Support Board
Date/Time: Wed, 27 Nov 2024 22:29:26 +0000
missing data, NQ, MNQ, ES, MNQ, March 2020
View Count: 462
| [2023-07-04 15:20:54] |
| User725043 - Posts: 35 |
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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] |
| User431178 - Posts: 544 |
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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] |
| User725043 - Posts: 35 |
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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 - 88 views |
| [2023-07-04 18:20:03] |
| User431178 - Posts: 544 |
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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] |
| Sierra_Chart Engineering - Posts: 17198 |
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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
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