Support Board
Date/Time: Mon, 22 Jun 2026 18:55:31 +0000
Missing/incomplete historical intraday VOLUME on Denali feed — ES contracts, specific date
View Count: 42
| [2026-06-22 13:41:13] |
| User833459 - Posts: 6 |
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Hello, I have severely incomplete historical Intraday data on the Denali Exchange Data Feed for the E-mini S&P 500 (ES) on specific dates. The TIME bars are present, but the volume / number-of-trades is zero or a small fraction of the actual traded volume — i.e. the tick-by-tick trade data for these windows appears to be missing from the Denali historical archive. Affected symbols / dates (CME, times in CT): - ESU26 (Sep 2026): 2026-06-15 (evening), 2026-06-16 (entire day), 2026-06-17 (00:00–17:00) - ESM26 (Jun 2026): 2026-03-17 (from ~16:00), 2026-03-18 (00:00–17:00) The full data DOES exist at the exchange. I verified the same contracts/dates on an independent CQG feed (in another platform), which shows full daily volume: - ESU6.CME 2026-06-16 ≈ 1.8M contracts (Denali: volume bars essentially empty / 0) - ESU6.CME 2026-06-17 ≈ 1.8M contracts (Denali: ≈ 157,000 RTH) - ESM6.CME 2026-03-17 ≈ 1.6M contracts (Denali: heavily reduced) - ESM6.CME 2026-03-18 ≈ 1.7M contracts (Denali: partial) So the trades exist at CME; they are missing only from the Denali historical archive for these specific windows. Already tried: - Edit >> Delete All Data and Download (full re-download) on the individual contracts — the gap persists, and the re-downloaded data is in some cases even thinner than my originally recorded live data. - Intraday Data Storage Time Unit = 1 Tick (so this is not a local storage-resolution issue). - The gap is identical across all chart timeframes for these symbols (not chart-specific). This appears to be the same class of issue you resolved server-side in thread 102071 ("Daily/Weekly data missing from Denali exchange feed, even after delete and download"). Could you please check and correct the Denali historical archive for ESU26 and ESM26 on the dates above, so that a Delete-and-Download retrieves the full tick/volume data? Environment: Sierra Chart 2922 64-bit; Denali Real-Time Exchange Data Feed + Sierra Chart Historical Data Service; "Allow Support for Sierra Chart Data Feeds" = Yes. Thank you. Date Time Of Last Edit: 2026-06-22 14:48:15
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| [2026-06-22 15:25:30] |
| Sierra_Chart Engineering - Posts: 24094 |
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No this is definitively not true: So the trades exist at CME; they are missing only from the Denali historical archive
for these specific windows. Your conclusion is 100% incorrect. We know that with certainty. You may be comparing a Continuous Futures Contract Chart with a non-Continuous Futures Contract Chart. We checked four of our servers for this symbol and date, and they all give consistent volume: ESU6 Volume: 00:00:00 to 23:59:59 for June 16, 2026: 1080177 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: 2026-06-22 15:37:50
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| [2026-06-22 16:32:52] |
| User833459 - Posts: 6 |
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Thank you — you are right that the intraday data is present, and I was wrong to say the data is entirely missing. I have now isolated the real issue, and it is narrow and reproducible: The Historical DAILY data (volume) is incomplete for specific contract days, while the INTRADAY data for the same days is complete. Example — ESU26 (E-mini S&P 500, September 2026, CME): - Intraday (.scid) for 2026-06-16 is complete and sums to ~1.8M contracts for the day, in line with neighboring days. - The Historical Daily (.dly) bar for the SAME day (and for 2026-06-15 and 2026-06-17) reports only ~0.2-~0.5M, versus ~0.9–1.3M on neighboring days. - I deleted BOTH the .scid and .dly files and ran Delete All Data and Download. The intraday came back complete, but the daily volume came back at the same incomplete value. So the incomplete daily is coming from the historical archive, not from a local file. The same pattern appears for ESM26 (June 2026) on 2026-03-17 and 2026-03-18. (Both windows coincided with a brief real-time feed interruption on my side; the intraday was evidently backfilled correctly afterward, but the daily aggregate was not.) This matters because the Volume-Based Continuous Contract rollover uses the Historical Daily volume to detect the roll. With the daily understated on these days, the continuous chart rolls late and stays on the expiring contract through them. Switching the same chart to a Date-Rule rollover then displays full volume from the correct contract — confirming the intraday/contract data is fine and only the daily aggregate is wrong. This looks like the same class of server-side Historical Daily gap that was corrected in thread 102071. Could you please check and correct the Historical Daily data on your end for: - ESU26 — 2026-06-15, 2026-06-16, 2026-06-17 - ESM26 — 2026-03-17, 2026-03-18 so that a Delete-and-Download retrieves the correct daily volume? Environment: Sierra Chart 2922 64-bit, Denali Exchange Data Feed. Thank you. |
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