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Direct MessagesDate/Time: Sat, 20 Apr 2024 09:13:27 +0000
ReadIntradayFileRecordForBarIndexAndSubIndex() and Original Summary Trade imcompatibility
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| [2018-10-09 16:42:06] |
| Andy Sureway - Posts: 93 |
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Hello Sierra Chart Engineering, It seems that ReadIntradayFileRecordForBarIndexAndSubIndex() is not compatible with the option "Combine Trades Into Original Summary Trade" (Chart -> Chart Setting -> Advanced Settings 3). Attached is an experiment I did. In the bottom pane, the red line is the number of ticks within each bar calculated using ReadIntradayFileRecordForBarIndexAndSubIndex function by going over all intra day records of each bar. The black line is the number of ticks from BaseData. The red line is often twice or three times the value of the black line. Can I confirm that the ReadIntradayFileRecordForBarIndexAndSubIndex function looks into the original tick data? Is there a way we can inspect each Original Summary Trade record within each bar? Thanks a lot! |
Attachment Deleted.  Screen Shot 2018-10-09 at 9.37.14 AM.png / V - Attached On 2018-10-09 16:37:55 UTC - Size: 145.93 KB - 232 views |
| [2018-10-09 17:11:14] |
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You are accessing the raw data. There is no consideration of Combine Trades Into Original Summary Trade when using that function.
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: 2018-10-09 17:11:47
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| [2018-10-09 17:13:32] |
| Andy Sureway - Posts: 93 |
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Thanks for confirming my observation. Do you mean that at the moment ACSIL does not provide a way to access the combined summary tick data? Thanks!
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| [2018-10-09 21:15:41] |
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Yes that is correct. We do not foresee adding this capability.
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 |
| [2018-10-11 04:28:11] |
| Andy Sureway - Posts: 93 |
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Thanks! Sierra Chart Exchange Data Feed Supports Reporting Original Summary Trades From CME | Post: 134721 In a post above you mentioned 2. The data is uncombined and you have the ability to combine them. There is a new structure member indicating the beginning trade and the ending trade.
Did you refer to the following functions of the s_IntradayRecord structure? bool IsSingleTradeWithBidAsk() const; bool IsFirstSubTradeOfUnbundledTrade() const; bool IsLastSubTradeOfUnbundledTrade() const; bool IsFirstOrLastSubTradeOfUnbundledTrade() const; Does IsFirstSubTradeOfUnbundledTrade returns true for market orders not split into multiple trades? Thanks! |
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