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Date/Time: Wed, 19 Feb 2020 02:23:35 +0000



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

[2019-02-03 13:43:06]
Sierra Chart Engineering - Posts: 81236 | Ending Date: 2020-06-09
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.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2019-02-03 13:46:45
[2019-02-03 14:57:38]
tomgilb - Posts: 2377 | Ending Date: 2020-02-29
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: 964 | 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: 81236 | Ending Date: 2020-06-09
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.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2019-02-04 08:51:56]
Merlin - Posts: 72 | Ending Date: 2020-02-01 [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: 81236 | Ending Date: 2020-06-09
These questions will be answered later.

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

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2019-10-20 20:16:16]
caligola - Posts: 86 | Ending Date: 2020-05-08
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: 81236 | Ending Date: 2020-06-09
Yes this development is still in progress. There is a lot involved in it.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-01-28 06:25:35]
User106180 - Posts: 86 | 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: 528 | Ending Date: 2020-11-26
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.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation
[2020-01-28 22:46:03]
User106180 - Posts: 86 | 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: 81236 | Ending Date: 2020-06-09
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.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2020-01-28 23:08:57

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