Support Board
Date/Time: Mon, 16 Feb 2026 15:48:36 +0000
Intra-millisecond tick sequencing
View Count: 28
| [2026-02-16 10:34:17] |
| skalaydzhiyski - Posts: 123 |
|
Hi SC, I am training ML models on the tick data exported from Sierra Chart and as part of my data engineering pipeline I need to figure out one thing relating the sequencing of the data I believe to be very important. From what I have seen, Sierra saves the data (when 1 tick storage is selected) into millisecond level entries in the .scid file, but if we have multiple trades happening inside a millisecond, then Sierra increments the microsecond portion of the timestamps to allow for uniqueness. This all makes perfect sense to me, but the important clarification I need is - apart from uniqueness, does the increment provide ordering/sequencing too ? If we were to constrain the question to CME, CBOT, NYMEX, COMEX data I believe the exchange provides sequence numbers as part of the data feed, is the ordering derived from those sequence numbers or is there no real ordering of the intra-millisecond ticks when they are stored in .scid files? NOTE: This can also have implications on how Volume Bars are constructed - if t1, t2, t3 are 3 unique ticks with volumes 10,20,30 happening inside the same millisecond WITHOUT ordering and I have the following setup: 1. I have Split Data Records disabled (I need this to keep my data realistic for training my models) 2. I have volume bars of size 100 on my chart. 3. My current bar is at volume 80. Then -> when the 3 trades happen at the same time it really matters whether the 10 volume trade happens first or the 30 volume trade happens first in determine the bar cutoff. Separately, is the some kind of ordering maintained in the .depth files, i.e. do we have a guarantee that 2 rows in .depth file happened 1 after the other? I would love to go deeper on this topic because I feel it is very important for anyone doing serious ML research using Sierra Chart. All the best Date Time Of Last Edit: 2026-02-16 12:38:37
|
To post a message in this thread, you need to log in with your Sierra Chart account: