I am using Market Data Historical Graph at 1-tick resolution to examine the traded prices, ask/bid prices and the market data. The numbers with red/green background are the sitting book orders. The two lines in the middle are the ask/bid prices. The small numbers alongs the ask/bid prices lines are the traded prices.
Most of the time the market data is out of sync with the traded price and ask/bid prices. I am using the SC real time data. I asked the question in the SC support board, and the SC people got annoyed by my question and refused any further discussion.
From a user point of view, the out of sync could be the result of
1. bad data generation from the exchange server;
2. or Sierra Chart might have a wrong way to capture the data. Market data is only saved when there are corresponding ticks, any changes in between are thrown away. However, SC right now only works at 1 second time resolution. Whether SC get the correct market data corresponding to the right trades should be a reasonable question to ask, especially when they have only 1-second time resolution. I feel that SC has the obligation to reveal more technical information on attempting to capture the right market data, to show that they have really done their best. Simply complaining about the exchange does not seem very convincing, although they may be right.
BTW, the issue of out of sync is noticeable on the SC DOM too. Sometime a buy market order comes in, but the DOM shows as if it is hitting the bid orders.
Anyone else has ever looked at the issue on other platform?