Support Board
Date/Time: Fri, 27 Dec 2024 01:01:33 +0000
Using "Combine Sun-Mon Daily Bars" with Interactive Brokers data - choices?
View Count: 1868
| [2015-11-02 15:53:39] |
| FFTrader - Posts: 180 |
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[ALL TIMES ARE EASTERN US] I have been using Sierra and IB for a long time and never really bothered with the accuracy with (mostly futures) data belong to which daily bar after Friday's market closing pit/day/Open Outcry ("pit") session and Monday's opening pit session. Take for example ES. It closes Friday at 4:15PM Eastern and opens Monday 9:30AM. I call this the "Psuedo Weekend Session". My question to Sierra Chart Support - and everyone using Sierra Chart and IB - is: How do I set up Sierra so that the data from the Psuedo Weekend Session data gets included into Monday's daily bar using Intraday Charts? My desire is also that once set-up, ALL daily bars needs to start at 9:30AM everyday and needs to end at 4:15PM for the pit session and the night session starts at 4:30PM and ends at 9:30AM the next day - reason being that this time period is the Open Outcry session as per the CME Group descriptions ... for all common futures contracts and not limited to ES ( and my discussion scope here applies to futures like GC, CL, ZN, 6E, HG, NG, ZC, etc.) I do not want to set my evening session to start at 6PM as the open outcry have long ended (which I am doing now) BEFORE 6PM. If I set up my pit session (for ES, as an example) from 9:30AM to 4:15PM and evening session from 4:30PM to 9:30AM, my daily chart have 6 days week BUT my market profile charts accurately reflect the Open Outcry / pit session. Date Time Of Last Edit: 2015-11-02 16:01:04
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| [2015-11-02 19:11:33] |
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All we can say is refer to the Session Times documentation here: https://www.sierrachart.com/index.php?page=doc/doc_SessionTimes.php You basically need to use reverse Session Times to have a 24-hour chart bar which starts in the prior day. It is up to you to figure out all the details of what you want. If you cannot accomplish what you want, then it is just not 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 Date Time Of Last Edit: 2015-11-02 19:11:55
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| [2015-11-02 21:32:32] |
| FFTrader - Posts: 180 |
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You basically need to use reverse Session Times to have a 24-hour chart bar which starts in the prior day.
It is up to you to figure out all the details of what you want. If you cannot accomplish what you want, then it is just not possible. I have use Sierra Chart long enough to be able to understand using reverse Session Times. I will try different permutations as to where to put the reverse session times in. There were only one reference example in the above link - but I am not sure which of the boxes would apply with a reversed session AND which of the boxes would not as per the settings shown in the above link (under Session Times sub-section). I am assuming session times settings are in direct correlation with the same settings found under each symbol's session time settings. In my humble opinion, there are really 3 types of sessions: 1. Day / pit / Open Outcry session. 2. Evening / night session. 3. After Open Outcry session closed but before Evening / Night session begins. Sort of an in-between session. If Sierra Chart can include all three, it may help? Date Time Of Last Edit: 2015-11-02 21:56:05
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| [2015-11-02 22:04:08] |
| FFTrader - Posts: 180 |
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I will try different permutations
One permutation that is not working is that the "TPO Profile Chart" study is now using the wrong times to compute if reverse session times were used. Tested it just now and it will only work if I have a separate Sierra Chart session and that session uses Open Outcry session times only in the Chart Settings --> Session Times and put in actual - not reversed - under the boxes of "Start Time" and "End Time". (Assuming I have no need to Overlay studies across different Sierra Chart session.) In which case it adds more confusion as to how to implement Reverse Session times in relation to getting correct market profile during the Open Outcry Session. If you can let me have an example in relation to the 3 different sessions discussed above, it will be idea. Date Time Of Last Edit: 2015-11-02 22:06:47
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| [2015-11-02 22:49:49] |
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Once again, it is your responsibility to determine the Session Times that you require. From our perspective we are not understanding what you are writing. You understand what you need to do. And if you are struggling with it to this point, our belief is that it is not supported what you want to do. There are not 3 sets of session times and that will not be supported. 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 |
| [2015-11-03 00:35:42] |
| FFTrader - Posts: 180 |
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Once again, it is your responsibility to determine the Session Times that you require. From our perspective we are not understanding what you are writing. You understand what you need to do.
And if you are struggling with it to this point, our belief is that it is not supported what you want to do. There are not 3 sets of session times and that will not be supported. All times are Eastern: Just to be clear, I know my sources of the session times are accurate - as they are from the CME Group's website. Let's use for example the CL contract (see:http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_contract_specifications.html): Open Outcry session is Monday - Friday 9:00AM to 2:30PM CME Globex session is Sunday - Friday 6:00PM to 5:00PM The 3 sets of session times that I am referring to - for CL - as an example and base on CL specification per CME are: 1. Open Outcry: Mon-Fri 9:00AM to 2:30PM 2. Night: Sun-Thur 6:00PM to 9:00AM 3. In between: Mon-Fri: 2:30PM - 5:00PM Given the above specification, Situation 1: If I specify Session Times's Start Time as 6PM to 5PM (reverse time), my charts shows 5 daily charts per week BUT I have no recourse in specifying the Open Outcry Session time to that the TPO Profile Chart shows ONLY the Open Outcry Session's market profile. Situation 2: If I specify Session Time's Start Time as 9AM to 2:30PM - as the Open Outcry session, my TPO Profile Chart shows the correct market profile BUT my daily chart shows a 6 days week - not 5 days. Again, I have mitigate the above issue using a combination of features of the platform. However, it was never a solution to cover the issues indicated in both situations. I urge Sierra Support to at least take a look and hopefully there is a resolution somehow. |
| [2015-11-03 01:43:29] |
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We do not know what is meant by this: However, it was never a solution to cover the issues indicated in both situations.
Session Times have no effect upon Historical Daily charts. If you are using Intraday charts for daily bars, then this is a complete impossibility: Situation 2:
If I specify Session Time's Start Time as 9AM to 2:30PM - as the Open Outcry session, my TPO Profile Chart shows the correct market profile BUT my daily chart shows a 6 days week - not 5 days. There is no trading on Sunday during that time range. We do not have any further information to offer. There is nothing that we know that you do not already know and we are not going to add a third set of Session Times. You can count on that. 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: 2015-11-03 17:49:57
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| [2015-11-03 02:07:15] |
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The Session Times documentation has not been updated and reviewed in a while. We are doing that now and we will have revised documentation out in a few hours which is more clear and better organized. 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: 2015-11-03 17:48:48
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| [2015-11-03 03:03:05] |
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This information here should also be helpful for TPO Profile Charts. http://www.sierrachart.com/index.php?page=doc/doc_TPOVolProfileCharts.html#SessionTimes http://www.sierrachart.com/index.php?page=doc/doc_TPOVolProfileCharts.html#DayEveningSeparateProfiles 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 |
| [2015-11-03 16:22:20] |
| FFTrader - Posts: 180 |
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Just to be clear, I assumed we all know that base on specifications from CME Group, there is no trading on Sunday during open outcry session times. Therefore, such a fact is implied in all my comments above. Also, up to this point of the discussion, I am assuming all intraday charts have the same identical start/end time definitions. Also, for the TPO Profile Charts, I am aware of and is using it as described in the 2 links you provided. The 3 sets of session times that I am referring to - for CL - as an example and base on CL specification per CME are:
1. Open Outcry: Mon-Fri 9:00AM to 2:30PM 2. Night: Sun-Thur 6:00PM to 9:00AM 3. In between: Mon-Fri: 2:30PM - 5:00PM Ok, my follow up discussion would be this (which is essentially my situation 2 above): 1. Use Historical Chart only as daily bars or larger. I have been doing that before initiating this but the historical charts may not always update fast enough - especially for faster markets. After all, the ability to overlay studies and price is what makes this platform strong - and I suppose many wants to overlay the daily chart onto intra-day charts? 2. For the Open Outcry session and with Intraday charts, I will use it as per my Situation 2 above and input those times into the session Start Time and session End Time boxes. 3. For night session boxes, I will use the times OUTSIDE of the Open Outcry session regardless of whether it was "in between" or not. Per my quote of the 3 different session, I am lumping together item 2 and item 3. I really hope that you can implement the 3 sessions discussed (one more distinct session AFTER the Open Outcry have closed but BEFORE the night session begins) in addition to the current 2 available sessions. |
| [2015-11-03 18:08:03] |
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I have been doing that before initiating this but the historical charts may not always update fast enough - especially for faster markets.
This does not make sense. Historical charts update at the same speed as Intraday charts.
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 |
| [2015-11-05 07:55:47] |
| FFTrader - Posts: 180 |
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This does not make sense. Historical charts update at the same speed as Intraday charts.
For Historical Charts, I use the "SC Historical Data [data]" service and daily charts? Or you are suggesting that I am using the wrong service for Historical Charts? |
| [2015-11-05 08:04:17] |
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It does not matter because all Historical charts are updated with the real-time data from the primary connected Data or Trading service. We assume these Historical Daily/Weekly charts are opened in the instance connected to Interactive Brokers. 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: 2015-11-05 08:04:36
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| [2015-11-05 15:37:38] |
| FFTrader - Posts: 180 |
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It does not matter because all Historical charts are updated with the real-time data from the primary connected Data or Trading service.
We assume these Historical Daily/Weekly charts are opened in the instance connected to Interactive Brokers. Nope - only the Interactive Broker instance updates. The SC Historical Data service instance does not? |
| [2015-11-05 17:55:30] |
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When using the "SC Historical Data" service as the main service, the charts will not update in real time.
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 |
| [2015-12-08 03:49:41] |
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With some recent changes to Session Times and the identification of what is a weekend, we think you can accomplish what you want in the newer versions of Sierra Chart. Also you have the ability to control whether to load Saturday, Sunday, or both Saturday and Sunday data in the chart. 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: 2015-12-08 03:49:58
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| [2016-03-28 13:13:44] |
| FFTrader - Posts: 180 |
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Okay, I want to revisit this issue since December. Using IB data and intraday charts, I set the daily charts to 1-0-0 for 1 day. However, I noticed that in all instances, the "Combine Sun-Mon Daily Bars" does not work when I checked that box. As such, I get a 6 bars week. What gives and how do I combine Sun-Mon Daily Bars? |
| [2016-03-28 17:23:43] |
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That option is only for Historical Daily charts. To do what you need , you need to reversed Session Times: https://www.sierrachart.com/index.php?page=doc/doc_SessionTimes.php#WhyReverseSessionTimes 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 |
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