Support Board
Date/Time: Sun, 22 Dec 2024 05:24:29 +0000
Data issues
View Count: 807
| [2015-06-25 19:55:37] |
| User17477 - Posts: 65 |
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Hi Support, Please help me understand the following: Two images are attached showing monthly vwap for es. The first image (bm) shows vwap around 2098 yesterday. I have back adjusted data based on volume rollover with sc data feed. The next image (bm2) is from today and the vwap is much lower. This happened after i deleted my data and download again after seeing other traders vwap was at a different level. Why did i have to delete data and download to get the correct vwap level please? Is there some parameter i am missing to do this "automagically"? cheers |
bm 2.jpg| [2015-06-25 20:43:52] |
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This is impossible for us to answer this question with any definiteness. In general there should not be a change with the data in the chart after re-downloading the historical data if you are using the Sierra Chart Exchange Data Feed but your chart images do not show the symbols or give us confirmation that this data feed is being used. We have no idea whether there was any interruption with using that data feed at any prior point in time during the time span of the data in the chart. We also do not know if there was any change simply by reloading the chart. If so, the issue was not the stored historical data. It is possible, an intermittent packet loss problem that existed about two weeks ago and lasted for about a month prior to that, might have had a small effect on this. The general answer is, we do not know why. And there should not be a change when re-downloading the data. We recommend waiting a week and re-downloading the last week and see if you notice a change with the study. There should not be. If there is, let us know. Make sure you have the Base on Underlying Data input with the Volume Weighted Average Price study set to Yes. 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: 2015-06-25 23:10:25
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| [2015-06-25 23:09:49] |
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Also because you are using the Continuous Contract option to rollover based on volume with back adjustments, this has a dependency on the historical daily data for the symbol. If that data is incomplete, then that can affect the prices significantly. So that is another thing which complicates this further. Our opinion is that the historical daily data which this chart depends on may have been incomplete which caused the rollover date or the back adjustment amount to change after the data was re-downloaded. The re-download also includes historical daily data. It is our opinion, that volume analysis should not be done on back adjusted data because the prices are being changed to prices that the market never traded at. And being this is for the ES futures, you should always use a date-based rollover. Not a volume rollover. 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: 2015-06-26 01:15:52
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