Support Board
Date/Time: Thu, 03 Jul 2025 18:22:07 +0000
Scid records question, found open field which is not 0, FIRST_SUB_TRADE, or LAST_SUB_TRADE
View Count: 107
| [2025-06-14 21:26:01] |
| dam5h - Posts: 4 |
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I came across historical data in some tick files that doesn't seem to match the expected values of the following options: SINGLE_TRADE_WITH_BID_ASK = 0.0; FIRST_SUB_TRADE_OF_UNBUNDLED_TRADE = -1.99900095e+37; LAST_SUB_TRADE_OF_UNBUNDLED_TRADE= -1.99900197e+37; What does that mean? The records have huge volume but a 0 trades count and 0 for both bid and ask volume. In this case the open value shows a price for the underlying instead of one of the constants above and they occur around this time for ESH23 2023-03-07T20:27:00Z. Is this simply an anomaly in the data or are other values supported than the 3 listed above? Thank you for the SW and data it is a joy to use. Cheers. |
| [2025-06-15 13:28:57] |
| Sierra_Chart Engineering - Posts: 20064 |
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Provide us the exact values of all of the fields. So we can understand what this record may be. And is that timestamp, in UTC? 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 |
| [2025-06-16 01:10:38] |
| dam5h - Posts: 4 |
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Sure, here is the full debug representation of the weird records from the ESH23 contract, which otherwise is fine. IntradayRecord { date_time: 2023-03-07T20:27:00Z, open: 3990.0, high: 3990.25, low: 3988.25, close: 3988.25, num_trades: 0, total_volume: 2841, bid_volume: 0, ask_volume: 0 } IntradayRecord { date_time: 2023-03-07T20:28:00Z, open: 3988.25, high: 3988.75, low: 3987.5, close: 3988.0, num_trades: 0, total_volume: 2409, bid_volume: 0, ask_volume: 0 } IntradayRecord { date_time: 2023-03-07T20:29:00Z, open: 3988.0, high: 3989.25, low: 3987.75, close: 3988.75, num_trades: 0, total_volume: 2339, bid_volume: 0, ask_volume: 0 } All other ES scid files that I have seem fine too, just these records. And it should be UTC timestamps. Maybe I should try to delete and re-download? Looking at the evenly rounded timestamps, this kinda look like the old 1 second snapshot compressed data, however I did since change to always storing single trade tick data in the settings but maybe this one file has a little of both? Thank you. |
| [2025-06-17 19:12:18] |
| Sierra_Chart Engineering - Posts: 20064 |
|
We do not know what the source of this data is. There should be bid volume and ask volume. Unless there was some data outage and we had to patch the data from another source. Re-download the data and see if you get tick by tick data. Assuming the Intraday Data Storage Time Unit is set to 1 Tick. 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 |
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