Support Board
Date/Time: Wed, 25 Dec 2024 13:56:13 +0000
Inaccuracy in tick data provided by SC Historical Data
View Count: 768
| [2015-11-12 19:12:45] |
| Greedygoblin - Posts: 2 |
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I've decided to verify Tick data for consistency: downloaded tick data using SC Historical Data service and tested it with my own program. Results of verification has raised problem: a lot of records has inconsistent fields. For example lets take a look at A6H15 symbol: Total records: 2993057 137891 records has contradiction between price and Bid/Ask volume fields like: TradePrice=AskPrice (High) but AskVolume=0 and BidVolume=TradeVolume or TradePrice=BidPrice (Low) but BidVolume=0 and AskVolume=TradeVolume so fields in these records shows quite opposite pictures of market order side. In this particular example 4.6% of all records (some other symbols had even 7%) doesnt allow to determine market order side (buy or sell), which means I cant rely on this data if market trade direction is important for me, can I? Could you please clarify which way I need to interpret data in such record to have exact trade direction as it was provided by your datafeed? 1) Ignore position of TradePrice (Close) relative to Ask/Bid prices and take into account only which field (AskVolume, BidVolume) is equal to TotalVolume. 2) Ignore AskVolume, BidVolume and take into account only to which price (High, Low) corresponds TradePrice (Close). 3) There is no way to determine true historical direction of trade 4) other... to make it easier to see what I mean I'll provide screenshot of last such record: as you can see on the picture, BidVolume=3 (means Market Sell), while TradePrice=AskPrice (Close=High) (means Market Buy) this record is seventh from the end. |
 SCRecord.png / V - Attached On 2015-11-12 19:08:56 UTC - Size: 28.92 KB - 271 views |
| [2015-11-12 19:23:32] |
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The reason for this is that whether a trade occurred at the Bid or the Ask is based upon a field from the Chicago Mercantile Exchange multicast data feed. Sierra Chart does not make this determination by comparing the last trade price to the Bid or Ask. You can be assured that what you are seeing is 100% accurate. This is actually explained here: https://www.sierrachart.com/index.php?page=doc/doc_NumbersBars.php#Definitions 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: 2015-11-12 19:24:08
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| [2015-11-12 19:26:48] |
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To answer your question, what you describe at "1" is the correct way to determine the direction.
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 |
| [2015-11-12 19:46:01] |
| Greedygoblin - Posts: 2 |
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Thank you!
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