Support Board
Date/Time: Wed, 14 May 2025 07:10:06 +0000
[Locked] - Bid, Ask and Last driven chart.
View Count: 3623
| [2016-04-19 22:19:40] |
| User760942 - Posts: 120 |
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Cool. When did you start supporting actual milliseconds? I don't believe you did when I started using your platform in 8/2015 (as explained in this post from another user Millisecond data both real time / Historical ) Date Time Of Last Edit: 2016-04-21 02:45:04
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| [2016-04-20 22:40:11] |
| User760942 - Posts: 120 |
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Hi SC, I did the following three things: 1. installed version 1397 2. Download historical intraday data from your server for symbol ESM16-BID_ASK_TRADE_SYNC 3. Made a chart for ESM16-BID_ASK_TRADE_SYNC with the setting shown in attached screenshot 1.jpg and then added the "Bid & Ask Prices" study to the chart. For some reason it is still only showing the Bid and Ask prices on Last prices and not on and/or in between Last prices. Any idea why this is? Thanks, P.S. I also tried this with the symbol ESM16-ALL instead of ESM16-BID_ASK_TRADE_SYNC, but the problem was still the same. |
1.JPG| [2016-04-20 23:17:50] |
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That data recording suffix only affects real-time stored data. Also, you will always see the last trade price that was last received every time there is a Bid and Ask update. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-04-20 23:26:46] |
| User760942 - Posts: 120 |
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What do you mean exactly by "real-time stored data" ?
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| [2016-04-21 00:29:00] |
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This is the data received in real-time. Those data recording suffixes have no effect whatsoever on historical data. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-04-21 02:11:04] |
| User760942 - Posts: 120 |
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I see. Unfortunately that won't work for my needs:( Here is a simple real life scenario of what I (and probably some of your other users) am trying to accomplish. Perhaps there is an alternative solution (such as the "Study/Price Overlay Study" explained here http://bit.ly/1qErtIN ) you could recommend? (FYI, just to be clear, when I say "1 Tick Bid Bar" below, I am referring to any change in Bid Price and/or Bid Volume that happens ON OR in between Last prices. Same situation regarding Ask Price and Ask Volume when I say "1 Tick Ask Bars" ) My strategy's Long Entry signal is based on 1 minute Last bars. However, its Long Exit signal is based on analyzing (rather complex) changes in volume and price of 1 Tick Bid Bars. Because the exit signal is rather complex, its pretty much impossible for me to test to see if I've programed it right unless I can view the 1 Tick Bid Bars in the backtesting results. It would also help a lot if in the backtesting results I could also see 1 Tick Ask Bars and 1 Tick Last Bars alongside the mentioned 1 Tick Bid Bars (all in the chronological order they happened in) because this would let me test to make sure I didn't accidentally program my exit strategy to respond in any way to 1 Tick Ask bars and/or 1 Tick Last Bars instead of 1 Tick Bid Bars. Thanks, P.S. I'd also like to mention that adding 1 Tick Bid Bars and 1 Tick Ask bars (as they are defined above) to a chart is a standard feature in both Ninjatrader and Multicharts. I feel Sierrachart is a far superior platform to both of them and don't understand why SC does not have this ability. Also, the feature/capability I'm requesting is very much in your broker's interests. This is because this feature/capability is pretty much a requirement when doing high frequency trading. And high frequency trading equals more commissions for your brokers. |
| [2016-04-21 02:36:05] |
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How is 1 Tick Bid Bars and 1 Tick Ask bars any different than -BID and -ASK documented here: https://www.sierrachart.com/index.php?page=doc/doc_RecordingModes.php And when the chart bars are set to Number of Trades=1. Those other programs certainly cannot obtain this data historically. It is not available. The Sierra Chart Exchange Data Feed does store the best bid and ask prices whenever a trade occurs but not in between trades. We know of no data feed that stores this information. We have no interest in storing that information because it takes too much space. It generally would be a detriment to the wider user base. So we really are not sure what Sierra Chart is missing here compared to the other programs. And would seem a simple matter to make minor changes to do what the other programs are doing once we understand exactly what that is. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-04-21 02:43:04] |
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The millisecond part of the times of Intraday data in a text format were supposed to be imported. But that was not properly implemented. This is now fixed. We did not look back on the previous discussions. This is how it currently is intended to work since Sierra Chart can export times with milliseconds. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-04-21 02:43:29
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| [2016-04-21 05:06:27] |
| User760942 - Posts: 120 |
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How is 1 Tick Bid Bars and 1 Tick Ask bars any different than -BID and -ASK documented here: https://www.sierrachart.com/index.php?page=doc/doc_RecordingModes.php Here is the difference: The -BID and -ASK do not include any data that happens in between trades. The 1 Tick Bid Bars do include all changes to the Bid Price and/or Bid Volume that happened on or in between trades. The 1 Tick Ask Bars do include all changes to the Ask Price and/or Ask Volume that happened on or in between trades. Those other programs certainly cannot obtain this data historically. It is not available. Multicharts allows one to record this data themselves or download it from their broker's servers. I have downloaded this data into multicharts from Amp Futures's servers. I'm guessing AMP would allow Sierrachart users to do the same. Ninjatarder allows users to record this data themselves or download it from their paid ($55 a month) kinetick.com services or download it from their Continuum server if you have a live ninjabrokerage account. So we really are not sure what Sierra Chart is missing here compared to the other programs. And would seem a simple matter to make minor changes to do what the other programs are doing once we understand exactly what that is. Here is what I suggests regarding getting this data into Sierrachart (note: Its very important you support real milliseconds (or even microseconds or nanoseconds) rather then "counter milliseconds" so this data can be kept in synch on a subsecond level) At a minimum: -Allow users to import it from .CSV/.TXT files -Allow users to record it from live incoming data Would be nice, but not required: -Allow users to download it from the servers of any brokers who offer it (such as AMP) -Start recording it yourselves and let users buy/download it from you for an additional monthly fee (Id definitely be happy to pay extra per month for it.) Here is what I suggests regarding accessing/using this data once it is in Sierrachart (FYI: The following description is very similar to how the other trading platforms i mentioned do this.) -In the area pointed to by the red arrow in attached 1.jpg add a dropdown that lets the user select one of the following: LAST, BID, ASK or MID. Their selection will determine if the "Intraday Chart Bar period" (pointed to by the blue arrow) will be based on the LAST, BID, ASK or MID. -All options in the "Intraday Chart Bar period" will remain the same if BID, ASK or MID is selected (instead of LAST) except for the option pointed to by the green arrow in 1.jpg. If BID, ASK or MID is selected the option pointed to by the green arrow in 1.jpg will say "Number of Ticks" per bar rather then "Number Of Trades Per Bar" Date Time Of Last Edit: 2016-04-21 05:09:14
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| [2016-04-21 05:20:57] |
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The -BID and -ASK do not include any data that happens in between trades. I have downloaded this data into multicharts from Amp Futures's servers. I'm guessing AMP would allow Sierrachart users to do the same.
We are 99.9% certain that this is not correct. Ninjatarder allows users to record this data themselves or download it from their paid ($55 a month) kinetick.com services or download it from their Continuum server if you have a live ninjabrokerage account. This data does not exist historically. kinetick.com is DTN IQ Feed and they do not have this data. And certainly you are not going to get it from a broker. We have never heard of such a thing. CQG does not have the data either. This is already the case and always has been: -Allow users to import it from .CSV/.TXT files -Allow users to record it from live incoming data Would be nice, but not required: -Allow users to download it from the servers of any brokers who offer it (such as AMP) -Start recording it yourselves and let users buy/download it from you for an additional monthly fee (Id definitely be happy to pay extra per month for it.) Clearly, you have had a misunderstanding about this. If you think you have been getting this data historically, we are certain you are mistaken about this. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-04-21 05:41:54
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| [2016-04-21 05:28:02] |
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And also we waste massive amounts of time screwing around with screwed up historical data systems from other services both with development and support. We would never integrate to another historical data service ever again! We made an exception with the integration to CQG historical data but it was a special exception. And it is only used in special cases. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-04-21 05:28:24
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| [2016-04-21 05:38:37] |
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We verified now that IQ Feed (Kinetick.com) simply does not have this data: http://www.iqfeed.net/dev/api/docs/HistoricalviaTCPIP.cfm They have nothing of the sort. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-04-21 05:39:28] |
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Also this discussion has to come to an end, we have spent far too much time on this. We will only be answering further within our discretion. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-04-21 06:01:01] |
| User760942 - Posts: 120 |
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This is simply *not* true! These data recording modes do record all bid and ask updates in between trades. I did not know that, that great news! Now lets assume I used the -BID suffix to recorded all Bid updates for ESM16 that existed on and in between Trades. How would I go about making a chart that shows all Bid updates for ESM16 that existed on and in between Trades? I'm guessing I'd start via opening a chart for symbol ESM16-BID, but am not sure what I'd select in "Chart Settings" under "Intraday Chart Bar period" |
| [2016-04-21 18:20:37] |
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This is very basic but we will put together documentation for this. Also, we recommend using the Sierra Chart Exchange Data Feed so you can test this with real-time data: Sierra Chart Exchange Data Feed 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-04-21 23:56:29] |
| User760942 - Posts: 120 |
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Fantastic. Please give me a heads up on this thread once you have put together documentation on this.
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| [2016-04-25 17:58:04] |
| User760942 - Posts: 120 |
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HI SC, no huge rush, but just curious if you have an ETA on when you'll add the documentation that explains how I can accomplish post #38 of this thread. Days? Weeks? Thanks |
| [2016-04-25 18:26:50] |
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This will be done today. In about an hour or two.
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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-04-26 06:05:00] |
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Here is the documentation: https://www.sierrachart.com/index.php?page=doc/doc_RecordingModes.php#Creating1TickBidAskChart This thread is now locked. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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