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Direct MessagesDate/Time: Thu, 25 Apr 2024 16:18:20 +0000
Post From: Sierra users, how good is your data feed?
| [2020-01-17 16:15:28] |
| JM-JO - Posts: 38 |
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I share a study (source code and DLL are attached) which timestamps the ticks arriving from data feed. The study writes all the ticks into a .csv file. The .csv file can be read by a spreadsheet (Excel for instance) after conversion. The timestamps have millisecond precision. The study necessitates the bar period to be set : - for indexes : 1 second. - for tradables : 1 trade per bar. The study refresh is based on the Chart Update Interval of Sierra Chart. In order to get optimal measurements I recommend to set Chart Update Interval to 10 ms (Chart Settings >> Advanced Settings), and use a chartbook that can handle 10 ms updates (that means ideally charts with no other study). And for even better results, minimize the chart windows and Sierra. A few notes: - timezone difference between the computer and market data is handled automatically by the study. - to get optimal timestamps I recommend to synchronize Windows before lauching the study or at least check its sync on www.time.is . - the study does not write into the .csv file during a recalculation or during data download (data would be wrong). - daily reset for intradayindex is 18:00 (it can be changed in line 125 of the code). Maybe you are wondering what is the point of timestamping ticks at millisecond precision since Sierra does not yet offer milliseconds. Actually by observing the first ticks of every second, and the last ticks of every seconds you will get an estimation of the data feed lag. In my next post I will show a few examples of how to read the data acquired by the study. |
 TimeStampDataFeed_v1.0_64.dll - Attached On 2020-01-17 16:14:07 UTC - Size: 890.5 KB - 558 views TimeStampDataFeed_v1.0.cpp - Attached On 2020-01-17 16:14:34 UTC - Size: 9.07 KB - 335 views |