Historical Chart Prices
- 12.1 - Historical Daily Bars Session Times and Evening Session Trading
- 12.2 - Comparing High And Low In a 24 Hour Historical Daily Chart To an Intraday Chart
- 12.3 - Historical Chart Last Price
- 12.4 - Origin of Data in a Historical Chart
- 12.5 - When a New Historical Chart Daily Bar Begins
- 12.6 - Always Beginning Historical Chart Bar at Specified Time According To Symbol
- 12.7 - Displaying Last Trade Price Instead of Official Settlement Price
- 12.9 - High/Low of Last Bar Includes Prior Trading Day Session
- 12.10 - Close Price is Official Settlement Price for Historical Daily Chart Bars
- 12.11 - Differences with Historical Data Due to Dividend Adjustments
- 12.12 - Duplicate Bar in Historical Chart
12.1 - Historical Daily Bars Session Times and Evening Session Trading
This section describes Historical Daily data which is viewed through Historical charts which are opened with File >> New/Open Historical Chart or File >> Find Symbol >> Open Historical Chart.
For most of the Trading services Sierra Chart supports, the Historical Daily data is downloaded from the Sierra Chart Historical Data Service.
With this service, the Open, High, Low, Close prices are obtained from the exchange where the symbol trades. The exchange always provides the full 24 hours of trading for the symbol. Therefore, the trading activity during both the day and evening session will always be included. However, in the case of US equities, the Open, High, Low, Close prices are based upon the day session trading only.
To know what the Session Times are for the Open, High, Low, Close prices, consult with the exchange symbol/contract specifications on the exchange websites. The Session Times cannot be changed for Historical charts. These are defined by the exchange.
Other than the last bar in the chart, the closing price of a bar in a Historical Daily chart is the official settlement price from the exchange. Although in the case of a symbol that has no streaming real-time data available for it, like an expired futures contract, then the last bar in its Historical Daily chart will have the official settlement price.
There is a calculation method that an exchange uses for the official settlement price. It is not the final last trade price for the day. This is something to be aware of because it can be misleading.
The Sierra Chart Time Zone setting does not in any way affect the starting and ending time of the Daily chart bars.
When you compare the Historical chart daily prices which include the full 24 hours of trading, to the daily quote data from other services which do not include the evening session trading, you may see the High is greater or the Low is lower in the Historical chart. This is to be expected.
Historical Daily data downloaded direct from some of the supported Data or Trading services which do not use the Sierra Chart Historical Data Service, may only include the Day session. However, this is rarely the case.
To control the Session Times for Daily bars, you need to use an Intraday chart. Refer to Creating Daily Bars with Custom Session Times.
12.2 - Comparing High And Low In a 24 Hour Historical Daily Chart To an Intraday Chart
If you compare the High and/or Low in a Historical Daily chart that uses 24 hour bars with the highest high or lowest low for the same time period in an Intraday chart, they may not match if your Intraday chart during the same time period does not contain the full twenty-four hours of trade data or has incomplete data.
You also need to understand what are the trading session times used for the bars in a Historical Daily chart. In other words you need to fully understand what are the specific starting and ending times for a Daily bar when comparing to an Intraday chart to make sure you are comparing to the very same time periods of data. Consult with the exchange for the trading session times for the particular symbol you are looking at.
Please do not contact Sierra Chart support on this particular subject. This is outside the scope of our support.
12.3 - Historical Chart Last Price
The Last or closing price for the current most recent day in a Historical Daily chart always displays the most current last received price for the symbol from the real-time data feed, if connected to the data feed (File >> Connect to Data Feed).
If there is 24 hours trading for a symbol, then it will not show the day session close or official settlement price. It will show the most recent trading price received. For information about the official settlement price, refer to Close Price is Official Settlement Price for Historical Daily Chart Bars.
If you want the last trade price on the last bar in a Historical Daily chart to be what was last received from the historical data service, then select Chart >> Chart Settings >> Advanced Settings. Disable Allow Real-Time Updating of Historical Chart.
Additionally, to ensure you have the most up-to-date values for the last bar in the chart, select Edit >> Download Data - Historical Chart. Press the OK button. This only needs to be done once per symbol and not per chart.
12.4 - Origin of Data in a Historical Chart
The data in a Historical Daily chart opened with File >> New/Open Historical Chart or File >> Find Symbol >> Open Historical Chart, comes from the data in the Daily data chart data file (.dly file extension).
This Daily chart data in the file is downloaded from one of two sources. In most cases it is downloaded from the Sierra Chart Historical Data Service. Or it is downloaded from the Data or Trading service you are using Sierra Chart with.
When Sierra Chart downloads historical Daily data, it requests all available historical data from the service with data records of a 1 Day timeframe. From this data, bars of a longer time frame can be created. This includes bars that are the specified number of Days and Weekly, Monthly, Quarterly, and Yearly bars.
It is also possible to create Daily or higher timeframe bars from Intraday data. This will be the case if Intraday Chart Only is selected in the list box above the Chart >> Chart Settings >> Intraday Chart Bar Period frame.
When Sierra Chart is connected to the data feed (File >> Connect to Data Feed), the very last bar in a Historical chart is updated with what is known as the Current Quote data from the Data or Trading service you are using. Unless Chart >> Chart Settings >> Advanced Settings >> Allow Real-Time Updating of Historical Chart is not enabled.
You can see this Current Quote data by selecting Window >> Current Quote Window when the chart is selected. This data is only held in memory. When there is a new bar added to the Historical chart or there is a reload of the Historical chart from the local data file, this data is temporarily cleared from the chart. However, it will reappear on the very last bar within a second. The Current Quote data is never written to the Historical Daily data file. It only affects the very last bar in the chart.
If there any data errors with the Current Quote data, then you need to contact the Data or Trading service provider about this. However, the first thing to do is to select File >> Disconnect and File >> Connect to Data Feed to reset the Current Quote Data for the symbols currently being tracked. After this is done go to the Historical chart and select Chart >> Reload and Recalculate to ensure the data is reloaded. This will often solve the problem.
If this does resolve the problem, what it indicates is that the particular data feed being used does not periodically refresh the Current Quote data throughout the trading day.
If you do not want to include the Current Quote data from the real-time data feed in the Historical chart, then select Chart >> Chart Settings >> Advanced Settings and disable Allow Real-Time Updating of Historical Chart.
12.5 - When a New Historical Chart Daily Bar Begins
In a Historical Daily bar chart, when a new bar begin depends upon the historical Daily data service being used.
In the case where the historical Daily data service provides Historical Daily bar data which has tomorrows timestamp when the evening trading session begins for symbol in the previous day, then a new Daily bar will begin when the Historical Daily bar data is downloaded for the symbol anytime after the evening session begins, from that data service.
In Sierra Chart, there are various rules which cause a historical Daily download for a chart. To perform a historical data download for all of the open Historical charts, select Edit >> Download Data for All Historical Charts.
Otherwise, a new bar will not begin until midnight according to the Time Zone setting in Sierra Chart. It could begin sooner if historical data has not been downloaded since 24 hours for the symbol.
If you want a new bar to appear in a Historical Daily chart at the start of the new trading day, then follow the instructions in the 12.6 - Always Beginning Historical Chart Bar at Specified Time According To Symbol section.
The Sierra Chart Historical Data Service does provide Historical Daily bar data with tomorrow's timestamp when the evening session begins for the symbol. This data service is used by many of the Data and Trading services supported by Sierra Chart. These services include: TransAct, Trading Technologies, Rithmic, Sierra Chart Historical Data, Interactive Brokers, OEC, CQG, Currenex.
12.6 - Always Beginning Historical Chart Bar at Specified Time According To Symbol
It is supported to always begin a new Historical Daily chart bar at the end of a chart when connected to a real-time data feed, at a specific time according to the Session Times of the symbol.
For example, if the new trading day begins at 17:00:00 US Eastern time, then you can cause a new Historical Daily bar at the end of a chart to begin at that time. Follow the instructions below to accomplish this.
- Select Global Settings >> Symbol Settings on the menu.
- Locate the symbol or symbol pattern in the list of Symbols that you want to have a new bar start at a specific time for, at the last bar in a Historical Daily chart. If the symbol or symbol pattern is not in the list, then it needs to be added. For additional information about adding a symbol or symbol pattern to the Global Symbol Settings, refer to Global Symbol Settings.
- Select the symbol or symbol pattern in the list of Symbols.
- Select the Intraday tab.
- Set the Intraday Chart Session Times >> Time Zone, Start Times and End Times.
These need to be according to exchange specifications. A new bar will start at the Start Time you set. Or, the Evening Start Time if it is set to a value other than 00:00:00.
It is essential that the Time Zone be set. The Time Zone needs to be set to the time zone that the Session Times are relative to. Usually this will be the time zone of the exchange.
- Enable the option Start New Daily Bar at Session Start. This must be enabled.
- Press OK to save the settings.
- Now that you have defined Session Times for particular symbol, then in a Historical Daily chart, at the last bar in the chart, a new bar will begin at the Start Time if you are connected to a real-time data feed.
If after following the procedure above, you notice what appears to be a missing bar just before the last bar in the chart during the evening trading session for a market, then the problem could be that the data provider is not providing the historical daily data for the trading day which has just finished. The first step is to select Edit >> Download Data-Historical Chart and download the latest data.
If there is still the missing bar, then select Edit >> Edit Data-Historical Chart. Go to the very end of the file in the editor and look at the last date. The last date in the file should be the date of the trading day which has just has finished. If you do not see that date, then the problem is as explained where the data provider is not providing data for the for the trading day which has just completed. Contact your data provider in this case.
12.7 - Displaying Last Trade Price Instead of Official Settlement Price
For bars other than the most recent/latest bar in a Historical Daily chart, the Close price for the bar will always be the official settlement price provided by the exchange when using the Sierra Chart Historical Data Service. For other historical data services, this will depend upon the data provider. Usually it is the official settlement price.
To see the last trade price on Historical Daily chart bars instead of the settlement price, follow the instructions below.
- Select File >> Find Symbol.
- Select the symbol from the lists.
- Press the Open Intraday Chart button.
- Select Chart >> Chart Settings.
- Set the Chart Data Type to Intraday Chart Only.
- Set the Bar Period Type to Days-Minutes-Seconds Per Bar .
- Set the value in the box below to 1-0-0 (1 Day per bar).
- Press OK to save the settings.
- For an alternative method to change the chart bars to 1 day per bar, refer to Changing the Period of the Chart Bars.
12.9 - High/Low of Last Bar Includes Prior Trading Day Session
When historical data is downloaded for a Historical Daily chart, and data for the next trading day is received, and a new bar is created, but this new bar contains the prior trading session High and Low values, then this would indicate the data feed you are connected to with the particular Data or Trading service you are using, has not reset the current Daily High and Daily Low values for the symbol.
Follow these instructions to reset them.
- Select File >> Disconnect.
- File >> Connect to Data Feed.
- Once you are connected as indicated by the green box in the Status bar below the main menu, then select Edit >> Reload All Charts.
- Be sure to wait until you have the connection before reloading the charts. The reloading is necessary to clear out the the prior Daily High / Low from the last bar in the Historical charts.
- You can also perform a reload individually of a chart by selecting Chart >> Reload and Recalculate. This method is more efficient if you have just a few Historical charts open and many more Intraday charts.
12.10 - Close Price is Official Settlement Price for Historical Daily Chart Bars
Usually there will be a difference between the close price of a bar on a Historical Daily chart compared to the close price of a bar at the corresponding time on an Intraday chart.
Therefore, you cannot accurately compare the close price of a bar on a Historical Daily chart compared to the close price of a bar at the corresponding time on an Intraday chart. Usually they will not match! Do not contact Sierra Chart support about these price differences.
When the market is open for a symbol, the close/last trade price of the last bar in a Historical Daily chart should match the close/last price of the last bar in an Intraday chart of the same symbol, as long as the Session Times for the Intraday chart are set to display all 24 hours of trading.
This particular section on this page, describes comparing the close price of bars other than the last bar in a chart.
Historical Daily charts use the official settlement price for the closing price of a bar and this usually is different compared to Intraday charts.
The official settlement price from the exchange is calculated using a certain algorithm. This algorithm can be found in the futures contract specifications on the exchange website the symbol trades on. This official settlement price is not the same price as the last trade price at the end of the trading session.
In general the close prices will not match between Historical Daily charts and Intraday charts.
It is not possible to adjust the Session Times in Chart >> Chart Settings for Historical Daily charts. They are not used because they are set by the exchange or data provider the data originates from.
12.11 - Differences with Historical Data Due to Dividend Adjustments
When comparing the historical prices for a particular day in a Historical Daily chart to another data source for the same day or to the same chart in another instance of Sierra Chart, and you notice differences with the Open, High, Low, Close prices, then this may be because the data in Sierra Chart is adjusted for dividends. Or it is not adjusted and you are comparing to historical price data which is adjusted for dividends.
Select Global Settings >> Data/Trade Service Settings.
Check the setting of Download Dividend Adjusted Historical Data. If it is enabled, then disable it.
After changing this setting, go back to the Historical Daily chart where you noticed differences compared to another data source or to another instance of Sierra Chart and select Edit >> Delete All Data and Download. This will correct the data. This only needs to be done once per symbol.
12.12 - Duplicate Bar in Historical Chart
When Sierra Chart is connected to the data feed, Historical charts are updated with the current data from the data feed. This data is only stored in memory and is not written to the Historical chart data file.
If a new day begins, the market for the symbol has not yet opened, and the data feed is still providing the previous days data, then you might see a duplicate bar at the end of the Historical chart.
This last bar will be similar or the same to the bar before it.
The first step for this kind of problem is to reconnect to the data feed to make sure the daily quote data is correct for the symbol. Refer to Reconnecting to Data Feed.
If this does not resolve the problem then make sure that global Time Zone setting in Sierra Chart matches the time zone of the exchange where the symbol trades. Refer to Time Zone for instructions.
It is also possible to set a specific time zone on the chart itself. Refer to Using Different Time Zone in Individual Charts for instructions.
The last solution to this problem is to uncheck the option Chart >> Chart Settings >> Advanced Settings >> Allow Real-Time Updating of Historical Chart.
*Last modified Wednesday, 01st November, 2017.