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Direct MessagesDate/Time: Wed, 24 Apr 2024 04:54:04 +0000
Millisecond timestamps on TICK-NASDAQ
View Count: 2036
| [2014-05-24 11:24:44] |
| graggy - Posts: 15 |
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It seems that when I collect data during regular market hours, the symbol TICK-NASDAQ has many instances of individual records with the millisecond part of their timestamps greater than 0 (that is, several records share the same value for date, hour, minute, second, but have differing millisecond values). This is good. However, when I download TICK-NASDAQ tick data (that has not been previously collected live) the millisecond part of the timestamp is always set to 0, making an effective download granularity of 1 second. I am running version 1139 with OEC FIX/FAST, and have my "Intraday Data Storage Time Unit" set to "1 Tick". Am I missing something? |
| [2014-05-24 21:21:29] |
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This has been added to the documentation: The time unit of the historical data provided by the market statistics data feed is 1 second. This contains all of the updates within the single second. The update frequency for real-time data is twice a second.
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 |
| [2014-05-25 01:02:50] |
| graggy - Posts: 15 |
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1. First, a quibble about the statement in the documentation. TICK-NASDAQ, when being charted live, often is updated more than twice a second. For example in the attached file (TICK-NASDAQ-1.png) you can see that it was updated more than 100 times at 9:30:02 on 2014-05-23. Of course, the opening is an extreme case. But very often during the day the O, H, L and C of a 1 second bar are different values, indicating that the instrument must have been updated more than twice (see TICK-NASDAQ-2.png). Would it not be useful (and correct) to have the actual algorithm for live updating be described in the documentation? 2. Given that SC has collected live data with millisecond timestamps that occur more than twice per second; and given that all these distinct ticks appear on a chart, even after the chart book (or even SC) is closed and reopened, it seems inconsistent for the "Export Intraday Data to Text file" function to write out the data as 1 second O, H, L, C bars, as it seems to do for me. If this function will not be changed, will all the requisite information be available in ACSIL so that I may write my own export function that accurately shows all the different tick values that were captured in a particular second? |
Attachment Deleted.  TICK-NASDAQ-1.png / V - Attached On 2014-05-25 00:45:22 UTC - Size: 25.35 KB - 478 views TICK-NASDAQ-2.png / V - Attached On 2014-05-25 00:54:14 UTC - Size: 28.71 KB - 411 views |
| [2014-05-25 03:37:17] |
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1. We need to check on this. Apparently it is not working right. 2. Will review this later. 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 |
| [2014-05-25 10:56:54] |
| graggy - Posts: 15 |
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I hope that you would change the documentation, and not the way the TICK-XXXX instruments are updated live. There seem to be very interesting and useful patterns that become apparent when these detailed (sub-second) updates are available!
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| [2015-07-05 00:16:47] |
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1. This has been reviewed and the documentation was updated to explain how this works. 2. When exporting data, milliseconds will be written if they are part of the timestamp. 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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