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Date/Time: Thu, 16 May 2024 09:16:51 +0000



Post From: Unknown Server Error

[2016-05-21 03:53:41]
Rusty - Posts: 38
As anticipated, encountered some problems doing the upgrade, but the upgraded copy of SC v1293 has been collecting data since I last posted. There are some vexing issues remaining: symbol conflicts, pacing violations, and MND-files.

As an example of symbol conflicts, consider the symbol for the CME GLOBEX NASDAQ-100 futures contract. Currently I employ three different instances of Sierra Chart v1293: Sierra-SC for collecting real-time data via the SCDF, Sierra-SX for collecting historical data via the SCHDS, and Sierra-IB as a backup for collecting data from IB. These configurations use three different symbols for the same contract. Consequently there are three different symbols for the filenames, chart titles, and IFULs:
..Symbol/Config____Sierra-IB______________Sierra-SC_______________Sierra-SX
..Filename________NQM6-FUT-GLOBEX______NQ-201606-GLOBEX______NQM16
..Chart Title______NQM6-FUT-GLOBEX______NQ-201606-GLOBEX______NQM16
..IFUL Symbol_____NQM6-FUT-GLOBEX______NQ-201606-GLOBEX______??
..DTS "Instance"__Interactive Brokers_______Interactive Brokers______SC Historical Data
..Find Symbol_____NQ-201606-GLOBEX_____NQ-201606-GLOBEX______NQM16
The Sierra-IB copy has used the IB standard format for years. Find Symbol » Futures now lists a different format for NQ. Other chart symbols I use are listed with slightly different formats under Find Symbol » IB Indexes: COMP-I-NASDAQ, NDX-I-NASDAQ, SPX-I-CBOE, TICK-NASD-I-NASDAQ, TICK-NYSE-I-NYSE. VXN-I-CBOE isn't listed at all. Find Symbol doesn't map to any of these symbols. I don't understand how IB backfills work if SC doesn't recognize the symbol. Is this how it works? If SC doesn't recognize the chart/IFUL symbol, it asks TWS if it recognizes the symbol. If TWS does, SC either starts a new file with that symbol or starts backfilling an existing file that has that symbol.

Beyond confusion, this scheme creates other hassles. You can't append to a GLOBEX file downloaded via the SCHDS using the SCDF in real-time without changing the filename. You can't backfill an IB filename via the SCDF, etc.

Which brings me to the next issue. The documentation states that if you have checked "Allow Support for Sierra Chart Data Feeds" then historical data for major futures contract symbols is downloaded from the Sierra Chart Historical Data Service except for the last 10 or 15 minutes which comes from the IB system. Since I got pacing violations trying to backfill the above IB symbols I conclude it was because the symbols weren't in SCHDS-recognizable format and therefore no data was downloaded from the SCHDS, and it was downloaded via TWS from IB. Right?

Pacing Violations: Why did you take the old pause-between-data-requests parameter out of the Data/Trade Service settings for IB? I used to set it to 10,000 ms, go away, and let it grind on an IFUL for hours if need be. Now I have to baby-sit the download, watch for pacing violations, and restart the download multiple times.

MND-files: SC v1293 won't read any of my intra-day MND-files. I have hundreds of them. Some contain over 10 years of data. This is one reason I stuck with v618 so long. There is no need to incur the extra storage of the SCID-format for indices and market stats that don't have bid/ask volume, etc. Furthermore, there is no easy way to convert MND-format to SCID-format. Exporting to CSV-files and importing is possible but not expeditious.