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Date/Time: Fri, 27 Jan 2023 15:08:40 +0000



Past data discrepancies

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[2022-09-27 11:33:51]
User98657 - Posts: 285
I'm finding a discrepancy between previous period data in SC and the same periods using IRT and DTNMA.

The recent downward trend has caused me to go back and look at data from 2020. In doing that work I started seeing discrepancies between my SC data and the data I was seeing using IRT and DTNMA.

I'm using a 5 minute chart and going back into early 2020 and I'm looking at the RTY. I load and save all my tick data. DTNMA is not a live data feed, but the broker supplied after-market download - again using as much tick data as it will give me.

I'm using Continuous Futures Contract, Date Rule, Back Adjusted data.

The first date of any significance was on 9/13 where you and they differ by 5 ticks at the open, high, and low. By the time I get back to November of 2020 the difference is close to 5 points. This seems to be small accumulations of differences adding up to the 5 points, but I've only spent an hour or so trouble shooting it so I can't say for sure.

I have done multiple downloads on both systems to ensure that was not the issue.

IRT does not perform a back adjustment as you do, I'm sure you know this. And I'm sure you know DTNMA provides back adjusted data.

Thought you'd want to know and perhaps take a look. Some of it may have something to do with the CME recently changing the roll date.
Date Time Of Last Edit: 2022-09-27 11:53:20
[2022-12-29 13:17:10]
User98657 - Posts: 285
I didn't get a response to this. The back adjusted data in SC still appears to remain off by roughly 5 points on a Date-Ruled, Back-Adjusted chart.

When you dig into it, it becomes clear it is related to the roll.

Is there anything we can do about it?
[2022-12-29 17:26:05]
John - SC Support - Posts: 21711
Do not use the back adjusted option and if you use it, understand how it works. Refer to:
Continuous Futures Contract Charts: Understanding Back Adjusted Price Data and Comparisons

Also we do not help with comparison to other data feeds. If you see an issue that is inconsistent with the documentation, then first re-download the data:
Continuous Futures Contract Charts: Re-Downloading Continuous Futures Contract Data
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-12-29 17:56:31]
User98657 - Posts: 285
I'm not sure I'm understanding your answer completely.

If I don't use back adjusted data, how do I get accurate charts in futures on data prior to each roll? I would see today's prices accurately, of course, but looking at a daily chart, for instance, using intra day tick data, the days that occurred in the previous contract would not be relative to today's price if not back adjusted.

Is there another option to get that accurately?

Thanks.
[2022-12-29 18:35:10]
John - SC Support - Posts: 21711
Our point is simply that if you are not happy with the results of the Back-Adjustment, then do not use it.

Refer to the following for more information on how you can adjust the Back-Adjustment:
Continuous Futures Contract Charts: Controlling Rollover Amount for Back Adjustments
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing

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