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Direct MessagesDate/Time: Sat, 20 Apr 2024 16:13:30 +0000
Sierra Chart Data Feed Stock Prices
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| [2020-07-06 23:02:04] |
| User56280 - Posts: 10 |
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Dear Sierra Chart customer support, I am using the Sierra Chart Data Feeds for Nasdaq and NYSE. Over the last weeks I have noticed a lot of these candles for multiple symbols. E.g. the red candle shows a high of ca 1215 and a low of ca 783. When I go to edit/download the data it shows me a high of 1215.99 and a low of 1214.29. http://www.sierrachart.com/image.php?Image=1594076131609.png These candles make it hard to read and analyse these charts since I cannot be sure if the stock price spiked or I am looking at another "off candle". Although the ones in the screenshot occurred during after hours they also occur during normal trading hours. I am not sure about what is happening here. I do not see these candles in my other platform. Please advice. Thanks and regards. |
| [2020-07-07 01:51:03] |
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These are actual trades. And they have to be filtered out from the data feed. This is a monumentally frustrating thing for us to deal with. We have gone back and fourth on issues like this for years. We put too much filtering and then someone complains that certain trades should not be filtered out. We reduce the filtering, and then we get reports like this. One thing to understand is that these are actual trades. There are absolutely no data errors at all. What you see is the actual market data feed from the exchanges. 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 |
| [2020-07-07 03:52:40] |
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One thing we realize is that you are looking at evening session data. Do not include evening session data in those charts. Refer to: Chart Session Times: Use Evening Session (optional) (Chart >> Chart Settings >> Session Times) That will immediately resolve those out of range values. We examined the trade in one of those cases and it was an odd lot trade. We are going to add odd lot trade filtering in an upcoming release. 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: 2020-07-07 03:53:01
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| [2020-07-07 13:49:32] |
| User56280 - Posts: 10 |
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Thank you for your reply. I am sorry to hear this has frustrated you for a while. I can imagine. I did switch my charts from using the evening session to only use start and end time after documenting the trades below and also refreshed it, however this did not change anything. I am still seeing the spikes from the following example. Following another example that is occurring during live hours - according to the number bars it trades 1 stock twice many points away from current price. This makes no sense considering the best bid and ask laws in the US. During live hours this definitely cannot happen in a liquid stock like Tesla unless we are talking about an error in algorithms where suddenly all liquidity gets pulled and we suddenly trade many points lower for a millisecond and they actually execute at that price. It can also not be darkpools due to the reporting requirements and that they still have to follow the best bid/ask rules. http://www.sierrachart.com/image.php?Image=1594129074477.png http://www.sierrachart.com/image.php?Image=1594129143276.png Maybe it's a trade that went through an alternative display facility with different reporting requirements and did not actually take place at that instant but was only reported then. However - I am not sure ADFs would trade just 1 stock. More on ADFs: https://www.finra.org/filing-reporting/alternative-display-facililty-adf. The odd lot trade filter - I presume - would also filter this example? I will be looking forward to that release. Thank you. |
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