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Date/Time: Mon, 22 Apr 2019 07:07:52 +0000



Volumes are off

Support Request:
[2013-04-02 02:23:08]
bmoney - Posts: 32
Recently, I compared multiple volumes over 30 min periods on the SierraCharts to the volumes on the CTS T4 graphs and I noticed discrepancies. Some of the volumes on SierraCharts would be over or under by 1 to as much as 700 contracts over the 30 min period. Since I download from CTS, should not the volumes on SierraCharts match the volumes on the graphs CTS provides? For the most part the volumes match, but every once in a while I experience this mismatch and I usually just delete and download the data again and that takes care of the problem, but I wanted to know if this is normal.

Also, my internet service provider notified me that I was getting a weak signal which would cause my connection to drop sometimes. Could this be the cause? However, if the SierraCharts got disconnected from the data feed would it not just reconnect and download from where it left off? At the very least, the log would notify me if there were disconnections or timeouts, right? So, if I downloaded data and there was nothing in the log about disconnections, I would never have to worry about that data being inaccurate, correct?

By the way, I can still replay the data with the incorrect volume so I definitely have tick data I am just getting too much or missing some for a particular 30 min period.

Thanks

[2013-04-02 02:58:33]
Sierra Chart Engineering - Posts: 71060
It is not normal, and we would not know the cause of it. The issue would be external to Sierra Chart.

A poor Internet connection might be the cause. We would not know because we do not control the data feed. You also need to understand in the case of T4 at the present time we are still using the client-side API component and what it does internally, we have no idea. It's a black box. So many of your questions we do not know the answer to.

The connection is being changed to a direct FIX connection. More about this is explained in help topic 76 here:
Http://www.sierrachart.com/index.php?l=doc/helpdetails76.html

One reason we have posted this information in help topic 76, is to encourage changes in this industry, because these API components on the client-side, make no sense and we cannot properly support our software by using them. They create all kinds of negative side effects.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2013-04-02 03:02:28
[2013-04-02 03:29:29]
bmoney - Posts: 32
So the CTS T4 connection is being changed to a format you would support? When? Or will I no longer be able to use this data feed with Sierra Charts in the future? If so, when would you stop supporting it?
[2013-04-02 03:46:45]
Sierra Chart Engineering - Posts: 71060
Yes, we are going to be updating it to use FIX as we said. So you still will be able to use it.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2013-08-15 18:13:40]
bmoney - Posts: 32
SC Support,

The volumes are still off. I am now using CTS FIX SC v1010. By the way I have narrowed it down; this only happens during Real-time Intraday Chart Data File Updates. The mismatches are easily fixed by deleting and downloading data and I never get the mismatch from downloading past data, only from real-time streaming data.

Additionally, I have contacted my ISP and my signal is just fine. Also, I have updated my exceptions list on my anti-virus to exclude just the entire Sierra Chart folders (rather than excluding each .scid file individually), but I don't see why this would matter since I do not use scheduled scans and I never scan when SC is open or downloading.

Today's Log:

Software version: 1010 | 2013-08-15 07:58:54
Current Service Package: 5 | 2013-08-15 07:58:54
Usage end date: 2013-08-21 | 2013-08-15 07:58:54
Sierra Chart Historical Data Service is included. | 2013-08-15 07:58:54
Active service: CTS T4 | 2013-08-15 07:58:54
Time Zone: -05:00:00 (CST-06CDT+01,M3.2.0/02:00,M11.1.0/02:00) | 2013-08-15 07:58:54
2013-08-15 07:58:54 Local computer clock time | 2013-08-15 07:58:54
2013-08-15 12:58:54 GMT time | 2013-08-15 07:58:54
2013-08-15 07:58:54 Time zone adjusted time | 2013-08-15 07:58:54
Time difference to server time: 1 seconds. | 2013-08-15 07:58:54
Program path: C:\SierraChart2\ | 2013-08-15 07:58:54
Data Files path: C:\SierraChart2\Data\ | 2013-08-15 07:58:54
OS Version Number: 5.1 | 2013-08-15 07:58:54


Connecting to CTS Simulation server. | 2013-08-15 07:59:07
CTS FIX - Connecting to data and trade server: fix-sim.t4login.com | 2013-08-15 07:59:07
The network socket is connected. | 2013-08-15 07:59:08
The socket starting SSL connection. | 2013-08-15 07:59:08
SSL socket is now connected. | 2013-08-15 07:59:09
CTS FIX: Sending the Logon message. | 2013-08-15 07:59:09
CTS FIX: Connected to data and trade server. | 2013-08-15 07:59:13
Starting updates for: ES.CME_20130900_ESU3.CME_Eq | 2013-08-15 07:59:13
HD Request # 1 - Downloading Intraday chart data for ES.CME_20130900_ESU3.CME_Eq to the file ES.CME_20130900_ESU3.CME_Eq.scid. Service: cts | 2013-08-15 07:59:13
HD Request # 1 - Starting date and time: 2013-08-14 15:14:59.0 | 2013-08-15 07:59:13
CTS Historical FIX Session - Connecting to Historical data server: fix-chart-sim.t4login.com | 2013-08-15 07:59:13
The network socket is connected. | 2013-08-15 07:59:13
The socket starting SSL connection. | 2013-08-15 07:59:13
SSL socket is now connected. | 2013-08-15 07:59:14
CTS Historical FIX Session: Sending the Logon message. | 2013-08-15 07:59:14
CTS Historical FIX Session: Connected to Historical data server. | 2013-08-15 07:59:14
HD Request # 1 - Requesting historical Tick data for ES.CME_20130900_ESU3.CME_Eq from 2013-08-13 to 2013-08-13 | 2013-08-15 07:59:14
Requesting market depth updates for: ES.CME_20130900_ESU3.CME_Eq if supported. | 2013-08-15 07:59:18
HD Request # 1 - Receiving Intraday data for ES.CME_20130900_ESU3.CME_Eq starting at 2013-08-12 17:00:00 | 2013-08-15 07:59:27
HD Request # 1 - Requesting historical Tick data for ES.CME_20130900_ESU3.CME_Eq from 2013-08-14 to 2013-08-14 | 2013-08-15 07:59:29
HD Request # 1 - Requesting historical Tick data for ES.CME_20130900_ESU3.CME_Eq from 2013-08-15 to 2013-08-15 | 2013-08-15 07:59:43
HD Request # 1 - Timestamp of first Intraday data file record written: 2013-08-14 15:14:59 | 2013-08-15 07:59:57
HD Request # 1 - Requesting historical Tick data for ES.CME_20130900_ESU3.CME_Eq from 2013-08-16 to 2013-08-16 | 2013-08-15 07:59:57
HD Request # 1 - Received 1299245 records from 2013-08-12 17:00:00 to 2013-08-15 07:59:58 (2.6 days) and wrote 91911 records for ES.CME_20130900_ESU3.CME_Eq | 2013-08-15 08:00:06
HD Request # 1 - Intraday download COMPLETE for ES.CME_20130900_ESU3.CME_Eq | 2013-08-15 08:00:06
Real-time intraday chart data file updates started for ES.CME_20130900_ESU3.CME_Eq | 2013-08-15 08:00:06

Socket closed. No error. | 2013-08-15 08:01:57
The SSL socket was shut down successfully. | 2013-08-15 08:01:57
CTS Historical FIX Session: Socket connection was closed without any logout messages sent or received. | 2013-08-15 08:01:57
CTS Historical FIX Session: Disconnected. | 2013-08-15 08:01:57
Ignored socket Close call based on current socket state. | 2013-08-15 08:01:57
HD Request # 2 - Downloading Intraday chart data for ES.CME_20130900_ESU3.CME_Eq to the file ES.CME_20130900_ESU3.CME_Eq.scid. Service: cts | 2013-08-15 11:52:49
HD Request # 2 - Starting date and time: 2013-08-15 09:59:59.0 | 2013-08-15 11:52:49
CTS Historical FIX Session - Connecting to Historical data server: fix-chart-sim.t4login.com | 2013-08-15 11:52:49
The network socket is connected. | 2013-08-15 11:52:49
The socket starting SSL connection. | 2013-08-15 11:52:49
SSL socket is now connected. | 2013-08-15 11:52:49
CTS Historical FIX Session: Sending the Logon message. | 2013-08-15 11:52:49
CTS Historical FIX Session: Connected to Historical data server. | 2013-08-15 11:52:50
HD Request # 2 - Requesting historical Tick data for ES.CME_20130900_ESU3.CME_Eq from 2013-08-14 to 2013-08-14 | 2013-08-15 11:52:50
HD Request # 2 - Receiving Intraday data for ES.CME_20130900_ESU3.CME_Eq starting at 2013-08-13 17:00:00 | 2013-08-15 11:53:01
HD Request # 2 - Requesting historical Tick data for ES.CME_20130900_ESU3.CME_Eq from 2013-08-15 to 2013-08-15 | 2013-08-15 11:53:03
HD Request # 2 - Requesting historical Tick data for ES.CME_20130900_ESU3.CME_Eq from 2013-08-16 to 2013-08-16 | 2013-08-15 11:53:16
HD Request # 2 - Timestamp of first Intraday data file record written: 2013-08-15 09:59:59 | 2013-08-15 11:53:31
HD Request # 2 - Received 1177497 records from 2013-08-13 17:00:00 to 2013-08-15 11:53:17 (42.9 hours) and wrote 94501 records for ES.CME_20130900_ESU3.CME_Eq | 2013-08-15 11:53:33
HD Request # 2 - Intraday download COMPLETE for ES.CME_20130900_ESU3.CME_Eq | 2013-08-15 11:53:33
Real-time intraday chart data file updates started for ES.CME_20130900_ESU3.CME_Eq | 2013-08-15 11:53:33

CTS Historical FIX Session: Received a Logout message. Text = Chart Data Timeout. No valid chart data requests were received within the chart data interval of 60 seconds | 2013-08-15 11:55:16
CTS Historical FIX Session: Sending a Logout message. Text = Received Logout message. | 2013-08-15 11:55:16
There was an error sending data over SSL socket. SSL error: 5 WinErr: 10053 | 2013-08-15 11:55:16
Error sending data over a socket. Windows error code 10053: An established connection was aborted by the software in your host machine. | 2013-08-15 11:55:16
The SSL socket was shut down successfully. | 2013-08-15 11:55:16
CTS Historical FIX Session: Logged out and disconnected. | 2013-08-15 11:55:16
CTS Historical FIX Session: Disconnected. | 2013-08-15 11:55:16
Ignored socket Close call based on current socket state. | 2013-08-15 11:55:16

I have never seen that error message before. I will also post yesterdays log which does not have that message but still has the mismatches in volume:

Software version: 1010 | 2013-08-14 07:27:14
Current Service Package: 5 | 2013-08-14 07:27:14
Usage end date: 2013-08-21 | 2013-08-14 07:27:14
Sierra Chart Historical Data Service is included. | 2013-08-14 07:27:14
Active service: CTS T4 | 2013-08-14 07:27:14
Time Zone: -05:00:00 (CST-06CDT+01,M3.2.0/02:00,M11.1.0/02:00) | 2013-08-14 07:27:14
2013-08-14 07:27:14 Local computer clock time | 2013-08-14 07:27:14
2013-08-14 12:27:14 GMT time | 2013-08-14 07:27:14
2013-08-14 07:27:14 Time zone adjusted time | 2013-08-14 07:27:14
Time difference to server time: 3 seconds. | 2013-08-14 07:27:14
Program path: C:\SierraChart2\ | 2013-08-14 07:27:14
Data Files path: C:\SierraChart2\Data\ | 2013-08-14 07:27:14
OS Version Number: 5.1 | 2013-08-14 07:27:14


Connecting to CTS Simulation server. | 2013-08-14 07:27:36
CTS FIX - Connecting to data and trade server: fix-sim.t4login.com | 2013-08-14 07:27:36
The network socket is connected. | 2013-08-14 07:27:36
The socket starting SSL connection. | 2013-08-14 07:27:36
SSL socket is now connected. | 2013-08-14 07:27:37
CTS FIX: Sending the Logon message. | 2013-08-14 07:27:37
CTS FIX: Connected to data and trade server. | 2013-08-14 07:27:38
Starting updates for: ES.CME_20130900_ESU3.CME_Eq | 2013-08-14 07:27:38
HD Request # 1 - Downloading Intraday chart data for ES.CME_20130900_ESU3.CME_Eq to the file ES.CME_20130900_ESU3.CME_Eq.scid. Service: cts | 2013-08-14 07:27:38
HD Request # 1 - Starting date and time: 2013-08-14 07:26:30.0 | 2013-08-14 07:27:38
CTS Historical FIX Session - Connecting to Historical data server: fix-chart-sim.t4login.com | 2013-08-14 07:27:38
The network socket is connected. | 2013-08-14 07:27:38
The socket starting SSL connection. | 2013-08-14 07:27:38
SSL socket is now connected. | 2013-08-14 07:27:39
CTS Historical FIX Session: Sending the Logon message. | 2013-08-14 07:27:39
CTS Historical FIX Session: Connected to Historical data server. | 2013-08-14 07:27:40
HD Request # 1 - Requesting historical Tick data for ES.CME_20130900_ESU3.CME_Eq from 2013-08-13 to 2013-08-13 | 2013-08-14 07:27:40
Requesting market depth updates for: ES.CME_20130900_ESU3.CME_Eq if supported. | 2013-08-14 07:27:43
HD Request # 1 - Receiving Intraday data for ES.CME_20130900_ESU3.CME_Eq starting at 2013-08-12 17:00:00 | 2013-08-14 07:27:52
HD Request # 1 - Requesting historical Tick data for ES.CME_20130900_ESU3.CME_Eq from 2013-08-14 to 2013-08-14 | 2013-08-14 07:27:54
HD Request # 1 - Requesting historical Tick data for ES.CME_20130900_ESU3.CME_Eq from 2013-08-15 to 2013-08-15 | 2013-08-14 07:28:11
HD Request # 1 - Timestamp of first Intraday data file record written: 2013-08-14 07:26:30 | 2013-08-14 07:28:14
HD Request # 1 - Received 860823 records from 2013-08-12 17:00:00 to 2013-08-14 07:28:06 (38.5 hours) and wrote 790 records for ES.CME_20130900_ESU3.CME_Eq | 2013-08-14 07:28:14
HD Request # 1 - Intraday download COMPLETE for ES.CME_20130900_ESU3.CME_Eq | 2013-08-14 07:28:14
Real-time intraday chart data file updates started for ES.CME_20130900_ESU3.CME_Eq | 2013-08-14 07:28:14

CTS Historical FIX Session: Received a Logout message. Text = Chart Data Timeout. No valid chart data requests were received within the chart data interval of 60 seconds | 2013-08-14 07:30:11
CTS Historical FIX Session: Sending a Logout message. Text = Received Logout message. | 2013-08-14 07:30:11
The SSL socket was shut down successfully. | 2013-08-14 07:30:11
CTS Historical FIX Session: Logged out and disconnected. | 2013-08-14 07:30:11
CTS Historical FIX Session: Disconnected. | 2013-08-14 07:30:11
Ignored socket Close call based on current socket state. | 2013-08-14 07:30:11

Is this still something you do not have any control over? Thanks for taking a look!
[2013-08-15 18:16:38]
Sierra Chart Engineering - Posts: 71060
What exactly is wrong with the volume?
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2013-08-15 18:25:22]
bmoney - Posts: 32
Wow that was fast!

The 30 min volume bars have different volumes on SC and T4 platform. The volume is always less on SC, therefore some data is not getting through. I will admit that since FIX this is far less severe, both in magnitude (volumes before would be off by 700 contracts on ES now the worst is only 50-100 contracts) and frequency (before nearly every bar in a period of streaming data was off, now only a couple a day).

Thanks


[2013-08-15 21:00:19]
TastyRisk - Posts: 119
Is your T4 using smart / normal buffer ? SC is using Fast buffer. The data is not the same. You need the CTS Advanced package to get fast buffered data in T4. Even then there might be differences that I won't go into on this forum.


[2013-08-15 23:24:35]
Sierra Chart Engineering - Posts: 71060
Do you mean you were seeing this with Sierra Chart versions that were earlier than 998? Our understanding is that the CTS T4 data is perfect and there is no data loss.

Not sure what we could do about this. Does anyone else see this problem with CTS?

We will have to do some testing.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2013-08-16 02:21:45]
bmoney - Posts: 32
Yes, in fact I have seen this as early as January this year(probably earlier, I just don't have the time to check 30 min bars any further back), so definitely before 998 FIX. As you basically said back in April in post#2 you have no control over this and I should wait for FIX, which is why I waited until now to bring it up again.

The Data for CTS T4 is not exactly perfect. After you guys fixed the issue for out of order timestamps, I still got out of order timestamps. Read my Support board message entitled: Out of Order Timestamp. There too, I was told to wait for FIX.

I really do appreciate that you are now taking the time to look at this. These data issues have been plaguing me for quite some time now.

Thank you
[2013-08-17 01:52:47]
Sierra Chart Engineering - Posts: 71060
At this point we have done all we can. The integration to CTS FIX is as good as we can make it on our side. Any outstanding market data issues would be on the server side. We have noticed an occasional problem with out of order timestamps when downloading historical data. We have added a filter for that in version 1012.

Longer-term we plan to be offering our own CME data feed which you can use as an alternative. We expect that to be out in about 3 months.

So our focus, is going to be on our own data feed, rather than the literal impossible task that we have faced for more than a decade now of all kinds of problems that people want us to solve with external data services that we cannot.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2013-08-17 01:53:50
[2013-08-19 15:18:40]
joshtrader - Posts: 318
So our focus, is going to be on our own data feed, rather than the literal impossible task that we have faced for more than a decade now of all kinds of problems that people want us to solve with external data services that we cannot.

I can understand this. However, as you understand, you are going to be providing a data-only feed. If the user's order routing feed as implemented in SC does not sufficiently match the data feed, then it won't matter how good SC's data feed is. There will always be differences in data feeds and I know it must be difficult dealing with them all, but that is the price you have to pay in order to support your paying clients who wish to use these. I am actually amazed at how many feeds SC supports, and wondered why you don't pare them down and support fewer, if it is a burden to do so. My only guess is that there are enough paying clients who use these to justify the cost; otherwise, you would not support them.

Also, keep in mind that your new feed is currently CME-only, and there are probably quite a few SC users who use other exchanges, so hopefully your focus on the CME feed will not alienate those users.

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