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Direct MessagesDate/Time: Sun, 05 May 2024 02:49:15 +0000
Sierra tick statistics - seconds with no data
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| [2017-09-26 01:03:41] |
| Merlin - Posts: 81 |
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I'm noticing something strange in the Sierra Market Statistics. I use TICK-NQ and TICK-NASDAQ extensively. My understanding is that values for these statistics are meant to be transmitted at least twice each second, and often more frequently than that. What I'm seeing in my live data is that there are many seconds when no values for these stats are transmitted at all. For example, for the 1-minute time period beginning at 15:30 New York time today, I count 18 seconds (almost one-third of the 60 seconds within the minute) where no tick data appears. I've traced the problem to the actual data, and put together a simple chart to illustrate it. I created a 1-second TICK-NASDAQ chart, checked "Include Columns with no data", unchecked "Do Not Draw Columns With No Data" on Chart Settings/Advanced Settings, and added the "Number of Trades" study: http://www.sierrachart.com/image.php?Image=1506386054964.png Notice that there are many, many bars where number of trades = 0. I also notice that these seconds when no ticks are transmitted most often follow a second where a high number of ticks has been transmitted. Looking at older data, this seems to have happened much less frequently in the past. The first day I see with so many empty seconds is Tuesday September 5. For example, here is view of the same chart from August 25, there is only one second without ticks within the 4-minute period shown: http://www.sierrachart.com/image.php?Image=1506386638505.png So this seems to be a new behavior. I don't believe this is how this is supposed to work? My guess is that this is a problem with the data feed. But please let me know if it indicates something wrong with my installation, or some option I need to change. Thanks. Merlin |
| [2017-09-26 17:18:39] |
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My understanding is that values for these statistics are meant to be transmitted at least twice each second, and often more frequently than that.
From documentation: The update frequency is 250 milliseconds for all Sierra_Chart market statistics assuming there is trading activity in the underlying symbols. Otherwise, there is no data transmitted. Within each 250 millisecond timeframe, the high and low extremes within that timeframe are also transmitted. Therefore, there can be more than 4 updates per second.
It is not unusual to have the feed not active for a particular second. For example, for the 1-minute time period beginning at 15:30 New York time today, I count 18 seconds (almost one-third of the 60 seconds within the minute) where no tick data appears. This would indicate most likely a problem with the underlying data feed at that time.We would expect this kind of issue not to occur once we change to the Barchart OpenFeed but we have not done that because we have seen packet loss issues with that feed. Once we have more confidence with it, then we will switch. 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 |
| [2017-09-26 20:04:55] |
| Merlin - Posts: 81 |
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Today the problem seems to have gotten worse. Please take a look at this chart from this morning: http://www.sierrachart.com/image.php?Image=1506453751959.png This chart is pretty typical of the whole day. It was during a relatively high-volume period when the NQ market was making a sharp move - it wasn't a low-activity period. For the 2-minutes from 10:58:00 to 11:00:00 (NY time), 56 out of 120 seconds - just below half - show no data. This is way more than I was seeing yesterday or in previous days. There are many cases where 2 seconds in a row show no data. And these seem to bunch together. For example, in the 10 seconds from 10:59:02 to 10:59:11, there are only 3 seconds with tick data - 70% of the seconds are empty. This is significantly worse than yesterday's behavior, as you can see by comparing the charts from my post #1 to today's chart. And, again, empty seconds like this were quite rare before the problem began on September 5. I've also noticed now that, for all the cases I've checked, a second that has no TICK-NASDAQ data transmitted, also has no TICK-NQ data transmitted. The empty seconds are consistent across the two statistics. Up until now I've been very pleased with the quality of Sierra's market statistics. I've viewed them as a competitive advantage. My trading method makes extensive use of tick levels, tick extremes, and tick/price divergences. Although my main charts are all number-of-trades charts, I also watch a 1-second chart showing NQ with TICK-NQ and TICK-NASDAQ, specifically to see early warnings of these sorts of conditions - which is how I first noticed this new behavior. So yes, it could be a datafeed problem - but it could also be a subtle problem with the logic on your server that is deciding when to send out each update. Who knows, it could even be a hardware issue on that server, or on its network connection. (Here's another idea - perhaps some other process is pegging the cpu on the market statistics server, causing a series of updates that actually occurred in a previous second or two to be bunched together into a single second.) In any case, I do think this is a serious issue that requires further investigation. Thanks, and best regards, Merlin Date Time Of Last Edit: 2017-09-26 20:21:05
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| [2017-09-27 02:54:08] |
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Yes we do see the one second interruptions you are talking about and even longer ones. We are going to make one change at this time which is going to have some improvement. This was going to be done anyway even before you posted. My trading method makes extensive use of tick levels, tick extremes, and tick/price divergences. We are fairly certain there is no data loss. but it could also be a subtle problem with the logic on your server that is deciding when to send out each update. No, it definitely could not be this. No chance of that.Who knows, it could even be a hardware issue on that server, or on its network connection. The more likely case is that there is some momentary high CPU usage condition we have not yet pinpointed causing the updates to be delayed a second typically. But this does not mean there is any data loss. 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: 2017-09-27 02:56:46
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| [2017-09-27 18:49:32] |
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What this appears to be is just a timestamp issue. There is no data loss, meaning that all of the data updates are there, and there is no problem with the source US equities data feed. The data on the server is all perfect. There are no missing seconds. It is some kind of time stamping issue and it is not quite clear what is happening at this moment. We need a few days to look into this. 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 |
| [2017-09-30 08:08:31] |
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This is now resolved. There was no data loss. It was just a minor time stamping issue due to rounding. It was of no practical consequence. Will correct the historical data to the extent we can. 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: 2017-09-30 08:09:12
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