Support Board
Date/Time: Sun, 19 Oct 2025 22:57:47 +0000
[Programming Help] - Urgent Clarification Required on VWAP Discrepancies
View Count: 149
| [2025-09-30 06:58:21] |
| User198120 - Posts: 3 |
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Dear Vijay, Been now more than a week. Any update on this? On Fri, Sep 26, 2025 at 10:52 AM Nalin Srivastava <captainnks@gmail.com> wrote: Dear Vijay, It is now clear that the issues with backadjustment stem from the way the data feed for futures is constructed. Since trust in data is the foundation of every trading decision, I am unable to rely on the current feed for professional use. In the spirit of cooperation, I request that my data service be paused until this matter is resolved. I would be very happy to restart the service as soon as the feed is corrected, and I look forward to your update on this progress within the timeline we discussed. Warm regards, Nalin On Thu, Sep 25, 2025 at 9:55 AM Nalin Srivastava <captainnks@gmail.com> wrote: Dear Vijay, As discussed, I have been studying this issue further and reviewing Sierra Chart’s documentation on Continuous Futures Contract functionality: Continuous Futures Contract Charts As your email to Sierra says "We feel until contract-wise symbols are mapped with NIFTY-I.NFO and their respective expiries, proper adjustment will not occur" That is absolutely correct. Unless contract wise data is shared with Sierra, backadjustment cannot work correctly. In current symbol NIFTY-I.NFO, there are no individual contracts or expiry references, and therefore backadjustment simply does not function. In fact, the gap between adjusted and non-adjusted data is visible across all symbols, not just NIFTY. This clearly indicates the need for Individual contract for constructing the backadjusted data. As a temporary workaround, I have had to subscribe to TradingView Premium just to get properly backadjusted futures data for my analysis. But frankly, having to pay for an additional feed while I am already a paying GDFL subscriber doesn’t feel right, especially since GDFL is highly rated for low data latency and Sierra is a trader-focused, highly robust platform.I value GDFL’s service and would much prefer to rely on it fully. But for traders, trust in data is everything, we’re putting real money on the line, and even small inaccuracies can make a big difference. I am hopeful we can get this resolved quickly so that traders like me can continue to place full confidence in GDFL data. Rgds Nalin On Wed, Sep 24, 2025 at 11:29 AM Nalin Srivastava <captainnks@gmail.com> wrote: Thanks for the update. On Wed, 24 Sep, 2025, 11:20 am Swapnil Bhavar, <swapnil.rb@globaldatafeeds.in> wrote: Hello Sir, I have received an update from the Sierra Chart team — they are reviewing all the details. Since Sierra Chart has already been marked in all the email threads, we will wait for their reply before proceeding further. Swapnil RB | Team Lead - Support Phone- +91- 8956302002 swapnil.rb@globaldatafeeds.in | https://globaldatafeeds.in Global Financial Datafeeds LLP 301, 4th Floor, Krishna Enclave, Jehan Circle, Gangapur Road, Nashik - 422013. State - Maharashtra. India. From: Nalin Srivastava <captainnks@gmail.com> Sent: 24 September 2025 09:09 To: Swapnil Bhavar <swapnil.rb@globaldatafeeds.in>; Vijay Gade <vijay.bg@globaldatafeeds.in> Cc: Shilpa Sangale <shilpa.gs@globaldatafeeds.in>; Global Financial Datafeeds LLP <billing@globaldatafeeds.in>; Sierra Chart Support <support@sierrachart.com> Subject: Re: FW: Urgent Clarification Required on VWAP Discrepancies (NIFTY) Hi Swapnil, Thanks for looping Sierra into this. I did review the email you sent to them, and I feel it does not fully present the underlying issue. The core problem is not how Sierra calculates VWAP, Sierra already provides the correct options (Base on Underlying Data, backadjustment settings, etc.). The problem is that in the GDFL feed, the symbol NIFTY-I.NFO does not appear to be constructed from actual monthly contracts with expiry mapping. Because of this, whether I set backadjustment to “none,” “date-based,” or “volume-based” inside Sierra, the VWAP levels remain unchanged, which should not be the case if proper contract stitching and adjustments were in place. To illustrate: • With Sierra’s own CME feed (e.g., ES), VWAP shifts correctly when backadjusted. • With TradingView NIFTY (backadjusted), the Previous Year VWAP is ~25,300. • With GDFL NIFTY-I.NFO in Sierra, it stays at ~23,495 regardless of backadjustment method. This ~800-point gap is not a study-setting issue; it seems a data construction issue. For Sierra to help meaningfully, they need to know: 1. Is NIFTY-I.NFO built from actual monthly contracts (SEP, OCT, etc.) stitched together, or is it just a continuous front-month feed? 2. If stitched, what adjustment method is used at rollover — difference (absolute points) or ratio (proportional)? 3. If not stitched, then how is backadjustment in Sierra expected to function at all? Unless these specifics are clarified to Sierra, the discussion risks missing the real problem — that traders on Sierra using the GDFL feed are effectively seeing levels that do not reflect actual market structure. Best regards, Nalin On Tue, Sep 23, 2025 at 7:09 PM Nalin Srivastava <captainnks@gmail.com> wrote: Thanks for the update. The reason I wrote this is because the information shared looks partial--"NIFTY-I.NFO with daily candles for adjusted and un-adjusted data - given there is no data for separate contracts as well as their expiry date is available for this symbol?" But, will wait for the response On Tue, Sep 23, 2025 at 4:08 PM Swapnil Bhavar <swapnil.rb@globaldatafeeds.in> wrote: Hello, Thank you for your input, sir. We are currently awaiting a response from Sierra Chart. Once we receive their update, we will get back to you and revert on this. Swapnil RB | Team Lead - Support Phone- +91- 8956302002 swapnil.rb@globaldatafeeds.in | https://globaldatafeeds.in Global Financial Datafeeds LLP 301, 4th Floor, Krishna Enclave, Jehan Circle, Gangapur Road, Nashik - 422013. State - Maharashtra. India. From: Nalin Srivastava <captainnks@gmail.com> Sent: 23 September 2025 10:32 To: Swapnil Bhavar <swapnil.rb@globaldatafeeds.in> Subject: Re: FW: Urgent Clarification Required on VWAP Discrepancies (NIFTY) Thanks, Swapnil, for raising this with Sierra. I read your response regarding VWAP/backadjustment on NIFTY-I.NFO. To move this forward, could we please also clarify internally and then with Sierra: 1. Is NIFTY-I.NFO currently built from actual monthly contracts (NIFTY SEP, OCT, etc.) stitched together, or is it simply a continuous front-month feed without contract mapping? 2. If it is stitched, which adjustment method is applied at rollovers — difference (absolute points) or ratio (proportional)? 3. If it is not stitched from monthly contracts, then how do you expect Sierra (or any charting platform) to apply proper backadjustment without the underlying contract-wise data? Since VWAP calculations across W/M/Q/Y periods are extremely sensitive to rollover gaps, having clarity on the exact process will help both Sierra and end users understand the source of these mismatches. Thanks On Tue, Sep 23, 2025 at 9:07 AM Swapnil Bhavar <swapnil.rb@globaldatafeeds.in> wrote: Hello, We have informed Sierra Chart regarding your issue and are awaiting their response. We will update you as soon as we receive any feedback from their side. Swapnil RB | Team Lead - Support Phone- +91- 8956302002 swapnil.rb@globaldatafeeds.in | https://globaldatafeeds.in Global Financial Datafeeds LLP 301, 4th Floor, Krishna Enclave, Jehan Circle, Gangapur Road, Nashik - 422013. State - Maharashtra. India. From: Swapnil Bhavar <swapnil.rb@globaldatafeeds.in> Sent: 22 September 2025 22:10 To: 'Sierra Chart Support' <support@sierrachart.com> Cc: sales@globaldatafeeds.in; support@globaldatafeeds.in; 'Shilpa Sangale' <shilpa.gs@globaldatafeeds.in>; 'Vijay Gade' <vijay.bg@globaldatafeeds.in>; sc@globaldatafeeds.in Subject: FW: Urgent Clarification Required on VWAP Discrepancies (NIFTY) Hello Team, Kindly review the email below. Our customer has raised a few points regarding data in Sierra Chart that we need to understand and address: 1. Mismatch in VWAP Values / back-adjustment How is VWAP calculated on Sierra Chart for 1-year data on NIFTY-I.NFO with daily candles for adjusted and un-adjusted data - given there is no data for separate contracts as well as their expiry date is available for this symbol? We feel until contract-wise symbols are mapped with NIFTY-I.NFO and their respective expiries, proper adjustment will not occur. Please clarify. Reference: Please see Screenshot 1 provided by the customer. 2. Backfill Not as Promised Customer query: Default backfill is 90 calendar days for 1-minute data, 4.5 months for 5-minute and 6 months for 15-minute data. When opening a 1-minute chart in SierraChart_64 (C_SierraChart), length of 1-minute data backfill shows correctly for 90 days. However, while changing periodicity to 5- or 15-minute, backfill length remains 90 days and does not increase to 4.5months (5minute) or 6months (15minute). Suspected cause: We feel SierraChart is compressing already downloaded 1-minute data to form 5min/15minute candles instead of fetching 5- or 15-minute history separately. Action requested: Can we modify this to fetch 5- and 15-minute history data separately? Or suggest solution 3. Incorrect/Outdated Future Symbols in Sierra Chart There is a pre-populated list of Future symbols in Sierra Chart. The NFO symbols frequently change, and outdated symbols causes inconvenience. Is this list hard-coded in SierraChart or is there a way for this list to update automatically (we can share how SierraChart can programmatically fetch latest symbol list from our server). If not automatically, is there a way we can manually change update these symbols in bulk - please let us know. Reference: Please see Screenshot 2 provided by the customer. I have attached the customer’s email thread, in which they have also marked you in copy. Kindly go through the entire mail trail and provide your insights or solutions for the points raised. Swapnil RB | Team Lead - Support Phone- +91- 8956302002 swapnil.rb@globaldatafeeds.in | https://globaldatafeeds.in Global Financial Datafeeds LLP 301, 4th Floor, Krishna Enclave, Jehan Circle, Gangapur Road, Nashik - 422013. State - Maharashtra. India. From: Nalin Srivastava <captainnks@gmail.com> Sent: 22 September 2025 16:55 To: Swapnil Bhavar <swapnil.rb@globaldatafeeds.in> Cc: sales@globaldatafeeds.in; support@globaldatafeeds.in; Shilpa Sangale <shilpa.gs@globaldatafeeds.in>; Global Financial Datafeeds LLP <billing@globaldatafeeds.in>; Vijay Gade <vijay.bg@globaldatafeeds.in> Subject: Re: Urgent Clarification Required on VWAP Discrepancies (NIFTY) Also see the two files of ES--backadjusted vs non-back adjusted. See how the VWAP values shift On Mon, Sep 22, 2025 at 4:46 PM Nalin Srivastava <captainnks@gmail.com> wrote: Please check these three files. No calculation at all. Just the High and low of candles back adjusted vs not-backadjusted in TV and then in SC. As expected TV raised the previous day candle values by the amount of difference in the rollover value (Future - Spot) so that what ever is the premium of next month futures, previous month is raised up by that value. Whereas in SC, the value of the previous day candle remains the same. I would urge you to check the data at your end too for confirmation. On Mon, Sep 22, 2025 at 1:16 PM Nalin Srivastava <captainnks@gmail.com> wrote: Dear Global Datafeeds Support Team, I am writing to bring to your attention a critical discrepancy in VWAP values between TradingView and Sierra Chart when using Global Datafeeds. Please see the comparison below: Platform & Adjustment PY VWAP CY VWAP Notes TradingView (Backadjusted) 25,374 24,621 Much higher PY vs Sierra → possible over-adjustment / handling of rollover premium TradingView (Not Backadjusted) 23,395 24,100 More consistent, but still diverges from Sierra’s Sierra Chart (Backadjusted) 23,495 24,122 PY lower by ~1,900 vs TV Backadjusted Sierra Chart (Not Backadjusted) 23,495 24,122 Same as Sierra Backadjusted → suggests backadjustment not being applied at all ________________________________________ Please note 1. There is a 1,900-point gap in PY VWAP between TradingView (25,374) and Sierra Chart (23,495). 2. CY VWAP differences are smaller (~500 points), but still material for trading. 3. Sierra Chart values are identical in both backadjusted and non-backadjusted modes, strongly suggesting that backadjustment is not functioning properly with your feed. ________________________________________ Impact on Trading VWAP is a critical institutional reference level. A 1,900-point discrepancy can: • Lead to an incorrect market bias (bullish vs bearish). • Cause entries/exits around false VWAP levels. • Create inconsistency between platforms, undermining confidence in your feed. ________________________________________ I request your urgent clarification on the following: 1. Is the data you provide for NIFTY backadjusted or not? 2. If backadjusted, what process/logic is being followed for adjustment? 3. Why does Sierra Chart show identical VWAP values for both modes? Given the scale of the discrepancy and its direct impact on trading decisions, I request a detailed written clarification within 7 working days. Best regards, Nalin On Mon, Sep 22, 2025 at 12:44 PM Nalin Srivastava <captainnks@gmail.com> wrote: Dear Swapnil, Thank you for your response. However, I must respectfully disagree with the explanations provided, as they do not address the core concerns I have repeatedly raised. Please see my clarifications below: 1. Data Stops at 15:30 and Midnight I have checked this several times on my end and already shared logs with your team. I even requested remote login via AnyDesk so you could verify the issue directly, but no corrective action has been taken. The problem persists across both of my systems, even when switching setups. The data stops exactly at 15;30 and Midnight every day. This cannot be dismissed as a Sierra Chart issue or my setup issue. 2. 3. Incorrect/Outdated Future Symbols in Sierra Chart With due respect, it is a basic expectation that a data vendor provides the updated futures symbol list to Sierra Chart. Asking individual users to manually tweak and maintain symbol lists is not acceptable, especially when paying for a professional data service. I recall a few months ago, when certain symbols were changed, and upon my request, the updated list was shared with Sierra Chart — they updated it promptly. This seems less of a platform issue and more a matter of alacrity from the GDFL team. 4. Mismatch in VWAP Values / Backadjustment If the discrepancy is due to your data structure, then please confirm in writing whether your data is back adjusted or not. Also share the exact process you follow for back adjustment. As a reference, even a lower-end Amibroker data vendor provides the Yearly VWAP around ~24100 and confirmed that the data is not backadjusted. Your lack of clarity here is unacceptable. 5. Backfill Not as Promised Your own offering (as shown on your website) clearly states that for the plan I am on, backfill from 15 minutes onwards is available for 6 calendar months. I am receiving only 90 days. This directly contradicts your stated service commitments. I would appreciate clarity on this, as continuing discrepancies may leave me no choice but to explore formal remedies if the gap is not addressed. As I have stated before, my livelihood depends on the accuracy and reliability of this data. I therefore request: • A written confirmation and timeline for fixing these issues, OR • A refund of my entire subscription fees if you are unable to provide the promised service. Please treat this matter with urgency and provide a firm resolution within 7 working days. Best regards, Nalin P.S. I am copying Sierra Chart Support on this communication as well, since some of these issues may require joint resolution between Global Datafeeds and Sierra Chart. On Mon, Sep 22, 2025 at 12:17 PM Swapnil Bhavar <swapnil.rb@globaldatafeeds.in> wrote: Hello, Please find my replies inline below. Swapnil RB | Team Lead - Support Phone- +91- 8956302002 swapnil.rb@globaldatafeeds.in | https://globaldatafeeds.in Global Financial Datafeeds LLP 301, 4th Floor, Krishna Enclave, Jehan Circle, Gangapur Road, Nashik - 422013. State - Maharashtra. India. From: Nalin Srivastava <captainnks@gmail.com> Sent: 21 September 2025 15:50 To: Vijay Gade <vijay.bg@globaldatafeeds.in>; Sierra Chart Support <support@sierrachart.com>; Global Financial Datafeeds LLP <billing@globaldatafeeds.in> Cc: sc@globaldatafeeds.in; sales@globaldatafeeds.in; support@globaldatafeeds.in; Shilpa Sangale <shilpa.gs@globaldatafeeds.in> Subject: Re: Global Datafeeds - Invoice for your recent purchase Dear Global Datafeeds Support Team, I am writing to highlight several ongoing issues with the service which remain unresolved despite repeated discussions: 1. Data Stops at 15:30 and Midnight – The feed disconnects daily and requires manual restart of the Global Datafeeds software. We have tested this internally on Sierra Chart over 2–3 days and did not observe any disconnection at 15:30. You may need to check this on your Sierra Chart setup. Regarding the midnight disconnect, it could occur around 01:00 AM – 01:30 AM as part of daily maintenance processes. 2. Incorrect/Outdated Future Symbols in Sierra Chart – Symbol updates are not maintained properly, even after repeated reminders. Sierra Chart provides a default symbol list for Futures. If you require the latest updated symbols, they need to be added manually. We are unable to modify the default symbol list provided by Sierra Chart. 3. Mismatch in VWAP Values / Backadjustment – The Yearly VWAP in Sierra Charts via Global Datafeeds is 24118, whereas on TradingView it is 24614 (backadjusted) and 24094 (non-backadjusted). This difference of several hundred points is unacceptable. Whereas when I check the data feed for US markets (Say ES) the values for Sierra Chart Y-VWAP and Trading View match perfectly. @Sierra Chart Support I don't know if the issue is at SC end or with @Global Financial Datafeeds LLP hence tagging you both <MY SierraCharts ID is AVINALIN> This discrepancy is possible because our data architecture and TradingView’s architecture are different. We provide Level-1 data, and the calculation methods for VWAP may vary across charting platforms. VWAP calculations depend on the platform itself, and differences may occur between US markets and Indian markets. NOTE – We do not provide VWAP in Charting Platform 4. Backfill Not as Promised – My plan clearly stated 180 days of backfill on higher intraday timeframes, but I continue to receive only 90 days. 180-day backfill applies to Amibroker for 5 min,15min, 30min. By default, we provide 90 calendar days of intraday data for all charting platforms. As a professional trader, accurate and uninterrupted data is essential. These issues are severely impacting my ability to trade effectively. Frankly, my patience is running thin. I request that these matters be resolved within the next 7 working days. Please confirm the corrective steps being taken and share the expected resolution timeline. Looking forward to your urgent response. Best regards, Nalin On Fri, Aug 29, 2025 at 11:06 AM Nalin Srivastava <captainnks@gmail.com> wrote: Thanks, Vijay. Looking forward to a quick resolution on this issue. The data feed I purchased is for the using in Sierra Charts, and would like to get the full package I opted for. On Tue, Aug 26, 2025 at 11:07 AM Vijay Gade <vijay.bg@globaldatafeeds.in> wrote: Hello, As discussed over the call, and after checking by taking access to your system, we will need to investigate the backfill issue with SierraChart_64 (C_SierraChart) to understand why it is not displaying properly. However, as mentioned, the data is showing correctly across all time frames (1, 5, 15 minutes) in AmiBroker with nimbleDataProPlus. We will check this further and update you here. Thanks and Regards, Vijay Gade | Sr. Technical Support Manager Phone- +91- 9503832002 vijay.bg@globaldatafeeds.in | https://globaldatafeeds.in Global Financial Datafeeds LLP 301, 4th Floor, Krishna Enclave, Jehan Circle, Gangapur Road, Nashik - 422013. State - Maharashtra. India. From: Shilpa Sangale <shilpa.gs@globaldatafeeds.in> Sent: 25/08/2025 17:26 To: support@globaldatafeeds.in Cc: sc@globaldatafeeds.in; sales.team@globaldatafeeds.in Subject: Fwd: Global Datafeeds - Invoice for your recent purchase ++Support -------- Forwarded Message -------- Subject: Re: Global Datafeeds - Invoice for your recent purchase Date: Mon, 25 Aug 2025 17:21:25 +0530 From: Nalin Srivastava <captainnks@gmail.com> To: billing@globaldatafeeds.in, sales.team@globaldatafeeds.in Hi Team, REcently noticed that am not getting more than 3 calendar months of data in 5 or more minutes in intraday. As per my plan, I should be getting the below for my Sierra Charts Intraday history of 1,2,3,4 Minutes (3 calendar months), 5,6,10,12 Minutes (4.5 calendar months), 15,20,30 Minutes and 1,2,3,4,6,8,12 Hours (6 calendar months), Tick (1 calendar week) and EOD History since January 2010 is available Pls check and let me know Thanks Nalin On Tue, Dec 24, 2024 at 3:13 PM Global Financial Datafeeds LLP <billing@globaldatafeeds.in> wrote: Hello Nalin, We hope this email finds you in good health and high spirits. Thank you for choosing Global Financial Datafeeds for your recent purchase. We appreciate your trust in our products. Attached to this email, you will find the invoice corresponding to your order. Please review the attached invoice for a detailed breakdown of your purchase. For any query regarding payment related issue please mail on billing@globaldatafeeds.in For any query regarding technical support please mail on support@globaldatafeeds.in IMPORTANT NOTE "If you have any questions about the invoice (for example, if the GST number is missing or incorrect, if the name, address, or amount is incorrect), please contact us within 24 hours of receiving the invoice. It will then be assumed that the invoice has been accepted." Stay in the loop! Join our WhatsApp channel for timely updates. 📲 #StayConnected https://whatsapp.com/channel/0029VaiohPl002T4DeU3CW1Q Warm Regards, Billing Team www.globaldatafeeds.in Sales : Products | Pricelist | Take A Trial | Buy | Testimonials | Email to Sales Support : Download | User Guides | Help Videos | Submit A Ticket | Live Chat | Remote Desktop | Email to Support Billing : Email to Billing General : About Us | Contact Us | Support Policy | Email to CEO GLOBAL FINANCIAL DATAFEEDS LLP 301, 4th Floor, Krishna Enclave, Jehan Circle, Gangapur Road, Nashik – 422013. [msg:443780-i6obmu] |
| [2025-09-30 13:29:01] |
| Sierra_Chart Engineering - Posts: 21163 |
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We have given an answer on this already. We cannot answer any questions, about data from Global Data Feeds. We simply do not know anything about that data. The Sierra Chart Continuous Futures Contract Chart functionality cannot work with this symbol: NIFTY-I.NFO It can only work with symbols that have a specific month and year specified in the symbol and where there is a defined rollover rule for the symbol. We do not need to know any of this information. It is not relevant because, there is nothing we can do with it: 1. Is NIFTY-I.NFO built from actual monthly contracts (SEP, OCT, etc.) stitched together, or is it just a continuous front-month feed? 2. If stitched, what adjustment method is used at rollover — difference (absolute points) or ratio (proportional)? 3. If not stitched, then how is backadjustment in Sierra expected to function at all? The Continuous Futures Contract Chart functionality, can only work with symbols that have a month and year specified in the symbol, and there must be a sufficient amount of historical data available, both Intraday and Daily. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2025-09-30 13:35:14
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| [2025-10-01 03:37:49] |
| User198120 - Posts: 3 |
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Dear Sierra Support, To enable proper backadjustment of NIFTY futures in Sierra, please specify the exact data format required from us as a vendor. 1. Should we provide each monthly NIFTY contract (e.g., NIFTY-SEP, NIFTY-OCT, etc.) with full historical OHLCV and expiry mapping so that Sierra constructs the continuous chart internally? 2. Are there specific naming conventions or mapping rules we must follow to ensure Sierra correctly applies backadjustment and rollover? 3. If any additional requirements exist to make backadjustment fully functional, please provide them clearly. This will allow us to align our feed precisely with Sierra’s requirements and ensure traders can rely on accurate backadjusted data |
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