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Date/Time: Thu, 17 Jun 2021 18:17:01 +0000



[Locked] - True Millisecond/Microsecond Time Stamping and ACSIL

[2019-02-03 13:43:06]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
Update 2020-05-23: Important update at post #14 below.

----

We are gradually starting to work on support for true millisecond and microsecond time stamping. Milliseconds will be used where available. Microseconds will act as a counter for multiple trades within the same millisecond.

The SCDateTime format is documented here:
https://www.sierrachart.com/index.php?page=doc/SCDateTime.html#Introduction

The internal format is going to be changed to the time since the UNIX epic time of January 1, 1970 UTC. It will represent the number of microseconds since that time and hold only integer values but still be a double type.

This is going to cause compatibility issues with ACSIL studies that use the SCDateTime type and they will have to be recompiled for the version that is released that has the new internal format for SCDateTime. This is not likely to be for about two months.

Our thought is that in order to make the transition as easy as possible that we would support custom study DLL files for older and newer versions of Sierra Chart at the same time. If the transition to this new format occurs at version 1900 then a 64-bit DLL will have this naming format:
[DLL name]_1900_64.dll

This file can also exist with [DLL name]_64.dll

So a DLL that has _1900_ in its file name would be compatible with that version and any version higher. The number 1900 will be a fixed number.

So no matter what version a user is running of Sierra Chart, the appropriate DLL will exist assuming they have a _1900_ version.
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Date Time Of Last Edit: 2020-05-24 10:54:10
[2019-02-03 14:57:38]
tomgilb - Posts: 2891 | Ending Date: 2021-10-14
The internal format is going to be changed to the time since the UNIX epic time of January 1, 1970 UTC
What will be the discrepancy between Sierra Chart and Excel for those of us who export data from the Trade Activity Log and from spreadsheets?
https://www.sierrachart.com/index.php?page=doc/SpreadsheetFunctions.html#SerialDateTimeValues
[2019-02-03 19:03:13]
ganz - Posts: 1034 | Ending Date: 2019-04-28 [Expired]
SC Support

The internal format is going to be changed to the time since the UNIX epic time of January 1, 1970 UTC
Finally! :)

This is the good news! Thnx.
[2019-02-03 19:24:37]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
What will be the discrepancy between Sierra Chart and Excel for those of us who export data from the Trade Activity Log and from spreadsheets?
https://www.sierrachart.com/index.php?page=doc/SpreadsheetFunctions.html#SerialDateTimeValues
There will be none because the SCDateTime class will still support the old integer (day) and fractional (time) format. And will still return the old format by default unless specifically asking for the UNIX integer format.
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[2019-02-04 08:51:56]
Merlin - Posts: 81 | Ending Date: 2020-06-26 [Expired]
What will be the availability for millisecond-accurate market data?

I'm specifically interested in historical and current CME data through the Sierra data feed, but also the Sierra market statistics, especially Tick for the various indexes.
Are your data servers already capturing and storing the true millisecond data from the exchange? Or will that only happen once this is ready for release?

I'm also thinking about potential backtesting issues if there is a crossover point, where all data up to a certain date is in the old format with false milliseconds, and then suddenly one day the data shows true milliseconds.

Also, it would be great to have the Replay functionality extended to provide smooth, accurate sub-second playback once millisecond data is available.
These days it seems that more and more market action takes place within a single second.
[2019-02-04 09:36:41]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
These questions will be answered later.

This thread is now locked.
Sierra Chart Support - Engineering Level

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[2019-10-20 20:16:16]
caligola - Posts: 101 | Ending Date: 2021-11-17
In Eurex charts I see milliseconds time stamp as a counter for multiple trades within the same second.

When it will become a true millisecond time stamp?

Do I have to change some settings to show true millisecond time stamp in SC 1997?

thanks in advance
[2019-10-20 20:56:53]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
Yes this development is still in progress. There is a lot involved in it.
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[2020-01-28 06:25:35]
User106180 - Posts: 88 | Ending Date: 2019-09-10 [Expired]
Hi SC. I appreciate that my account has expired but am interested in reactivating if this will be implemented soon.

How is this progressing? You have mentioned elsewhere that this has been implemented for market depth data.
When it is implemented will all data be true millisecond time stamped (going back several years), or will it only be from the time of implementation?

Thanks.
[2020-01-28 17:43:05]
Sierra_Chart Engineering - Posts: 1394 | Ending Date: 2021-09-29
Yes millisecond time stamping has been implemented for market depth data.

The underlying work for millisecond time stamping for trades has been done. We expect to be continuing work in the next month or so. And finishing it.
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[2020-01-28 22:46:03]
User106180 - Posts: 88 | Ending Date: 2019-09-10 [Expired]
Thank you SC.

Will the tick by tick data from Sierra Chart Historical Data Service (from 2011 for CME Group) have true millisecond time stamping when this implemented in the next month or so?
[2020-01-28 23:08:18]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
No existing data will not be affected. And we would start on the work in about a month or so. It will not be available in a month. It would still be three or more months out.
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Date Time Of Last Edit: 2020-01-28 23:08:57
[2020-05-19 22:40:31]
j4ytr4der_ - Posts: 396 | Ending Date: 2021-06-30
Just checking in, any news on this feature?
[2020-05-24 10:53:44]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
We are now getting back to this thread after a long time.

We are going to be releasing a new version of SCDateTime where the internal storage uses a 64-bit integer and the epoch is still the same at 1899-12-30 00:00:00.

This has support for microsecond precision and is completely accurate without any floating-point error and is high-performance.

When we released this, compatibility with existing custom studies is going to be "broken" and studies will need to be recompiled for the version that supports this.

There is no way for us to maintain back compatibility. That is far too complicated and problematic. A simple recompile will be all that is needed for custom studies to work on the version that supports this new Date-Time format.

Also the "naming format" mentioned in post #1 will be implemented.

Spreadsheets will not be affected in any way.

We expect the release will happen in June 2020.

The reason is has taken a long time is because in part we are just very busy with so many different things and can only spend so much time on it and also, there is a lot of development and testing related to this, and changes throughout Sierra Chart to ensure performance is maintained and actually improved when working with Date-Time values and there are no unexpected problems.
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Date Time Of Last Edit: 2020-05-24 11:33:01
[2020-05-24 10:57:59]
binaryduke - Posts: 288 | Ending Date: 2021-07-06
Could we have pre-warning of this becoming the live version please in order that clients of commercial indicators are not left in a position where they need to roll back? This will allow commercial indicators to co-ordinate an update around your own.
[2020-05-24 11:17:56]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
Yes we will post a message here and certainly this will be a prerelease for an extended time. We can also just make it a release which is accessible only by specifying its version number through the installer.

Actually as we think about this some more, the naming format mentioned in the first post really is something that we need to be implementing. So we will be implementing that.
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Date Time Of Last Edit: 2020-05-24 11:22:55
[2020-06-13 18:11:05]
ejtrader - Posts: 631 | Ending Date: 2021-10-27
SC Team - Is it safe enough now to stop using SCDateTimeMS and just use SCDateTime or still need to use SCDateTimeMS to support milliseconds.

thanks
Date Time Of Last Edit: 2020-06-13 18:13:39
[2020-06-13 20:52:13]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
No and we do not know how you come to that conclusion. We never said anything like this. When we make reference to SCDateTime which is the base class of SCDateTimeMS, we are referring to both types.


SCDateTimeMS is documented here:
https://www.sierrachart.com/index.php?page=doc/SCDateTime.html#SCDateTimeMillisecondVariables
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2020-06-13 20:52:51
[2020-06-28 13:25:22]
User355030 - Posts: 142 | Ending Date: 2021-07-15
Is MS time stamps now available?
[2020-06-29 04:07:09]
Sierra_Chart Engineering - Posts: 1394 | Ending Date: 2021-09-29
Not yet. We are getting close to this. We are working on the final implementation but this is still probably 2 to 3 weeks away.

And this is going to be very disruptive when released because it will break compatibility with all custom studies and they will all have to be recompiled.

And also all writing Date-Time values to files will be done as integers rather than as doubles.

New versions of Sierra Chart can handle both integers and doubles when reading these Date-Time values from files. That has already been released. So it is important that users keep up-to-date to minimize any impact from the change if they want to rollback.
Sierra Chart Support - Engineering Level

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[2020-07-27 04:06:16]
ejtrader - Posts: 631 | Ending Date: 2021-10-27
SCTeam - From prior post it appears like you are going to store Date as Integer value - Which is a good news. Is there any function available to convert from current SCDateTime Value to an integer and vice Versa?


Edit - Noticed the following functions for this. Could you please confirm?

time_t TestDateUnix = SCDateTimeToUNIXTime(sc.BaseDateTimeIn[sc.ArraySize-1]);
SCDateTime TestDate = UNIXTimeToSCDateTime(TestDateUnix);

Thanks
Date Time Of Last Edit: 2020-07-27 04:18:57
[2020-07-27 18:59:25]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
This is not relevant now but this function will be what you would want to use:
SCDateTime::ValidateAsCorrectDateTime

Or at least have a look at the internal code of that function.

But in general you should never have a need to do this.
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Date Time Of Last Edit: 2020-07-27 18:59:42
[2020-08-04 12:41:47]
User355030 - Posts: 142 | Ending Date: 2021-07-15
Really excited about this functionality, is there a set date for the release?
[2020-08-05 19:06:33]
User355030 - Posts: 142 | Ending Date: 2021-07-15
@SCE What's the ETA?
[2020-08-05 19:10:31]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
We cannot answer the question. We can never give time estimates. That is an impossibility and we will often always be wrong especially due to the load we have on this Support Board. That dramatically slows things down for us.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2020-08-05 19:11:23
[2020-08-10 18:53:12]
User220914 - Posts: 158 | Ending Date: 2021-08-14
We all love sierra chart and appreciate all the work you put in and of course we are at times very
SELFISH and want what we need or want individually as fast as possible so we know you gusy work really hard to
help us as mch as you can.

anyway we are all looking forward to this new format and ability .
thank you
[2020-08-10 20:02:59]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
We will do an initial release, not with millisecond time stamping but with the new integer based SCDateTime object which supports microsecond time stamping. We can have this out before the end of the week. That will need to undergo testing.

It is important when updating to this version that you are already running version 2110 or higher and if you go back to a prior version you go back to a version greater or equal to 2110 because Date-Time values will be written as integers to files and you need that version or later for Sierra Chart to be able to read integer Date-Time values.

You will have to recompile your custom studies on this version when it comes out. All prior custom studies will no longer be compatible but a simple recompile is all that is necessary.
Sierra Chart Support - Engineering Level

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[2020-08-12 06:29:23]
Sierra_Chart Engineering - Posts: 1394 | Ending Date: 2021-09-29
For the changes to support true millisecond time stamping, go to this thread:
https://www.sierrachart.com/SupportBoard.php?ThreadID=55364
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[2020-09-11 15:38:16]
ganz - Posts: 1034 | Ending Date: 2019-04-28 [Expired]
SC Support

There is some typo in the docs
https://www.sierrachart.com/index.php?page=doc/SCDateTime.html#SCDateTimeMember_GetTimeInSecondsWithoutMilliseconds
[2020-09-12 02:55:57]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
Specifically what?
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[2020-09-12 05:04:16]
ganz - Posts: 1034 | Ending Date: 2019-04-28 [Expired]
SC Support

https://www.sierrachart.com/index.php?page=doc/SCDateTime.html#SCDateTimeMember_GetTimeInSecondsWithoutMilliseconds

looks like this class member func is doubled and there is no docs for GetTimeInMilliseconds() class member func at all
[2020-09-12 17:27:19]
User355030 - Posts: 142 | Ending Date: 2021-07-15
@SCE Is the millisecond timestamping available yet?
[2020-09-12 22:20:00]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
Regarding post #32, we have updated the documentation.

Regarding post #33, yes.
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Date Time Of Last Edit: 2020-09-12 22:20:08
[2020-09-12 23:51:35]
User355030 - Posts: 142 | Ending Date: 2021-07-15
What version supports the millisecond time stamping ?

@sce
[2020-09-13 02:42:53]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
The current version does and that is 2166:
https://www.sierrachart.com/index.php?page=doc/Whats_New.php
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[2020-09-13 14:26:01]
User355030 - Posts: 142 | Ending Date: 2021-07-15
@sce

Thank you, last question does market depth data before this update reflect millisecond time stamping, or does the market depth data have to be recorded with the newest version of SC?
[2020-09-13 22:04:13]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
Yes market depth data has had millisecond time stamping for over a year now.
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