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Sierra chart data error on Bund rollover and missing historical dates

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[2021-03-05 14:52:53] #1 [Go To First Post]
User350416 - Posts: 43
Hi, After doing a volume based rollover with back adjustment the chart does not back adjust and displays a fake gap between rollover contract days. In addition to that after doing Edit > deleting all data and download it has removed all intraday data since 4 of December 20 til 1st of march 21, data which was previously available. I'm running current version 2234 and have sierra chart pack 5 with histo data provided by yourselves. I have followed all instructions in page Continuous Futures Contract Charts: Controlling Rollover Amount for Back Adjustments but this does not resolve the issue. The message log returns the following errors: Triggering next historical data download in queue. \| 2021-03-05 15:24:20.020 HD Request # 83 \| Downloading Historical Daily chart data for GGM21. Starting date: 1971-03-06. Service: DTCSubInstance \| 2021-03-05 15:24:20.020 HD Request # 83 \| Using server: 127.0.0.1 port 11098 \| 2021-03-05 15:24:20.020 Socket (2) \| Creating socket. \| 2021-03-05 15:24:20.020 Socket (2) \| New receive buffer size: 5242880 \| 2021-03-05 15:24:20.020 Socket (2) \| Connecting to IP: 127.0.0.1. \| 2021-03-05 15:24:20.020 HD Request # 83 \| Setting DTC encoding to Binary VLS \| 2021-03-05 15:24:20.073 HD Request # 83 \| Sending historical data logon request message. \| 2021-03-05 15:24:20.073 HD Request # 83 \| Requesting historical Daily data starting at 1971-03-06. \| 2021-03-05 15:24:20.073 HD Request # 83 \| Data is being downloaded from a remote source. Download will start when this is done. \| 2021-03-05 15:24:20.074 HD Request # 83 \| Decompressing data. \| 2021-03-05 15:24:22.064 HD Request # 83 \| Receiving historical Daily data for GGM21 starting at 2020-09-09 \| 2021-03-05 15:24:22.064 HD Request # 83 \| Writing historical Daily data to the file GGM21.dly \| 2021-03-05 15:24:22.065 Socket (2) \| CloseSocket call. \| 2021-03-05 15:24:22.065 Socket (2) \| 0 bytes remaining in receive buffer when socket closed. \| 2021-03-05 15:24:22.065 Socket (2) \| Shutdown started. Waiting for graceful close. \| 2021-03-05 15:24:22.065 Socket (2) \| Socket gracefully closed by remote side. \| 2021-03-05 15:24:22.066 Socket (2) \| Closed. \| 2021-03-05 15:24:22.067 Historical data download thread signaled to stop. \| 2021-03-05 15:24:22.089 HD Request # 83 \| Received 123 records from 2020-09-09 00:00:00 to 2021-03-04 00:00:00 (177.0 days) and wrote 123 records for GGM21 \| 2021-03-05 15:24:22.089 HD Request # 83 \| Completion time: 2s \| 2021-03-05 15:24:22.089 HD Request # 83 \| Daily data download complete for GGM21. Unique request ID: 86 \| 2021-03-05 15:24:22.089 Removing historical data download ID 86. \| 2021-03-05 15:24:22.089 Triggering next historical data download in queue. \| 2021-03-05 15:24:22.089 No download requests in the queue to start downloads for. \| 2021-03-05 15:24:22.089 FGBL0621-EUREX [CBV] 60 Min #8 \| Download is complete for all contract months in chart. Proceeding with data load. \| 2021-03-05 15:24:22.089 FGBL0621-EUREX [CBV] 60 Min #8 \| Reloading chart. \| 2021-03-05 15:24:22.090 Unable to determine transition date based on volume from files: GGH21.dly, GGM21.dly \| 2021-03-05 15:24:22.095 The GGM21.dly symbol may not be the active contract month. \| 2021-03-05 15:24:22.095 FGBL0621-EUREX [CBV] 60 Min #8 \| Error while getting daily open price with date 2021-03-08 from file. C:\SierraChart\SierraChartInstance_8\Data\GGH21.dly. Error: No Data for read. End of file. \| 2021-03-05 15:24:22.103 FGBL0621-EUREX [CBV] 60 Min #8 \| Error while getting daily open price with date 2021-03-08 from file. C:\SierraChart\SierraChartInstance_8\Data\GGM21.dly. Error: No Data for read. End of file. \| 2021-03-05 15:24:22.105 FGBL0621-EUREX [CBV] 60 Min #8 \| Reloading chart. \| 2021-03-05 15:24:22.256 Unable to determine transition date based on volume from files: GGH21.dly, GGM21.dly \| 2021-03-05 15:24:22.307 The GGM21.dly symbol may not be the active contract month. \| 2021-03-05 15:24:22.307 FGBL0621-EUREX [CBV] 60 Min #8 \| Error while getting daily open price with date 2021-03-08 from file. C:\SierraChart\SierraChartInstance_8\Data\GGH21.dly. Error: No Data for read. End of file. \| 2021-03-05 15:24:22.320 FGBL0621-EUREX [CBV] 60 Min #8 \| Error while getting daily open price with date 2021-03-08 from file. C:\SierraChart\SierraChartInstance_8\Data\GGM21.dly. Error: No Data for read. End of file. \| 2021-03-05 15:24:22.323 Saved Chartbook: Bund.Cht. Time: 0.0153 seconds. \| 2021-03-05 15:29:49.303 The strange behavior in this issue is that the log says it can't find the open price for 8th of March (which is normal as it is next Monday) but I'm not rolling it over date-based but VOLUME-based. Please see the chart attached in which we can see I'm using the rollover CBV mode and the 3 contract gaps with 90 days of intraday data missing. http://www.sierrachart.com/image.php?Image=1614955831800.png PLEASE HELP Thank you

[2021-03-05 15:45:38] #2 [Go To First Post]
John - SC Support - Posts: 31334
We do see this problem. It is because there is no historical Daily data available yet for EUREX from our data provider for March 5, 2021. We have to think about a solution to this. However, the problem will clear up by the end of the day. At that time reload the chart with Chart >> Reload and Recalculate. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-03-05 15:51:13] #3 [Go To First Post]
User350416 - Posts: 43
I understand, thank you We don't have this issue with CME indeed. Will also the 90 days missing of data be back at eod ?

[2021-03-05 16:32:58] #4 [Go To First Post]
John - SC Support - Posts: 31334
Where are you getting your EUREX data from? Are you using the Delayed Streaming Data from us? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-03-05 16:43:35] #5 [Go To First Post]
User350416 - Posts: 43
I'm using Rithmic + yourselves on service pack 5 to get both real time and historical data on both CME and Eurex

[2021-03-05 20:34:57] #6 [Go To First Post]
John - SC Support - Posts: 31334
Sorry for the late reply, we had to check on some aspects of the data. The main issue is that the historical data for prior contracts for EUREX is not available with Rithmic. Therefore, the best thing is to use to the Denali Exchange Data Feed for market data when using Rithmic as it has both CME and EUREX data. Refer to the information here: Denali Exchange Data Feed For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2021-03-06 00:22:10

[2021-03-06 06:47:27] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
You really have to change to the Denali Exchange Data Feed for EUREX data because we are going to remove support for all EUREX data from all other sources, effective in April 2021: New Upcoming EUREX Full Order Book Data Feed (Now Available!) \| Post: 251401 And you will have full historical data. 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: 2021-03-06 06:47:47

[2021-03-09 11:39:27] #8 [Go To First Post]
User350416 - Posts: 43
Hi, a friend trader is on denali for eurex and had exactly the same gap issue than the one I had last friday. So it seems the reason is not the data feed but something else within the software itself. Also I'm using Jigsaw for execution of my trades which is the product I prefer. Now they tell me they can't connect to Denali. Why is that? I'm Ok to change to Denali (once I can check it works great as rithmic does for me currently), however if using denali forces me to abandon the Jigsaw a product on which I invested over 1000$ then this will be really a major problem. Can you please let me know what's going on? Thank you

[2021-03-09 17:35:23] #9 [Go To First Post]
John - SC Support - Posts: 31334
The gap in the prices was a Sierra Chart issue that we resolved. The missing data that you are seeing within Sierra Chart is due to the Rithmic data. We definitely recommend moving to the Denali Exchange Data Feed for your Sierra Chart data. But that data feed is only available for Sierra Chart. It does not work with Jigsaw. You would have to continue to get the data for Jigsaw through another source. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2021-03-09 20:12:19

[2021-03-10 09:10:03] #10 [Go To First Post]
User350416 - Posts: 43
Yes but then I will have to pay twice for data and the trades I execute via Jigsaw I guess will not be drawn in my SC charts... not a good solution

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