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Date/Time: Sun, 17 Feb 2019 23:41:40 +0000



Questions on Historical Data from SC Exchange Data Feed

Support Request:
[2019-02-04 06:30:52]
User493712 - Posts: 11
Hi SC support,

I'm new to SC and just starting a trial of your exchange data feed. I explored the exported intraday tick data of ESH19 and see some unexpected. Can you explain a little?

1. Milliseconds in timestamps always start from 1 and end at a number less than 100. It looks like a counter not actual millisecond-level timestamp. So this data do not come with actual millisecond timestamp?

2. The data have bid/ask volumes columns but no bid/ask prices or quotes. Do you provide full book historical data including quotes?

Thank you.
[2019-02-04 19:05:18]
Sierra Chart Engineering - Posts: 69001
1. Yes this is correct. True millisecond time stamping should come in a few months.

2. If the data being exported is tick by tick you will see the bid and ask prices. Refer to step 6 here:
https://www.sierrachart.com/index.php?page=doc/ImportExport.html#ExportData

Before exporting the data, set Sierra Chart to a Tick by Tick Data Configuration. Follow the instructions here to do this:
https://www.sierrachart.com/index.php?page=doc/TickbyTickDataConfiguration.php

Do you provide full book historical data including quotes?
No.
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: 2019-02-04 20:38:12
[2019-02-04 19:39:35]
User493712 - Posts: 11

If the data being exported is tick by tick you will see the bid and ask prices.

I'm confused. Do you mean bid/ask volumes, not bid/ask prices?
In the documentation, only bid/ask volumes are listed in column names.
[2019-02-04 20:39:09]
Sierra Chart Engineering - Posts: 69001
The bid and ask prices assuming you have used Edit >> Export Intraday Data to Text File

From documentation:
The format of the exported data is as follows: Date, Time, Open, High, Low, Last, Volume, NumberOfTrades, BidVolume, AskVolume. In the case of when a data record consists of 1 tick/trade, NumberOfTrades will be set to 1 in this case, the Open is equal to 0, the High is equal to the Ask price, the Low is equal to the Bid price, and the Last is equal to the trade price. Volume is equal to the volume of the trade.

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: 2019-02-04 20:39:18
[2019-02-04 22:27:58]
User493712 - Posts: 11
In DTS "Intraday Data Storage Time Unit" set to 1 Tick (see attached), then Edit >> Delete All Data and Download, and I exported using Edit >> Export Intraday Data to Text File. Below is a piece of ESH19.txt. We can see Open is not 0, and low (bid) price is always the same as high (ask) price. Is this really 1 tick/trade?


2019/2/4, 21:59:50, 2721.00, 2721.00, 2721.00, 2721.00, 1, 1, 1, 0
2019/2/4, 21:59:51, 2721.00, 2721.00, 2721.00, 2721.00, 1, 1, 1, 0
2019/2/4, 21:59:52, 2721.00, 2721.00, 2721.00, 2721.00, 1, 1, 1, 0
2019/2/4, 21:59:52.1, 2721.00, 2721.00, 2721.00, 2721.00, 1, 1, 1, 0
2019/2/4, 21:59:52.2, 2721.00, 2721.00, 2721.00, 2721.00, 1, 1, 1, 0
2019/2/4, 21:59:52.3, 2721.00, 2721.00, 2721.00, 2721.00, 3, 1, 3, 0
2019/2/4, 21:59:54, 2721.25, 2721.25, 2721.25, 2721.25, 2, 1, 0, 2
2019/2/4, 21:59:56, 2721.25, 2721.25, 2721.25, 2721.25, 2, 1, 0, 2
2019/2/4, 21:59:56.1, 2721.25, 2721.25, 2721.25, 2721.25, 1, 1, 0, 1
2019/2/4, 21:59:56.2, 2721.25, 2721.25, 2721.25, 2721.25, 1, 1, 0, 1
2019/2/4, 21:59:56.3, 2721.25, 2721.25, 2721.25, 2721.25, 1, 1, 0, 1
2019/2/4, 21:59:56.4, 2721.25, 2721.25, 2721.25, 2721.25, 3, 1, 0, 3
2019/2/4, 21:59:56.5, 2721.25, 2721.25, 2721.25, 2721.25, 1, 1, 0, 1
2019/2/4, 21:59:57, 2721.25, 2721.25, 2721.25, 2721.25, 1, 1, 0, 1
2019/2/4, 21:59:59, 2721.25, 2721.25, 2721.25, 2721.25, 1, 1, 0, 1
2019/2/4, 21:59:59.1, 2721.25, 2721.25, 2721.25, 2721.25, 2, 1, 0, 2
2019/2/4, 21:59:59.2, 2721.25, 2721.25, 2721.25, 2721.25, 1, 1, 0, 1
2019/2/4, 21:59:59.3, 2721.25, 2721.25, 2721.25, 2721.25, 4, 1, 0, 4
2019/2/4, 21:59:59.4, 2721.25, 2721.25, 2721.25, 2721.25, 1, 1, 0, 1
2019/2/4, 21:59:59.5, 2721.25, 2721.25, 2721.25, 2721.25, 10, 1, 0, 10
2019/2/4, 21:59:59.6, 2721.25, 2721.25, 2721.25, 2721.25, 2, 1, 0, 2
2019/2/4, 21:59:59.7, 2721.25, 2721.25, 2721.25, 2721.25, 2, 1, 0, 2
2019/2/4, 21:59:59.8, 2721.00, 2721.00, 2721.00, 2721.00, 2, 1, 2, 0
2019/2/4, 21:59:59.9, 2721.00, 2721.00, 2721.00, 2721.00, 1, 1, 1, 0
2019/2/4, 21:59:59.10, 2721.00, 2721.00, 2721.00, 2721.00, 1, 1, 1, 0
2019/2/4, 21:59:59.11, 2721.00, 2721.00, 2721.00, 2721.00, 1, 1, 1, 0
2019/2/4, 21:59:59.12, 2721.00, 2721.00, 2721.00, 2721.00, 1, 1, 1, 0
2019/2/4, 21:59:59.13, 2721.25, 2721.25, 2721.25, 2721.25, 2, 1, 0, 2
2019/2/4, 21:59:59.14, 2721.25, 2721.25, 2721.25, 2721.25, 2, 1, 0, 2
2019/2/4, 21:59:59.15, 2721.25, 2721.25, 2721.25, 2721.25, 1, 1, 0, 1
2019/2/4, 21:59:59.16, 2721.00, 2721.00, 2721.00, 2721.00, 1, 1, 1, 0

Date Time Of Last Edit: 2019-02-04 22:35:52
imageScreen Shot 2019-02-04 at 1.51.40 PM.png / V - Attached On 2019-02-04 22:19:11 UTC - Size: 110.36 KB - 16 views
[2019-02-05 23:56:39]
Sierra Chart Engineering - Posts: 69001
This is 1 Tick data but we can see that it is not exported in the format that we have documented, where the High is the Ask price and the Low is the Bid price. This will be resolved in the next release.
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.
[2019-02-10 19:55:34]
User493712 - Posts: 11
Ok I got it correctly from binary file, except open prices at some rows are -1.99e37 not 0 which can be ignored. Looks like this is just exporting tool problem. Your data are good.


(43436.95833913, -1.999001e+37, 2794.75, 2794.5 , 2794.5 , 1, 2, 2, 0),
(43436.95833914, -1.999002e+37, 2794.75, 2794.5 , 2794.5 , 1, 3, 3, 0),
(43436.95833916, -1.999001e+37, 2794.75, 2794.5 , 2794.75, 1, 2, 0, 2),
(43436.95833917, -1.999002e+37, 2794.75, 2794.5 , 2794.75, 1, 3, 0, 3),
(43436.95833918, 0.000000e+00, 2794.75, 2794.5 , 2794.5 , 1, 1, 1, 0),
(43436.95833919, 0.000000e+00, 2794.75, 2794.5 , 2794.75, 1, 1, 0, 1),
(43436.9583392 , 0.000000e+00, 2794.75, 2794.5 , 2794.75, 1, 2, 0, 2),
(43436.95833921, 0.000000e+00, 2794.75, 2794.5 , 2794.75, 1, 1, 0, 1),
(43436.95833922, 0.000000e+00, 2794.75, 2794.5 , 2794.75, 1, 1, 0, 1),
(43436.95833924, 0.000000e+00, 2794.75, 2794.5 , 2794.75, 1, 1, 0, 1),
(43436.95833925, 0.000000e+00, 2794.75, 2794.5 , 2794.75, 1, 2, 0, 2),
(43436.95833926, 0.000000e+00, 2794.75, 2794.5 , 2794.75, 1, 1, 0, 1),
(43436.95833927, 0.000000e+00, 2794.75, 2794.25, 2794.75, 1, 1, 0, 1),
(43436.95833928, 0.000000e+00, 2794.75, 2794.25, 2794.75, 1, 1, 0, 1),
(43436.95833929, 0.000000e+00, 2794.75, 2794.25, 2794.75, 1, 2, 0, 2),
(43436.95833931, 0.000000e+00, 2794.75, 2794.25, 2794.75, 1, 2, 0, 2),
(43436.95833932, 0.000000e+00, 2794.75, 2794.25, 2794.25, 1, 5, 5, 0),
(43436.95833933, 0.000000e+00, 2794.75, 2794.25, 2794.75, 1, 1, 0, 1),
(43436.95833934, 0.000000e+00, 2794.75, 2794.25, 2794.75, 1, 1, 0, 1),
(43436.95833935, 0.000000e+00, 2794.75, 2794.25, 2794.75, 1, 1, 0, 1),
(43436.95833936, -1.999001e+37, 2795. , 2794.25, 2795. , 1, 1, 0, 1),
(43436.95833937, 0.000000e+00, 2795. , 2794.25, 2795. , 1, 1, 0, 1),
(43436.95833939, -1.999002e+37, 2795. , 2794.25, 2795. , 1, 1, 0, 1),
(43436.9583394 , -1.999001e+37, 2795. , 2794.25, 2794.25, 1, 1, 1, 0),
(43436.95833941, 0.000000e+00, 2795. , 2794.25, 2794.25, 1, 5, 5, 0),
(43436.95833942, 0.000000e+00, 2795. , 2794.25, 2794.25, 1, 1, 1, 0),
(43436.95833943, -1.999002e+37, 2795. , 2794.25, 2794.25, 1, 2, 2, 0),
(43436.95833944, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833946, 0.000000e+00, 2795. , 2794. , 2795. , 1, 2, 0, 2),
(43436.95833947, -1.999001e+37, 2795. , 2794. , 2795. , 1, 4, 0, 4),
(43436.95833948, -1.999002e+37, 2795. , 2794. , 2795. , 1, 2, 0, 2),
(43436.95833949, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.9583395 , -1.999001e+37, 2795. , 2794. , 2795. , 1, 7, 0, 7),
(43436.95833951, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833953, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833954, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833955, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833956, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833957, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833958, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833959, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833961, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833962, -1.999002e+37, 2795. , 2794. , 2795. , 1, 2, 0, 2),
(43436.95833963, -1.999001e+37, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833964, -1.999002e+37, 2795. , 2794. , 2795. , 1, 3, 0, 3),
(43436.95833965, -1.999001e+37, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833966, 0.000000e+00, 2795. , 2794. , 2795. , 1, 8, 0, 8),
(43436.95833968, -1.999002e+37, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833969, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.9583397 , 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833971, 0.000000e+00, 2795. , 2794. , 2795. , 1, 2, 0, 2),
(43436.95833972, 0.000000e+00, 2795. , 2794. , 2795. , 1, 1, 0, 1),
(43436.95833973, 0.000000e+00, 2795. , 2794. , 2795. , 1, 25, 0, 25),
(43436.95833975, 0.000000e+00, 2795. , 2794. , 2794. , 1, 1, 1, 0),
(43436.95833976, 0.000000e+00, 2795. , 2793.75, 2795. , 1, 1, 0, 1),
(43436.95833977, 0.000000e+00, 2795. , 2793.75, 2795. , 1, 1, 0, 1),
(43436.95833978, 0.000000e+00, 2795. , 2793.75, 2795. , 1, 5, 0, 5),
(43436.95833979, -1.999001e+37, 2795. , 2793.75, 2793.75, 1, 1, 1, 0),
(43436.9583398 , 0.000000e+00, 2795. , 2793.75, 2793.75, 1, 1, 1, 0),
(43436.95833981, -1.999002e+37, 2795. , 2793.75, 2793.75, 1, 1, 1, 0),
(43436.95833983, -1.999001e+37, 2794.75, 2793.75, 2794.75, 1, 1, 0, 1),
(43436.95833984, -1.999002e+37, 2794.75, 2793.75, 2794.75, 1, 1, 0, 1),
(43436.95833985, 0.000000e+00, 2794.75, 2793.75, 2794.75, 1, 1, 0, 1),
(43436.95833986, -1.999001e+37, 2794.75, 2793.75, 2795. , 1, 9, 0, 9),
(43436.95833987, 0.000000e+00, 2794.75, 2793.75, 2795. , 1, 10, 0, 10),
(43436.95833988, 0.000000e+00, 2794.75, 2793.75, 2795. , 1, 1, 0, 1),
(43436.9583399 , 0.000000e+00, 2794.75, 2793.75, 2795. , 1, 1, 0, 1),
(43436.95833991, 0.000000e+00, 2794.75, 2793.75, 2795. , 1, 1, 0, 1),
(43436.95833992, 0.000000e+00, 2794.75, 2793.75, 2795. , 1, 5, 0, 5)]

[2019-02-11 20:00:56]
Sierra Chart Engineering - Posts: 69001
If you update to the current version the data will now be exported with the right values using the built-in export functionality.
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.

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