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Date/Time: Wed, 29 Jun 2022 16:10:40 +0000



Volume and cumulative volume delta data inconsistency with Denali Data Feed

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[2022-05-17 15:48:17]
User791341 - Posts: 3
Hello,

I have an issue with data quality that I can't seem to resolve.

I used your trial for a couple of days to evaluate the Denali Data Feed. Once I saw what great quality it was and what trade opportunities I can generate with it, I subscribed to Service Package 10 on Thursday last week.

On the Thursday, Friday, and yesterday, I noticed, however, that the volume and cumulative volume delta data I am getting "feel" different. Namely that during some topping/bottoming patterns I do not see any algorithmic behaviour anymore.

Fortunately, I had the trial instance still running on a different virtual machine to where I am running the new paid instance with Service Package 10 (I changed to a different VM because of Interactive Brokers port requirements). So, this morning, I was able to compare the 2 data sets side-by-side: and sure enough the data on the trial instance (VM) was nice and clean whilst the data on the Service Package 10 instance (VM) was somehow corrupt. I thought that this could be due to the paid instance VM having some other ports closed and the data download from SC thus being incomplete.

So then I thought that I would just open the ports on the trial VM to enable Interactive Brokers working there and be done with it. I then logged in to the trial VM with my paid account but then I saw again that the data is somehow different.

I then made sure to take screenshots (unfortunately I cannot upload it in the way that you require in the Add/Edit Attached Files popup window, because the old clean data is now gone) of the difference between the trial VM to the paid VM data (the two screenshots are side-by-side in the attached image). On the left is what the data used to look like and on the right is what it is now. I tried to "Delete and Download Data" to see if it fixes the problem, however, it only made all of the nice and clean historical data disappear and I now have the "corrupt" data everywhere, with no signs on algorithmic behaviour.

I am not sure if I am clear enough, though I really tried hard to phrase this as clearly as possible.

Could you please help me out? I could not find a similar issue anywhere on the board and I am getting really desperate.

Thank you in advance!
Tomas
Attachment Deleted.
imageScreenshot 2.png / V - Attached On 2022-05-17 15:45:24 UTC - Size: 1.73 MB - 41 views
[2022-05-17 16:36:02]
John - SC Support - Posts: 17020
The only thing we can say is that the data on the right matches to what we see. Therefore, the data from the image on the left is the one that is questionable, but since that data is no longer available, we have no idea why the Cumulative Delta Bars - Volume are different.
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[2022-05-17 21:24:49]
User791341 - Posts: 3
Thank you for the quick response. I am playing around to figure out where this is coming from and have come across more strange behaviour:

This is what I get for volume and cumulative volume delta, in line with what I'd expect:
https://www.sierrachart.com/image.php?Image=1652822506550.png

This is what I get when I simply duplicate the same chart:
https://www.sierrachart.com/image.php?Image=1652822636175.png

Notice the huge difference in behaviour, e.g. at the 10:06 mark. How is this possible?
[2022-05-17 21:39:57]
John - SC Support - Posts: 17020
The first thing we would like for you to do, in order to make sure that things are simplified, is to NOT use a Trade and Current Quote Symbol. If you are not aware, when using this option and not having Use as Trade Only Symbol set to Yes, then the Bid and Ask information is going to be from the Trade and Current Quote Symbol, not from the main symbol.

Another thing to check is the setting for Chart >> Chart Settings >> Chart Data >> Combine Trades Into Original Summary Trade and ensure that this is set the same between the charts.

We would not expect either of these to be different when you duplicate the chart, but there is something occurring that is giving you differences and we need to find what it is.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-05-17 23:00:38]
User791341 - Posts: 3
Chart >> Chart Settings >> Advanced Settings 3 >> Combine Trades Into Original Summary Trade was unchecked for both charts.

As for Trade and Current Quote Symbol, I actually tried to play with it before.

I erased Trade and Current Quote Symbol on both charts and unchecked Use as Trade Only Symbol. Then I got the same outcome as in the duplicated chart in my previous post
https://www.sierrachart.com/image.php?Image=1652822636175.png
Problem solved? Unfortunately not.

Worryingly, when I put back MES into Trade and Current Quote Symbol and left Use as Trade Only Symbol unchecked, I would expect this ES/MES chart to be showing MES data as per your post above and as per https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#TradeAndCurrentQuoteSymbol. However, my MES chart
https://www.sierrachart.com/image.php?Image=1652828006671.png
looks different than the ES/MES
https://www.sierrachart.com/image.php?Image=1652828572726.png


Even more worryingly, when I subsequently erased Trade and Current Quote Symbol, I would expect to get back either of the outcomes from my previous post
https://www.sierrachart.com/image.php?Image=1652822506550.png
https://www.sierrachart.com/image.php?Image=1652822636175.png

but instead I get
https://www.sierrachart.com/image.php?Image=1652828081642.png

Which means I effectively got 3/4 different and inconsistent outcomes... and the rabbit hole seems to go deeper.
Date Time Of Last Edit: 2022-05-17 23:03:05
[2022-05-18 14:08:53]
John - SC Support - Posts: 17020
Whenever you make a change you would need to redownload all the data to ensure you have a consistent set of information based on the way the settings are at that time. It sounds like there are a couple of situations above where you may have still had a mix of information.

To delete the data select Edit >> Delete all Data and Download.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-05-18 14:16:30]
Sierra Chart Engineering - Posts: 103518
This setting never has any effect whatsoever on chart bars in an Intraday chart:
Trade and Current Quote Symbol

It is fully irrelevant. The chart bars are always based upon the main Symbol of the chart.

Also do re-download the data as explained in post #6 to make sure you have data only from the Denali Data Feed.

And duplicating a chart will cause chart bars to become different if the starting Date-Time in the chart changes. Refer to:
Working With Charts: Resolving Differences of Chart Bars Between Charts

And another thing, make sure you do not have two separate installations of Sierra Chart using the same Data Files Folder. They must all use separate Data Files Folders.
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: 2022-05-18 14:21:05
[2022-05-18 14:21:23]
Sierra Chart Engineering - Posts: 103518
Post above has been updated.
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
[2022-05-18 20:23:59]
Sierra Chart Engineering - Posts: 103518
Additionally:

Set Sierra Chart to a Tick by Tick Data Configuration. Follow the instructions here to do this:
Tick by Tick Data Configuration
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

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