Limitations

General

• Requires depth-of-market (L2) data for the traded instrument: the indicator measures the order book itself.
• The σ band needs its full warm-up before alerts are live; earlier readings are from shorter windows or are marked provisional.
• At the default settings the deep-book warning appears only occasionally; two settings change that, and they also change the main flow readings.
• The indicator is an analytical tool; nothing it displays is investment advice or a trade recommendation.

Sierra Chart

• Live data. The indicator measures the live order book and Time & Sales from the moment the study starts. Bars from before that are blank.
• Chart Replay at 1x or 2x only. At 1x and 2x the indicator reads the replay on the replay's own time, with its own tile (<instrument> (replay)), as it reads live data. At faster speeds Sierra Chart moves the replayed order book only once per chart update, so the indicator pauses and shows REPLAY - set the replay speed to 2x or slower until the speed is 2x or slower again. Passive Flow and the deep-book readings need market depth data recorded for the day being played.
• It needs market depth and Time & Sales with the trade side. A feed that sends depth but no Time & Sales stays on WAITING FOR ORDER BOOK DATA.
• The chart update interval matters. At slower intervals more quick additions and cancellations happen between two reads and are missed, and the band gets narrower, so 3σ crossings may come more often. We recommend 50 milliseconds (see getting started).
• Fractional sizes (for example bitcoin) are rounded to whole Sierra Chart volume units, as set by the symbol's volume format.
• Very long charts. Up to 400,000 bar readings are kept per chart; past that the oldest quarter is dropped and those bars are drawn blank.
• Each chart warms up on its own, also a second chart of the same symbol.
• Sierra Chart's settings windows. A Study Settings window keeps its own copy of the inputs while it is open: values the indicator writes meanwhile (Licence Status, the console inputs after the console's X) show only when you open it again, and its OK for the console inputs is not applied when the console changed after it opened. Sierra Chart has no read-only text input, so Licence Status is a list with one entry. The box under the list drops the & from input names. The Alerts tab is Sierra Chart's own and not used by the indicator, although it may show Enabled ticked.
• The console has no armed sign for alerts: the bell looks the same whether or not a band is enabled, and nothing shows whether the global alerts are on. Saving new thresholds re-arms the bands, so a band can alert at once. After a pause or a stale period the bands are armed again too, so a reading still beyond its threshold alerts once more. The minimum alert interval runs on this computer's clock, and starts again when the clock is set back.
• Console Mode, Primary Window and Stale After on a second chart of a symbol have no effect on the shared tile while the first chart's study is on, and they are not greyed out there.
• The console is a window of its own. Without Always On Top, a Sierra Chart dialog that closes brings Sierra Chart back in front of it; its thumbnail under Sierra Chart's taskbar icon brings it back.
• When you first turn on the console with Apply (Enable Pulling & Stacking Console and Console Always On Top both Yes) while the Study Settings window is still open, it may stay behind Sierra Chart until you click OK. It then comes to the front about a second after the settings windows close. Once the console is open, opening and closing settings windows places it correctly.