Support Board
Date/Time: Tue, 25 Feb 2025 11:03:29 +0000
Reconciling data in spreadsheet (Denali data)
View Count: 970
| [2021-03-20 20:21:16] |
| Eisenhower - Posts: 30 |
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I just switched to the Denali data feed and noticed at least one field with missing data on a historical (daily) chart and its associated spreadsheet study. The security is 10Yr Treasury Note futures (ZN) with volume-based rollover setting and the date is question is December 5 2018 - four days after rollover. The chart and spreadsheet both show very low, identical volume for both Dec. 4 and 5 2018, and an open, high, low, and closing price of 120-0.5/32 on December 5, suggesting no range or change throughout the session. See attached screenshot or view chart here - http://www.sierrachart.com/image.php?Image=1616271616173.png December 4 and 5 were a Tuesday and Wednesday and neither day was a market holiday. Any help fixing this would be very much appreciated. |
 Screenshot 2021-03-20 205447.png / V - Attached On 2021-03-20 20:17:17 UTC - Size: 64.41 KB - 225 views |
| [2021-03-22 12:45:31] |
| Eisenhower - Posts: 30 |
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I've investigated this issue a bit further and it seems that this is not isolated to Denali. A friend, using CQG data reported similar problems with the Dec. 4 - 5, 2018 time frame, and at least one other public source of historical data (investing.com) also shows some anomalies around that Dec. 5 date. But again, data integrity is extremely important to me and I'd really like to get to the bottom of this, even if it means going straight to the CME. Any insight from Sierra Chart would be very much appreciated. |
| [2021-03-22 21:46:29] |
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We will look this over as soon as possible.
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 |
| [2021-03-22 21:55:05] |
| Eisenhower - Posts: 30 |
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Thank you. One more piece of information I just learned was that the markets were closed on Dec. 5 2018 for a National Day of Mourning following the death of President George H.W. Bush. This, however, would indicate that the volume data is inaccurate.
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| [2021-03-28 10:03:43] |
| Eisenhower - Posts: 30 |
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Any follow-up on this? The volume data for treasury futures on Dec. 5, 2018 remain incorrect, which could adversely affect data studies and strategy backtests by implying that the markets were open that day when in fact they were not. The reported volumes for Dec. 4 also appear incorrect, which makes me question other reported data as well. |
| [2021-04-05 09:48:40] |
| Eisenhower - Posts: 30 |
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While I'm waiting for a response to the above, there is another issue that has come up. The daily charts for TY and US, and presumably other securities as well, are not showing Friday's trading. Indeed, while most markets were closed on Friday, April 2, rates and FX were open for a shortened morning session. The price data are shown on intraday charts, but on daily charts these data are not showing up at all. In TY, for example, intraday data from Friday, April 2 shows an intraday high of 131-20/32 and a significantly lower close. None of this is shown in the daily data. If I'm analyzing the data and running a strategy backtest my results will be flawed. I consider this an important issue and ask that you respond. You spent months talking up your Denali data and now that I'm paying for it I expect accuracy. |
| [2021-04-06 01:46:52] |
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Regarding post #6, contact the exchange about this. There is not going to be data for Friday. I consider this an important issue and ask that you respond. You spent months talking up your Denali data and now that I'm paying for it I expect accuracy. There is nothing wrong. Contact the exchange. We expect you to understand, how the exchanges provide data. We are not going to explain that. That is their responsibility. Instead you post here, thinking there is something wrong. There is not! Do not take more time from us on this.
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: 2021-04-06 01:48:19
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| [2021-04-06 12:07:43] |
| Eisenhower - Posts: 30 |
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No, this issue remains unresolved. Please see the attached, showing CME reported historical daily data for RTY alongside the Sierra Chart / Denali data. The CME data clearly shows price and volume on April 2 while SC / Denali does not. The April 1 volumes also do not match. Moreover, the SC / Denali data from Dec. 4 and 5, 2018, at least for the Treasury futures (I have not checked everything) remains inaccurate. Date Time Of Last Edit: 2021-04-06 12:13:30
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| rtydaily040221.png / V - Attached On 2021-04-06 12:01:58 UTC - Size: 135.37 KB - 221 views |
| [2021-04-06 14:01:19] |
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If you check the CME website, they have no settlement data for April 2. It does not exist. That chart is not a CME chart using true CME data. It is not a point of reference at all. There is no problem here. You are never going to convince us of this because the fact is we are correct.
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 |
| [2021-04-06 16:49:24] |
| Eisenhower - Posts: 30 |
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So now the CME data is not CME data? And April 2 did not exist? Fine, then please explain to me why the Denali historical daily data for RTY on April 1, a day that clearly DID exist, shows volume of only 9216, when Denali's own intraday data for that same day shows total volume of well over 100,000 (see attached) And you STILL haven't addressed the errors in the Dec. 4-5 2018 data. The point is that I keep finding errors and omissions in your Denali data and it's *almost* funny watching you try to deflect and deny, except it's not. It's downright childish and wholly unprofessional. |
| rtydaily.png / V - Attached On 2021-04-06 16:45:58 UTC - Size: 103.2 KB - 197 views |
| [2021-04-06 17:40:26] |
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and it's *almost* funny watching you try to deflect and deny, except it's not. At this point we are declining further support regarding April 2 and other holidays. You need to contact the CME with your questions regarding data for April 2. You obviously are paying no attention to what we are telling you and you have your own beliefs. The only question is whether you get any accurate information out of the CME.And also the historical end of day data is not part of the Denali Exchange Data Feed. This comes from a different data provider. It is not our own data. However, in this case it is correct. Fine, then please explain to me why the Denali historical daily data for RTY on April 1, a day that clearly DID exist, shows volume of only 9216, We have to ask our data provider about this. This does not look right.
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: 2021-04-07 19:32:56
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| [2021-04-08 11:32:44] |
| Eisenhower - Posts: 30 |
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I see that the volume entries for RTY and other indices on April 1 have been repaired. The incorrect volumes for Dec. 5 2018, however, have not (see attached). I understand that you hold the CME responsible for this, and that you consider it my responsibility to correct this, but I still consider it relevant to the broader issue of data integrity - something that I would like to believe is equally important to Sierra Chart. These volume errors were obvious and therefore easy for me to detect. But now I have to ask myself: What other errors remain undetected? What caused these errors in the first place? Would the volume data for the indices on April 1 have been repaired if I had not brought it to your attention? What protocols are in place to prevent future errors from occurring? ...and most importantly, CAN I TRUST THE DENALI DATA FEED? I'm sorry that my posts on this topic have apparently upset you, but Sierra Chart customers are a very demanding and exacting lot. You should expect that from financial industry professionals whose livelihood depends on precision and accuracy. Date Time Of Last Edit: 2021-04-08 11:35:44
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| tydec4volume.png / V - Attached On 2021-04-08 11:16:55 UTC - Size: 20.18 KB - 201 views |
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