Date/Time: Tue, 30 May 2023 05:41:31 +0000
Wrong treatment of non-bid/ask data in Sierra Chart
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|User894256 - Posts: 1|
I found that Sierra Chart used to wrongly double count non-bid/ask tick data and classify such as ask tick data, as a result the cumulative delta volume is always positive.
I have attached 4 captures for your reference that:
1. I used Hong Kong local data from "Powerticker" provided by Megahub Limited, and then imported such data to Sierra chart to demonstrate what is correct I think.
2. Direct from Sierra Chart service.
3. AMP Quantower with CQG data can also identify such non-bid/ask tick data throughout the day.
Factual transaction is that 178 future contracts were dealt not under ask/bid trade, however (Capture no. 2) Sierra Chart direct service treats such as 356 future contracts of ask deal (178 x 2).
Capture no. 1 represents that I think both ask, bid and delta volume should be zero, but volume should be 178.
Capture no. 3 represents that by CQG data, HSI has nearly 700 future contracts dealt not under bid/ask trade, as a result Sierra Chart added 1,400 ask volume a day, especially during the period of contract month rollover, during such period many non-bid/ask trade involved.
Therefore, by Sierra Chart direct service, an ever upward of cumulative delta volume of daily chart for any year is represented regardless the downtrend or uptrend of price.
1. Correct treatment Nil in ask, bid and delta volume, but w.jpg / V - Attached On 2023-03-21 04:36:41 UTC - Size: 276.51 KB - 37 views
2. Sierra Chart treatment on non-askbid data.jpg / V - Attached On 2023-03-21 04:36:57 UTC - Size: 208.19 KB - 30 views
3. AMP Quantower with CQG data - non-bidask data.jpg / V - Attached On 2023-03-21 04:37:04 UTC - Size: 150.34 KB - 25 views
|Sierra_Chart Engineering - Posts: 8605|
We are not understanding this fully and we will not take the time to understand this. This is too involved for us and we do not help with other sources of data. Including CQG.
In the case of Hong Kong futures data when using SC Data-All Services, bid and ask volume is determined as explained here:
Alternative Bid Trade / Ask Trade: In the case of EUREX, HKFE, cash index symbols, the following method is how a trade is determined to be at the Bid or Ask price. In the case of exchange traded futures, although a trade must always occur at the Bid or Ask price, based upon the transmission of the Bid/Ask data from the exchange, often there is no synchronization between this Bid/Ask data and trades.
This is why this special algorithm is used. If the last trade price is the exact same price as previously, then if this price is equal to the current known Bid price, then it is considered a Bid Trade. If this price is equal to the current known Ask price, then it is considered an Ask Trade. Else if the last trade is an uptick or was previously an uptick, then the trade is considered to be an Ask Trade. If the last trade is a downtick or was previously a downtick, then the trade is considered to be a Bid Trade.
This section does not apply to IQ Feed data.
There cannot be any double counting of trades. Whether the allocation of volume to the bid side or the ask side is correct or not, is a question but it is what it is. If it is not useful, then do not use the data. We are not going to change this.
Sierra Chart always will allocate a trade to either bid volume or ask volume. This cannot be changed.
In the case of CQG historical tick data, how bid and ask volume is determined requires some research on our part and we cannot allocate time to that.
Sierra Chart is removing support for Hong Kong futures data through the SC Exchange Data Feed. And we may even be dropping support for CQG.
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:
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: 2023-03-23 15:15:58
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