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Direct MessagesDate/Time: Sun, 12 May 2024 23:02:28 +0000
Reversal Bar Errors
View Count: 2259
| [2017-07-04 02:26:51] |
| User108836 - Posts: 7 |
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Hi I have noticed an issue with SC when it comes to the reversal bars, especially when used on a large tick size. When set to a tick size of less than 30 it seems to work fine but anything greater than this and problems start to occur. For example, when set to a reversal size of 40 ticks, the last/close price of a down bar will be the same as the open price of the following bar. This is not how the bars are supposed to develop as in this case the open price should always be 1 tick lower. As a result, the size of the bars will also be wrong - in this case, the distance from the high of the down bar to the open of the next bar was only 38 ticks - not 40. There are quite a few bars on the chart where the size of the bars will be off by 1-3 ticks. This doesn't happen on every single bar but seems to occur randomly throughout the chart. Again, SC works fine on the 8 or 16 tick reversal chart for example. I have the tick by tick data configuration setup correctly so I don't think that's the issue. This issue with the reversal bars also seems to be be creating a problem with the volume profiles on the reversal charts being incorrect when compared to other programs. Thanks |
| [2017-07-04 21:51:43] |
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This is because you have New Bar at Session Start enabled in the Chart Settings: Chart Settings: New Bar at Session Start (Chart >> Chart Settings >> Session Times >> Intraday Chart Session Times menu) 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: 2017-07-04 21:52:45
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| [2017-07-04 23:48:31] |
| User108836 - Posts: 7 |
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No, the option of New Bar at Session Start is not enabled. I am using the ES continuous contract.
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| [2017-07-05 04:23:13] |
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A 40 tick reversal bar can be a length of 39 ticks. We have tested a 40 tick reversal bar in ES futures and we do not observe what you are describing: the last/close price of a down bar will be the same as the open price of the following bar.
the size of the bars will also be wrong - in this case, the distance from the high of the down bar to the open of the next bar was only 38 ticks - Follow through the instructions here including re-downloading the data in the chart: Tick by Tick Data Configuration Here is the test chart: http://www.sierrachart.com/image.php?Image=1499228588950.png 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 |
| [2017-07-05 08:29:13] |
| User108836 - Posts: 7 |
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Thank you for the suggestions. Unfortunately I followed the instructions in the provided link, and I re-downloaded the data but the problem still persists. Maybe I'm wrong but the way I understood the reversal bars were meant to develop, based on the the description found in the SC documentation and how they work with other platforms such as Investor RT and Ninjatrader, is for a reversal to form off the low (an up closing bar), price would need to move up by 39 ticks from the low of the bar to the close of that bar with the following bar opening 1 tick higher. So the price movement from the low of bar 1 to the open of bar 2 would be 40 ticks. Is this correct? This seems to be how the bars develop in SC most of the time - but not all the time, which is weird. I attached an image to show you an example of what I'm referring to as not every reversal follows the rules I described above. For example, on this 40 tick reversal chart, the bar that forms on 5-11 (4th bar from the right) has a high price of 2404.50 and a last price of 2395.00. The open of the next bar is also 2395.00 thus giving us only a 38 tick bar so the open of that bar is off by 2 ticks as it should be 2394.50 http://www.sierrachart.com/image.php?Image=1499242031856.png |
| [2017-07-05 20:41:41] |
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Follow the instructions here to provide that particular chart: Support Board Posting Information: Providing Chartbook with Only a Single Chart This is a Continuous Futures Contract chart. Follow the instructions here to re-download data for all contract months: https://www.sierrachart.com/index.php?page=doc/ContinuousFuturesContractCharts.html#ReDownloading However, there really should not be a problem even if that data is one second data. There must be some thing that we are not understanding about this. This is why we want to look at the Chartbook. So the price movement from the low of bar 1 to the open of bar 2 would be 40 ticks. Is this correct? Yes assuming the low is the reference point for the calculation for that particular 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 |
| [2017-07-05 22:13:05] |
| User108836 - Posts: 7 |
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Re-downloading the data for all contract months seemed to have fixed the issue for now
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| [2017-07-05 22:56:59] |
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OK so therefore not having tick by tick data, has affected those Reversal bars more than we realized.
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 |
| [2017-07-06 04:30:53] |
| User108836 - Posts: 7 |
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I think I spoke too soon as the issue has come up again but this time on the Gold Dec 17 contract (GCZ17) What I have noticed is that the first time I load a chart, particularly of a new market, the bars are always wrong. On the continuous contract, if I follow the steps for re-downloading the continuous contract futures data, that chart is fixed. I tried reloading and downloading the data again for the Dec 17 contract but there are still errors in the chart. There are a few gaps in the chart and the difference between the last price of a bar and the open price of the next bar is sometimes more than 10 ticks as you can see in the image below. I am using the SC data feed for my free trial. http://www.sierrachart.com/image.php?Image=1499314528718.png I trialled SC about 12 months ago, and while I love the program, I had the same issue with the reversal bars back then so I don't know what the issue is as it's frustrating because it's preventing me from switching over to SC as I can't trust the bars I see on the chart. I don't know what I'm doing wrong. Also, is it possible to eliminate all the gaps on the chart when using the reversal bar as I don't want to see the weekend gaps or the contract rollover gaps (for the continuous chart). Is there an option I can select to do this? Thanks |
| [2017-07-06 04:39:18] |
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What I have noticed is that the first time I load a chart, particularly of a new market, the bars are always wrong. On the continuous contract, if I follow the steps for re-downloading the continuous contract futures data, that chart is fixed. Make sure you do not have New Bar at Session Start enabled in Chart Settings. Also, is it possible to eliminate all the gaps on the chart when using the reversal bar as I don't want to see the weekend gaps or the contract rollover gaps (for the continuous chart). Is there an option I can select to do this?
You can remove the rollover gaps by enabling one of the back adjusted continuous contract options: Continuous Futures Contract Charts: Continuous Futures Contract Rollover Options 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: 2017-07-06 04:40:07
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| [2017-07-06 05:33:19] |
| User108836 - Posts: 7 |
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I have triple checked and the "New Bar at Session Start" on the Main Settings tab is unchecked. In the GC chart image above, in the middle of the image on 6-23 you can see a big down bar that closed on Friday. The next bar has a big gap up which is the start of Mondays trading so that gap makes sense but the following 3 bars have gaps which don't make sense as they all plot within the first 15 minutes of Mondays trading (4AM NY time). The first bar plots at 4:01 AM, the second bar at 4.02 AM and the 3rd bar at 4:14 AM. I also looked at the same GC chart using a range bar and the chart is full of gaps and other errors too so I don't think it has anything to do with the reversal bar but seems to be a data issue. If I subscribed to another data feed could I fix this? Date Time Of Last Edit: 2017-07-06 05:38:34
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| [2017-07-06 07:00:37] |
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Why do the gaps not make sense? GC futures do gap sometimes by a tick or two or possibly more. And that will show up with these types of Reversal bars and they should. I also looked at the same GC chart using a range bar and the chart is full of gaps and other errors too so I don't think it has anything to do with the reversal bar but seems to be a data issue. What errors are you referring to? If you want us to help you must be very specific. There cannot be possibly anything wrong whatsoever with Range bars or Reversal bars. These are extensively used by our user base, and they work perfectly according to documentation. And the only data issue would have to do with not having tick by tick data or possibly missing data. It seems as though that your expectation is in conflict with how these types of bars work in Sierra Chart. There is a Range bar type, which will fill gaps, and that is what you should use. But this does not exist with Reversal bars. Refer to: Chart Settings: Intraday Chart Bar Period >> Bar Period Type >> Range Per Bar - Fill Gaps (in ticks) And it is not something we could get to anytime soon. Make a decision, at this time whether Sierra Chart meets your requirements or not. Sierra Chart does not believe in faking open high low close values in order to have bars look a certain way. From our perspective this simply just does not make any sense. If there is a gap, there is a gap and it needs to be displayed. However, Sierra Chart does offer manipulated bars to some extent. We offer range bars, which do have manipulations, Renko bars which are manipulated, and Flex/Universal Renko bars which are totally manipulated and do not represent the true underlying price action accurately. 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: 2017-07-06 07:07:24
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| [2017-07-06 07:28:09] |
| User108836 - Posts: 7 |
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Sorry I was not implying there was anything wrong with the range or reversal bars in SC - obviously they work fine but I can't figure out why they don't look right on MY chart. The reversal bars are a little different than what I'm used to but I can get a programmer to develop them custom for me so that's not an issue. The only issue is the weird data on my charts. I attached an image of what my 5 range GC Dec 17 chart looks like - by errors I meant huge gaps in price. Some of those gaps are 10 ticks or more which even for GC is unusual. In Ninjatrader, that same time period has absolutely no gaps on the chart so clearly there is something wrong with the data on my installation of SC. I have followed all the suggestions posted in this thread but I can't seem to find a permanent solution. Do you have any other ideas or solutions that can fix my charts as I really want to use SC? It has everything I need - this is the only issue I have with SC. http://www.sierrachart.com/image.php?Image=1499325875521.png |
| [2017-07-06 07:35:04] |
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When we answered previously, we did not look at the exact gap amounts. But we know that some small amounts are certainly normal within a tick or two. We can see they are much greater than that, and it is obvious why the problem exists. You are looking at a noncontinuous December futures chart looking back to June data. Obviously there is very little trading and lots of price gaps at that time. The reversal bars are a little different than what I'm used to but I can get a programmer to develop them custom for me so that's not an issue. The only issue is the weird data on my charts. An outside programmer cannot efficiently program these types of chart bars. This capability will come later on but it is not supported 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 |
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