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Date/Time: Sun, 26 May 2024 15:20:16 +0000



Chart Dom replay and bid ask depth bars

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[2023-07-21 18:47:32]
AndyB - Posts: 96
Hi SC Support,

I am still in a bit of state of confusion in regards to why bid ask depth bars have gaps in them on a 1 tick chart. when i replay the dom at .01 replay speed, there are dozens of updates just at the best bid and ask alone between most trades. I have not been able to come to a logical conclusion why - if the data is there and is being accessed by the bid/ask depth bars - there are times when the entire duration spent at a new bid and ask price where trades have taken place, and these ultra low time frame replays are clearly showing depth (and constantly updating depth at that) at BBO, that depth is not visualized or represented in anyway on the chart. Would you be willing to provide some clarification here? Understanding this might help me better reconstruct the tick by tick depth in my own study as I've been trying to accomplish for some time, however, the documentation is limited in this area.

As a side note -- the "Bid/Ask Depth Bars (Old)" study does not run into the issue that the current/new "Bid/Ask Depth Bars" study does, in reference to printing the subsequent bar's/price's depth ahead of time due to the time stamping issue (depth data from exchange updating in 1millisecond increments as opposed to transactions 1microsecond incrementing incrementing update approach) as noted in the Data Recording Modes -bid_ask_trade_sync documentation. I have yet to find anything on your website that dives into the fundamental differences of the studies and why the new one is better, but perhaps in a feature update, the benefits of each could be integrated into one.

For instance, in the "old" study, the ability to select what depth levels to access for the selected symbol within the chart is a seriously convenient function. Unfortunately I don't think there is any provided source code for this version of the study. The ability to have multiple depths in one chart to use basic arithmetic studies vastly cut down on your systems processing needs since an unnecessary number of charts and study/price overlays would not be required. Not to mention the added system stress of using a spreadsheet study that may be required in the mix as well. I hope this serves as useful feedback and am always looking forward to what features future updates hold.

Thank you
Date Time Of Last Edit: 2023-07-21 18:51:24
[2023-07-22 21:50:05]
Sierra_Chart Engineering - Posts: 14485
We will not spend time analyzing this.
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:
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[2023-07-23 00:09:42]
AndyB - Posts: 96
I would very much like clarification on the first paragraph. The rest was a side note
[2023-07-25 13:35:05]
Sierra_Chart Engineering - Posts: 14485
This must be timestamp related.

Provide us a chart image showing this, so we can understand it better.

Instructions:
Support Board Posting Information: Attaching or Posting a Screenshot/Image (Optional)
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: 2023-07-25 13:35:58
[2023-07-25 14:06:31]
AndyB - Posts: 96
https://www.sierrachart.com/image.php?Image=1690293466659.png


As you can see, there was a quick back and forth of the bid and ask prices in the main graph. No depth populated during this time, which isnt surprising if market orders were moving faster than depth from the CME could update. However, upon watching the replay on the DOM, there absolutely was updating depth during this time. This example was from this morning, about 30 minutes ago. I should also note that this is using the "Combine Trades into Original Summary Trade" setting under Chart Settings >> Chart Data, if that makes a difference.
[2023-07-26 15:30:50]
Sierra_Chart Engineering - Posts: 14485
We will look this over. But we think it is timestamp related.
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
[2023-08-01 20:18:16]
Sierra_Chart Engineering - Posts: 14485
We have reviewed how the Bid Ask Depth Bars study functions.

We want you to update to the latest prerelease. Set Chart >> Chart Settings >> Scale >> Include Microseconds on Intraday Chart Timescale, to Yes.

Provide an image of the chart again that also shows the timescale and with enough space in between the bars so we can see each timestamp.
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
[2023-08-14 20:06:43]
AndyB - Posts: 96
Sorry, somehow just seeing this. Attached is the image you requested. This is ES from a few moments ago.

https://www.sierrachart.com/image.php?Image=1692043551480.png
[2023-08-14 21:01:35]
Sierra_Chart Engineering - Posts: 14485
Yes this does make sense to us. Trades have a microsecond portion that market depth data does not. So where you see a nonzero microsecond portion of a timestamp we would not expect to see market depth data on those bars. Not sure why you see it on the .001 microsecond timestamps.

The microsecond portion, is from .000001 to .000999
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: 2023-08-14 21:02:17
[2023-08-18 15:37:39]
AndyB - Posts: 96
yes that makes sense, however im still seeing updating depth in the replay where its not showing on the 1 t chart

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