Support Board
Date/Time: Mon, 22 Jun 2026 18:55:17 +0000
Post From: Missing/incomplete historical intraday VOLUME on Denali feed — ES contracts, specific date
| [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. |