Support Board
Date/Time: Sat, 30 May 2026 14:14:13 +0000
Post From: Computing bar index N's timestamp from a scid file outside of Sierra Chart
| [2026-05-06 19:02:14] |
| cmack1011 - Posts: 194 |
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Can I ask a different question in this string? I'm building an external Python tool that reads .scid intraday tick files and reconstructs OHLC bars on a fixed time interval (10-second bars). I want my Python-generated bars to match the bars Sierra Chart shows on screen for the same symbol and timeframe. My goal is to read .scid files in Python and produce OHLC bars that exactly match what an ACSIL custom study would see in sc.High, sc.Low, sc.Open, sc.Close arrays. I'm seeing systematic differences between my Python-reconstructed bars and the bars displayed in Sierra Chart, particularly in pre-market periods. The differences are small (1-3%) during regular session hours, but much larger in low-liquidity pre-market periods. My Python reader currently includes every record in the .scid file when computing bar OHLC and volume. I suspect Sierra Chart may be filtering certain trade conditions or record types when building its internal bar arrays. My questions: When Sierra Chart constructs bar OHLC values for an intraday chart from a .scid file, are any trade conditions or record types filtered out by default? For example, are out-of-sequence trades, late trades, opening/closing prints, dark pool reports, or odd-lot trades excluded from the bar high/low/open/close calculations? Are there chart settings or symbol settings that control which records contribute to bar OHLC vs which are ignored? If so, where are these settings located? For a tick whose timestamp falls exactly on a bar boundary (e.g., a tick at 11:05:00.000 for 10-second bars starting at 11:05:00), does that tick go into the bar starting at 11:05:00 or the bar ending at 11:05:00? Is the bar interval [start, end) or (start, end]? Beyond the .scid file, does Sierra Chart pull intraday OHLC data from any other source files (e.g., .depth, .dly) that I would need to incorporate to reproduce SC's bars exactly? Is there a documented reference for the bar-construction algorithm that I could consult to ensure my Python reader produces matching results? Thanks for any guidance. |