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Direct MessagesDate/Time: Wed, 15 May 2024 10:50:52 +0000
question about sugar contract data
View Count: 624
| [2017-02-20 21:22:36] |
| User103949 - Posts: 78 |
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I noticed that the tick data (bid, ask, last) for sugar No. 11 contract, which starts trading at 3:30 AM each day, are all the same for the starting few ticks. After a while, bid, ask, and last price become different. Is that expected? In addition, when downloading tick level data, open columns are all zeros for other commodity, but for sugar No.11, it has some value at the beginning of each trading day, why is that? Thanks, Date Time Of Last Edit: 2017-02-20 21:33:30
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| [2017-02-20 23:17:49] |
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I noticed that the tick data (bid, ask, last) for sugar No. 11 contract, which starts trading at 3:30 AM each day, are all the same for the starting few ticks. After a while, bid, ask, and last price become different. We see you are using Interactive Brokers. So you need to ask them about this. The real-time data is coming from the Interactive Brokers data feed.In addition, when downloading tick level data, open columns are all zeros for other commodity, but for sugar No.11, it has some value at the beginning of each trading day, why is that? This is an indication the data is from Interactive Brokers and is not tick by tick data. Refer to: Intraday Data Editor: Editor Controls 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 |
| [2017-02-21 04:08:33] |
| User103949 - Posts: 78 |
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I am referring historical data. Even i checked the tick data i downloaded using SC data service instead of interactive brokers. It is the same.
Date Time Of Last Edit: 2017-02-21 04:09:12
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| [2017-02-21 04:44:54] |
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We need an exact Date and Time including time zone to look at.
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 |
| [2017-02-21 05:38:22] |
| User103949 - Posts: 78 |
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Please check contract SBV16. If you export data to txt file, for example on 9/1/2016, the starting tick data are as follows, it's the same for all days. Date, Time, Open, High, Low, Last, Volume, NumberOfTrades, BidVolume, AskVolume 2016/9/1, 07:30:00, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.1, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.2, 20.03, 20.03, 20.03, 20.03, 2, 1, 2, 0 2016/9/1, 07:30:00.3, 20.03, 20.03, 20.03, 20.03, 3, 1, 3, 0 2016/9/1, 07:30:00.4, 20.03, 20.03, 20.03, 20.03, 8, 1, 8, 0 2016/9/1, 07:30:00.5, 20.03, 20.03, 20.03, 20.03, 7, 1, 7, 0 2016/9/1, 07:30:00.6, 20.03, 20.03, 20.03, 20.03, 3, 1, 3, 0 2016/9/1, 07:30:00.7, 20.03, 20.03, 20.03, 20.03, 10, 1, 10, 0 2016/9/1, 07:30:00.8, 20.03, 20.03, 20.03, 20.03, 2, 1, 2, 0 2016/9/1, 07:30:00.9, 20.03, 20.03, 20.03, 20.03, 5, 1, 5, 0 2016/9/1, 07:30:00.10, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.11, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.12, 20.03, 20.03, 20.03, 20.03, 7, 1, 7, 0 2016/9/1, 07:30:00.13, 20.03, 20.03, 20.03, 20.03, 23, 1, 23, 0 2016/9/1, 07:30:00.14, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.15, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.16, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 |
| [2017-02-21 07:55:07] |
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That is not tick by tick data. And what is the method you used to export the 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 |
| [2017-02-22 00:59:44] |
| User103949 - Posts: 78 |
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I have been exporting tick data many times each day. To be accurate, the intraday storage time unit is set to be 1 tick and i am using export intraday data to text file. Below is more data ticks, you can tell after some ticks, the open price are all zeros as usual. 2016/9/1, 07:30:00, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.1, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.2, 20.03, 20.03, 20.03, 20.03, 2, 1, 2, 0 2016/9/1, 07:30:00.3, 20.03, 20.03, 20.03, 20.03, 3, 1, 3, 0 2016/9/1, 07:30:00.4, 20.03, 20.03, 20.03, 20.03, 8, 1, 8, 0 2016/9/1, 07:30:00.5, 20.03, 20.03, 20.03, 20.03, 7, 1, 7, 0 2016/9/1, 07:30:00.6, 20.03, 20.03, 20.03, 20.03, 3, 1, 3, 0 2016/9/1, 07:30:00.7, 20.03, 20.03, 20.03, 20.03, 10, 1, 10, 0 2016/9/1, 07:30:00.8, 20.03, 20.03, 20.03, 20.03, 2, 1, 2, 0 2016/9/1, 07:30:00.9, 20.03, 20.03, 20.03, 20.03, 5, 1, 5, 0 2016/9/1, 07:30:00.10, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.11, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.12, 20.03, 20.03, 20.03, 20.03, 7, 1, 7, 0 2016/9/1, 07:30:00.13, 20.03, 20.03, 20.03, 20.03, 23, 1, 23, 0 2016/9/1, 07:30:00.14, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.15, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.16, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.17, 20.03, 20.03, 20.03, 20.03, 10, 1, 10, 0 2016/9/1, 07:30:00.18, 20.03, 20.03, 20.03, 20.03, 13, 1, 13, 0 2016/9/1, 07:30:00.19, 20.03, 20.03, 20.03, 20.03, 4, 1, 4, 0 2016/9/1, 07:30:00.20, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.21, 20.03, 20.03, 20.03, 20.03, 6, 1, 6, 0 2016/9/1, 07:30:00.22, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.23, 20.03, 20.03, 20.03, 20.03, 3, 1, 3, 0 2016/9/1, 07:30:00.24, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.25, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.26, 20.03, 20.03, 20.03, 20.03, 4, 1, 4, 0 2016/9/1, 07:30:00.27, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.28, 20.03, 20.03, 20.03, 20.03, 2, 1, 2, 0 2016/9/1, 07:30:00.29, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.30, 20.03, 20.03, 20.03, 20.03, 2, 1, 2, 0 2016/9/1, 07:30:00.31, 20.03, 20.03, 20.03, 20.03, 14, 1, 14, 0 2016/9/1, 07:30:00.32, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.33, 20.03, 20.03, 20.03, 20.03, 2, 1, 2, 0 2016/9/1, 07:30:00.34, 20.03, 20.03, 20.03, 20.03, 3, 1, 3, 0 2016/9/1, 07:30:00.35, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.36, 20.03, 20.03, 20.03, 20.03, 4, 1, 4, 0 2016/9/1, 07:30:00.37, 20.03, 20.03, 20.03, 20.03, 3, 1, 3, 0 2016/9/1, 07:30:00.38, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.39, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 2016/9/1, 07:30:00.40, 20.03, 20.03, 20.03, 20.03, 3, 1, 3, 0 2016/9/1, 07:30:00.41, 0.00, 20.05, 20.02, 20.03, 7, 1, 7, 0 2016/9/1, 07:30:00.42, 0.00, 20.05, 20.02, 20.05, 1, 1, 0, 1 2016/9/1, 07:30:00.43, 0.00, 20.05, 20.02, 20.05, 1, 1, 0, 1 2016/9/1, 07:30:00.44, 0.00, 20.07, 20.02, 20.05, 1, 1, 0, 1 2016/9/1, 07:30:00.45, 0.00, 20.07, 20.02, 20.05, 2, 1, 0, 2 2016/9/1, 07:30:00.46, 0.00, 20.07, 20.02, 20.05, 1, 1, 0, 1 2016/9/1, 07:30:00.47, 0.00, 20.07, 20.04, 20.04, 2, 1, 2, 0 2016/9/1, 07:30:00.48, 0.00, 20.07, 20.03, 20.04, 1, 1, 1, 0 2016/9/1, 07:30:00.49, 0.00, 20.07, 20.04, 20.05, 2, 1, 2, 0 2016/9/1, 07:30:00.50, 0.00, 20.07, 20.04, 20.05, 1, 1, 1, 0 2016/9/1, 07:30:00.51, 0.00, 20.07, 20.06, 20.07, 1, 1, 0, 1 |
| [2017-02-23 04:06:13] |
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We now realize why this is not tick by tick data because you are on Service Package 3 and this is an expired contract. This is explained here: Interactive Brokers Trading Service: What is Included Where you see an open price of 0 for an expired contract, that data most likely came from the Interactive Brokers system and is recorded real-time 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: 2017-02-23 04:06:33
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| [2017-02-23 22:58:30] |
| User103949 - Posts: 78 |
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No, I am currently on a evaluation of service 5 package.
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| [2017-02-24 01:02:11] |
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We had incorrectly said the data you posted was not tick by tick data. We were not reading the correct column and being misled by the open not being 0 which we expect would be 0 in the case of tick by tick data. We have looked into this and the reason you see data like this: 2016/9/1, 07:30:00, 20.03, 20.03, 20.03, 20.03, 1, 1, 1, 0 Is because at the time of the trade, there was no bid and ask prices. Why, we do not know. It is not something we have any control over or can help with. Most likely this is just due to the fact of the exchange not transmitting the market depth data before some trades. Just accept it as it is. 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: 2017-02-24 01:04:45
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