, right?
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 photo-collage.png / V - Attached On 2022-05-12 03:02:27 UTC - Size: 143.23 KB - 107 views |
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