Support Board
Date/Time: Thu, 03 Jul 2025 11:15:48 +0000
Post From: Question about historical data
| [2015-06-10 20:43:40] |
| User911705 - Posts: 89 |
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Hello, I'm trying to troubleshoot a situation that strikes me as odd. I am comparing the following two situations, each in a different Sierra install on the same computer. Scenario 1: feed set to SC Historical Data, set to collect tick data,looking at data for ESH15. Scenario 2: feed set to CTS, set to collect tick data, downloading data for the same instrument and contract expiry (note this is an expired contract)but obviously needing to employ the CTS symbol. Now, it was my understanding that downloading historical data between these two setups should be identical as the historical data is coming from Sierra. The data on the Sierra install was NOT collected live, this install was just done yesterday so it's absolutely historical downloaded data (bearing in mind this is an expired contract). Here's the issue: I'm looking at a specific block of bars in each install. The price bars are all identical, and the volume bars (volume per bar) is identical. However, I also have a VolumeByPrice study for this block of bars (ticks per volume bar set to 1, which seems to provide the highest degree of accuracy), and the volume at price is NOT the same. It's similar, but for example the POC's are off by several points. Additionally, the time to actually download the data is roughly 10 times faster in the install with CTS set as the feed. TO me this suggests it's downloading some sort of coarser grained data set. I've repeatedly closed Sierra, deleted the data files, re-downloaded, and found the same occurrence. Can you please confirm that it is the case the data being downloaded is indeed from Sierra in both cases. And if so, what is causing this data variation. As near I can tell it seems like the data in the CTS install is NOT coming from Sierra. Anxiously awaiting your advice, thank you. Date Time Of Last Edit: 2015-06-10 20:44:54
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