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missing data, NQ, MNQ, ES, MNQ, March 2020

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[2023-07-04 15:20:54] #1 [Go To First Post]
User725043 - Posts: 42
Seeing intraday missing price data gaps in the NQ, MNQ, ES, MNQ files for March 2020 where some volume is showing, but the price data is not showing as in the attached chart example. Prices are showing before and after the intraday period of time with the issue. Redownloaded the 2020 data following instructions: Continuous Futures Contract Charts: Re-Downloading Continuous Futures Contract Data Historical Intraday Data (Missing Data / Download Errors / Viewing More Data): Retrying Downloading of Intraday Data Downloads were "Complete". Retried with both Date Rule Rollover and Volume Based Rollover. Tried both Load Data Limiting Method Days to Load (2000) and Load Data Limiting Method Date Range. Maximum Historical Intraday Days to Download set to 3000. Number of Stored Time And Sales Records set to 100000. Tried with 1 minute bar instead of 5 minute. Same issue appears on all 4 symbols in March 2020 and did: Global Symbol Settings: Update Symbol Settings Here are the dates/times of when the price gaps appear: Date Approximate beginning time of issue (EST) ------------------------------------------------------------------ MNQ 03/08/20 10:00:00 PM 03/09/20 12:00:00 AM 03/12/20 07:50:00 AM 03/15/20 06:30:00 PM 03/16/20 09:00:00 PM 03/18/20 01:15:00 AM NQ 03/08/20 09:40:00 PM 03/09/20 12:00:00 AM 03/12/20 07:45:00 AM 03/13/20 07:05:00 AM 03/15/20 06:10:00 PM 03/16/20 08:50:00 PM 03/20/20 05:30:00 AM 03/22/20 06:05:00 PM 03/24/20 05:45:00 AM MES 03/08/20 09:50:00 PM 03/09/20 12:00:00 AM 03/12/20 08:00:00 AM 03/13/20 07:10:00 AM 03/15/20 06:20:00 PM 03/17/20 02:50:00 AM 03/18/20 01:15:00 AM 03/22/20 06:00:00 PM 03/24/20 05:35:00 AM ES 03/08/20 09:40:00 PM 03/09/20 12:00:00 AM 03/12/20 08:00:00 AM 03/13/20 07:05:00 AM 03/15/20 04:20:00 PM 03/17/20 02:50:00 AM 03/18/20 01:15:00 AM 03/22/20 06:00:00 PM 03/24/20 05:35:00 AM


Private File

[2023-07-04 16:53:21] #2 [Go To First Post]
User431178 - Posts: 654
The period you are talking about was from the beginnings of covid and, rather than a problem with the data, you are seeing the result of the price limits being hit. https://www.cmegroup.com/trading/price-limits.html#equityIndex

[2023-07-04 17:24:00] #3 [Go To First Post]
User725043 - Posts: 42
User431178, thank you for the response. However, don't believe these are limit up/down trades. The limit triggers would not have been hit with the data I've received and the way it's being displayed on my chart. Sierra Chart Support, could you confirm or suggest what should be done?


Capture_MNQ_missingdata.PNG / V - Attached On 2023-07-04 17:19:23 UTC - Size: 82.99 KB - 110 views

[2023-07-04 18:20:03] #4 [Go To First Post]
User431178 - Posts: 654
The image you posted is a limit down scenario, that is why is does not trade any lower, but can trade higher. Bear in mind that the price limits were lower then than they are now (for example 5% during ETH vs. 7% now). You can even check the calculation yourself and see that it is down 5% at that point. I all but guarantee you that what you seeing is due to price limits, if someone shows otherwise then I'll eat my hat.

[2023-07-05 10:35:03] #5 [Go To First Post]
Sierra_Chart Engineering - Posts: 19305
We want you to test that symbol with the below configuration if you are not already. To access historical and streaming market data independent from your Trading service. Follow these instructions. Set "Global Settings >> Data/Trade Service Settings >> Current Selected Service" to "SC Data-All Services". Press "OK" And then translate the symbols in your Chartbooks and Sierra Chart using this "Edit' menu command: Edit Menu: Edit >> Translate Symbols To Current Service (Translate Symbols to Current Service) You can then use the data provided by Sierra Chart independent of your trading service. Follow these instructions if there is missing data: Historical Intraday Data (Missing Data / Download Errors / Viewing More Data): Retrying the Download When There is Data in the Chart Historical Intraday Data (Missing Data / Download Errors / Viewing More Data): Downloading/Viewing More Historical Intraday Data Finally contact the exchange regarding this. We are not going to be looking into this ourselves. This is not within the scope of our support at all. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-07-05 10:35:14

[2025-01-15 02:41:36] #6 [Go To First Post]
User104198 - Posts: 23
MES I cannot get the data from 2021-2024. I would like to have a 4hr chart with 4000 days of data. As you can see on pics below I can get data BEFORE 2021 so I dont know what the problem is. To fix it, Ive done - futures data rollover - deleted and downloaded data - recalculated - tried SC data to convert it but that also didn't load those years - starte a new chartbook - deleted all data in data folder. Im at a loss. Please help. Also the 1hour chart doesn't load anything before 10/7/24 when I have it loading 360 days. Is what I want to do possible? Or have I missed something? I couldve sworn Ive had this before. Am I better off reinstalling Sierra Charts? Hoping theres an easy fix. Thank You. https://www.sierrachart.com/image.php?Image=1736908419867.png https://www.sierrachart.com/image.php?Image=1736909383822.png https://www.sierrachart.com/image.php?Image=1736909547645.png https://www.sierrachart.com/image.php?Image=1736909691492.png https://www.sierrachart.com/image.php?Image=173690976325.png https://www.sierrachart.com/image.php?Image=173690983547.png Date Time Of Last Edit: 2025-01-15 06:53:17

[2025-01-15 17:05:10] #7 [Go To First Post]
John - SC Support - Posts: 39395
For the chart with the missing data from 2021-2024, please follow these instructions to get the missing data: Historical Intraday Data (Missing Data / Download Errors / Viewing More Data): Retrying the Download When There is Data in the Chart We definitely have the data - we just downloaded it ourselves to ensure there is not an issue. For the chart that will not load data further back than October 2024 - select "Delete All Data and Download" and from the window that comes up asking what contracts to redownload, please tell us the earliest contract that is showing in that list. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2025-01-17 11:55:09] #8 [Go To First Post]
User104198 - Posts: 23
Thank You! That worked. I wasn't deleting and downloading ALLthe data. It did fill the missing data!

[2025-01-17 23:15:32] #9 [Go To First Post]
Sierra_Chart Engineering - Posts: 19305
Also refer to: Historical Intraday Data (Missing Data / Download Errors / Viewing More Data): Improving Historical Intraday Data Downloading Performance 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, use the Teton service: Sierra Chart Teton Futures Order Routing

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