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Direct MessagesDate/Time: Thu, 02 May 2024 13:53:31 +0000
Data file vs time/sales
View Count: 1659
| [2015-05-12 04:03:19] |
| SgtJ - Posts: 154 |
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In examining less then 10mins of a data file period I've found multiple instances of the time/sales window showing different values then what the data file has stored with respect to trades being above the offer or below the bid. In the attached picture only the red surrounded trade exists in the data file, the other 6 trades were not above the offer. I've included a 10min snippet of data. Please take a look. |
 test.scid - Attached On 2015-05-12 04:00:21 UTC - Size: 126.77 KB - 350 views  ts data.png / V - Attached On 2015-05-12 04:00:37 UTC - Size: 31.64 KB - 461 views |
| [2015-05-12 05:01:09] |
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In what time zone is the Time and Sales window times?
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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-05-12 05:11:47] |
| SgtJ - Posts: 154 |
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Eastern daylight time, -4
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| [2015-05-13 05:28:07] |
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At the moment we are not sure about this. We understand the difference you are pointing out. However, we do not understand why it would happen. Can you just confirm that there are no Combining options you are using in the Time and Sales settings window. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-05-13 12:20:34] |
| SgtJ - Posts: 154 |
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"Do not combine" is selected.
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| [2015-05-14 01:53:26] |
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We examined the data we have from CQG and we see some slight variation with it compared to the time and sales window. If you had re-downloaded the data in the chart data file you provided after the real-time data was received, then this will be the reason for the difference. Otherwise, it is really impossible for there to be a difference compared to the time and sales data.
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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-05-14 01:53:54
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| [2015-05-14 02:41:08] |
| SgtJ - Posts: 154 |
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The data was collected in real time. I downloaded the last hr of the day's data (well after the data in question), but I assumed this would have not impact on prior data. So the downloaded data from CQG may not be 100% accurate? |
| [2015-05-14 15:02:55] |
| SgtJ - Posts: 154 |
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Are there plans to include the bid/ask price at the time of the trade into the scid file fields? What about using the current bidvol/askvol fields and just swapping it with the actual price and then compare last to this field to determine where the trade took place? You'd still have the same number of fields but it would offer an additional enhancement. Ninja 8 is adding the b/a price to their data file, please consider doing the same ;)
Date Time Of Last Edit: 2015-05-14 15:03:33
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| [2015-05-14 16:48:08] |
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Are there plans to include the bid/ask price at the time of the trade into the scid file fields? This has been done a year ago. And the file you provided does include the Bid and Ask prices.
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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-05-14 17:56:13] |
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The Historical data is accurate as far as we are concerned. Our best guess for the difference would be there is a slight variation in the data received from CQG. We want to do a little more checking and see what we find. Another question we have is whether you have Timestamp Using Local Computer Clocks set to True in Global Settings >> Data/Trade Service Settings. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-05-14 17:57:07
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| [2015-05-14 17:56:57] |
| SgtJ - Posts: 154 |
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It's not easily accessed, nor persistent. Maybe thru acsil t/s, but I posted a while ago that even on a 1 tic chart those subgraphs only correspond to OHLC info, not bid/offer price like you see when you go into R click/edit the data file.
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| [2015-05-14 17:58:35] |
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The historical bid and ask prices are absolutely 100% persistent within the data file. You can look and see. The bid and ask prices are only used during a replay to set the bid and ask prices. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-05-14 21:38:17] |
| SgtJ - Posts: 154 |
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Data is set to use server time, NOT local time stamping.
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| [2015-05-14 23:13:10] |
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We are still checking on the CQG TF data. We see some inconsistencies when comparing to Rithmic TF data. Initial comparison shows the Rithmic data is less complete. We will add two additional chart arrays which can be optionally enabled to hold the latest bid and ask price for a chart bar. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-05-14 23:13:24
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| [2015-05-18 00:23:20] |
| SgtJ - Posts: 154 |
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Just checked a random area of live collected data from friday and there are 7 trades showing on t/s < bid during a replay, but only 4 match in the data file...frustrating. Thx for the arrays. |
| [2015-05-18 02:34:52] |
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What symbol? And at what specific second so we can check to see what we have. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-05-18 02:35:24
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| [2015-05-18 03:43:21] |
| SgtJ - Posts: 154 |
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F.US.TFM15, Time EST (-4) 2015-05-15 Time/sales says these were below the bid, all @1235.5 9:42:22:006 9:42:22:007 9:42:22:008 9:42:22:009 9:42:22:010 9:42:22:011 9:42:22:012 The data file says these were not below the bid 9:42:22:010 9:42:22:011 9:42:22:012 Date Time Of Last Edit: 2015-05-18 04:06:32
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| [2015-05-19 05:28:54] |
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What we see on the server matches what you see in the data file. It is impossible for us to comment on this unless we can actually see it occur in real time and know exactly what is going on. There really is no chance for there to be a difference that you are showing when the data stored in real-time and if the historical data is not re-downloaded. So there must be some other explanation for this. Also, what do you have Global Settings >>Data/Trade Service Settings >> Number of Stored Time and Sales Records set to? Set this to at least 5000. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-05-19 05:33:45
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| [2015-05-19 12:45:16] |
| SgtJ - Posts: 154 |
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The data record was set to 5k. Regardless of what happened with live data, why would the replay even show something different then what the file holds? Odd! When was milli-sec implemented? Maybe it has something to do with not fully recognizing a small distinction of time at times? Date Time Of Last Edit: 2015-05-19 12:54:08
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| [2015-05-19 17:19:26] |
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So this is during a replay? That changes everything. We knew there was some other explanation to what is going on because this just did not make sense. So what we can do is run a replay and see why it is there is a difference occurring. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-05-19 17:20:20
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| [2015-05-26 17:24:37] |
| SgtJ - Posts: 154 |
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We will add two additional chart arrays which can be optionally enabled to hold the latest bid and ask price for a chart bar.
Any idea when this will happen if it hasn't already? Have you found an issue with replay to explain the issue discussed in this thread? ty |
| [2015-05-26 23:00:31] |
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We are working on both of these now.
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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-06-03 04:39:51] |
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Letting you know in 1261 there are new Bid and Ask arrays the which are documented here: https://www.sierrachart.com/index.php?page=doc/doc_ACSIL_Members_Variables_And_Arrays.html#scBaseDataIn Also there is the Bid and Ask Prices study which has been added. The study only works properly with 1 tick data. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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