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Date/Time: Mon, 29 Apr 2024 12:29:01 +0000

Post From: Python for Sierra Chart

[2024-02-20 16:54:53] Link To Thread - Link To Post [Go To First Post]
Deiter - Posts: 3
Yeah, I was surprised as well, but I think this is the case, based on three things: - The page in the SC docs you linked has this section: "When writing tick by tick data to an Intraday data file, where each tick is a single record in the file, and multiple ticks/trades have the same timestamp, then it is acceptable for the Date-Time of the record to be the same timestamp as prior records. What Sierra Chart itself does in this case, is increment the microsecond portion of the Date-Time to create unique timestamps for each trade within a millisecond." - The Reddit article that first got me thinking about this: https://www.reddit.com/r/algotrading/comments/169ax2x/the_hello_world_guide_to_reading_execution_data/ - and finally my own read of the .scid file. I have attached a screenshot of the raw SCDateTime data that I imported into my dataframe, showing two runs of tick data where the least significant digit/byte of the data is incrementing by one, while the rest of the SCDateTime is not changing.


ES tick by tick SCDateTime extract.png / V - Attached On 2024-02-20 16:53:46 UTC - Size: 109.09 KB - 60 views