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Date/Time: Fri, 21 Jun 2024 09:05:30 +0000



TPO Cross-Session Merge Irregularity

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[2023-01-23 11:52:01]
kas64h - Posts: 87
I've noticed if TPO Profiles from different sessions are merged, the resultant Profile looks incorrect.
I've attached two examples to illustrate the issue (see links below), rather than attempting a lengthy written explanation.

Example 1: https://www.sierrachart.com/image.php?Image=1674474209117.png
Example 2: https://www.sierrachart.com/image.php?Image=1674474310873.png

NB: Evening Session is NOT used.
When inserting Imbalance Pockets, I automatically record the Profile Volumes, and these appear to be correct (reasonable at least without delving into code).
Therefore, I believe it's just a visual inconsistancy on the chart (rather than an underlying volume issue), unless this was the intention.

I can't ever remember seeing anything like this before.
I'm using Pre-release 2474, but this may have arisen in a much earlier version.

Thanks.
Date Time Of Last Edit: 2023-01-23 12:08:38
[2023-01-23 21:58:31]
John - SC Support - Posts: 32500
The first thing to check are your Session Times. Make sure your session times are not overlapping. For example, if you have session times of the following:
- Start: 08:30
- End: 16:00
- Evening Start: 16:00
- Evening End: 08:30

This is going to cause problems, particularly for the TPO Chart. Your Session Times need to set the End Time to the last second before the start of the next session, so they should be the following:
- Start: 08:30
- End: 15:59:59
- Evening Start: 16:00
- Evening End: 08:29:59

If it is not a session times issue, then please get us a Chartbook with that chart so we can take a look at it. Refer to the instructions at the following link:
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
[2023-01-24 09:26:23]
kas64h - Posts: 87
Hi,

I'm UK based, and the Chart Session Times are not overlapping. They are:
- Start: 07:00:00
- End: 20:59:59

Use Evening Session is set to 'No'

I have been using these settings for Years and have never encountered this issue before.

Please find attached a Chartbook as requested.
Private File
[2023-01-24 16:48:19]
John - SC Support - Posts: 32500
What is your Global Time Zone set to?
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2023-01-24 17:12:33]
kas64h - Posts: 87
London (+0 GMT/+1 BST)
[2023-01-24 18:16:15]
John - SC Support - Posts: 32500
Had you split any profiles before merging? We do not see the exact same data as what you are showing in your images. In addition, you should not have a TPO that starts at 20:59:01.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2023-01-24 20:50:59]
kas64h - Posts: 87
Yes, for the 3 examples marked-up in the Chartbook I sent (and the 2 examples images in my first post), I split the last Profile of each Session (i.e. the Profile immediately before each Profile starting 07:00:01), purely to emphasise the issue.
I.E. So each Un-Split Profile prior to each 07:00:01 Profile, started at 20:20:01.
The Profile Start Time of 20:20:01 is in keeping with the Profile Time Period Length of 100 Minutes within the TPO Profile Chart Study (i.e. 07:00:01, 08:40:01, 10:20:01 etc. all the way up to 20:20:01)
I split these Profiles until the 'last' remaining Profile of each Session started at 20:59:01, and could not be split out anymore.
The reason for doing this was purely to emphasise how after merging, the new Profile looks way too skinny.

I only did this for the examples labelled.
BTW - I've just noticed an error in my labelling of the examples - The Dates and Times are correct, but the Days are not - clearly every example Day is NOT a 'Fri' - Apologies! [This does not affect issue at hand]

To find examples where the Profiles remain completely un-split (un-touched if you like), simply scroll back through the Chart I sent to earlier Dates (anywhere back before the Profile beginning Thu 2023-01-19 07:00:01)
So, for example merge Profiles Thu 2023-01-19 07:00:01 and Wed 2023-01-18 20:20:01 OR Wed 2023-01-18 07:00:01 and Tue 2023-01-17 20:20:01 (i.e. each example must span different sessions)
You should see the same issue.

For clarity I have attached before and after merge images where NO Profiles have been split prior to the merge!

Example 3: Profiles Thu 2023-01-19 07:00:01 and Wed 2023-01-18 20:20:01: https://www.sierrachart.com/image.php?Image=1674593222545.png
Example 4: Profiles Wed 2023-01-18 07:00:01 and Tue 2023-01-17 20:20:01: https://www.sierrachart.com/image.php?Image=1674593359635.png

I hope this helps clarify the issue I'm attempting to illustrate.
Date Time Of Last Edit: 2023-01-24 20:52:02
[2023-01-24 22:58:30]
John - SC Support - Posts: 32500
The problem is that you are merging profiles across a break in the time. Therefore, when you merge these profiles, the time for the period starts at 20:20, but the session times end at 20:59:59 and the data from the merged period is outside of the session times, so all the data gets squished into a single period to fit in at the end of the session time.

You would not see this with a Daily TPO, since you are merging two profiles that cover the same time period.

You also will not see this issue if you merge two profiles that are both contained within the session times (like 17:00 and 18:40).

In other words, you can't do what you are trying to do with that merge of those particular times, the system is not setup to handle it.
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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