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Inconsistent Bid/Ask Volume Data

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[2020-01-13 12:17:02] #1 [Go To First Post]
User462086 - Posts: 188
Hi, today I wanted to document an intraday CME CL volume bar chart from last Tuesday(1/7). The Cumulative Delta Volume study for this day had some gaps in it so I searched the support forum for possible reasons (these gaps occur frequently across several CME markets). After finding Poor Tick Data July 1 (morning)? I went through the steps outlined by SC Support in post #8. My settings were already correct and didn't require changing. After deleting & downloading data for the last CL contract (February) the bid/ask data has changed significantly from the original data recorded in real-time. The price action is close but not identical. This 500 volume bar chart is set to create a 'New Bar at Session Start' so the price action should be identical. This implies the volume has changed too. I've attached 2 charts: one showing a screen shot taken last Tuesday and the second showing the same period after the delete/download today. It's clear from the Cumulative Delta Volume study that the underlying Bid/Ask data is not the same. These are very different market conditions and I am now unable to correctly document that day. Additionally, the option to 'Split Data Records' for these volume bars in Chart Settings has no affect on the data from this day now, and perhaps other days too. This is hard to believe because this day had HUGE orders that were clearly visible as a horizontal line of ticks when the real-time data was split. The option to 'Combine Summary Trades Into Original Summary Trade' was unchecked then, and now. 1) Why would the downloaded SC historical data be different from the real-time data? This has pretty dire implications for any study that relies on historical volume data. 2) How do I get the original bid/ask data back and ensure the historical bid/ask data downloaded from SC's data feeds is always the same data that occurred in real-time? Many thanks!!


Private File Private File

[2020-01-13 21:51:21] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will look this over but those screenshots are completely unacceptable (Too complicated). You must follow the instructions here: https://www.sierrachart.com/index.php?page=PostingInformation.php#PostingAnImage 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: 2020-01-14 03:12:19

[2020-01-14 04:59:02] #3 [Go To First Post]
User462086 - Posts: 188
Apologies for the non-conforming charts. The 1/7 screenshot could not be reproduced because the underlying data has changed so I opted for an 'apples-to-apples' approach. Here are examples from yesterday (1/13). The issue persists. The first image (1578976399684.png) shows the live condition. This is what I was looking at in real-time. Note the large swings in the SC cumulative delta volume bars and the SC large volume trade indicator plots. http://www.sierrachart.com/image.php?Image=1578976399684.png The second image was taken after a right-click 'delete/download' of yesterday's data. The swings in the cumulative delta are gone, the large volume trade indicator is very different, and the time of the last bar on the chart has changed implying the trading day's cumulative volume is different. http://www.sierrachart.com/image.php?Image=1578976611240.png I've accepted your direct message request. Edit: The vertical scale of the cumulative volume study was not changed from image 1 to image 2. Date Time Of Last Edit: 2020-01-14 05:05:26

[2020-01-16 14:37:04] #4 [Go To First Post]
User462086 - Posts: 188
Hi, any news on this? Today I recorded live tick data for the 6E, CL, GC, and ZB markets in a fresh installation of SC with all the default settings. Wrote this data to file, then did a right-click 'delete/download' for the last day. Wrote that data out and then compared today's EU session for each market using WinMerge. A low percentage of the trades match. The historical files have many more trades but the real-time files have more volume. Is there a way to compensate for this discrepancy when using SC's data feed & historical data? In other words, is there a setting that enables the downloading of historical data that has been recorded from the same real-time stream that the charts use? Date Time Of Last Edit: 2020-01-17 04:13:10

[2020-01-16 14:41:36] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The reason this takes a long time because you are over providing information. This can take days before we have a chance to sort through all of what you are saying. Do not post anything further. But we do expect to get to it today. 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: 2020-01-16 14:43:40

[2020-01-16 15:51:48] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The first thing we want you to do is to provide the Message Log following the instructions below: Follow the instructions here to clear the Message Log: Message Log: Clearing the Message Log Reconnect to the data feed: File Menu: Procedure to Reconnect to the Data and Trade Servers After about 30 seconds, provide a copy of the Message Log following these instructions: https://www.sierrachart.com/index.php?page=PostingInformation.php#MessageLog 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

[2020-01-17 06:58:30] #7 [Go To First Post]
User462086 - Posts: 188
Great thanks, as requested: Software version: 2028 64-bit \| 2020-01-17 01:49:41.509 Usage end date: 2020-02-11 \| 2020-01-17 01:49:41.509 Enabled for: Advanced Features 2. \| 2020-01-17 01:49:41.509 Enabled for: Sierra Chart Historical Data Service. \| 2020-01-17 01:49:41.509 Enabled for: Sierra Chart Real-Time Exchange Data Feed. \| 2020-01-17 01:49:41.509 Enabled for: Delayed Denali Real-Time Exchange Data Feed. \| 2020-01-17 01:49:41.509 Enabled for exchange: INDEXES_DATA_BARCHART \| 2020-01-17 01:49:41.509 Enabled for exchange: CME (Trading Account Required) \| 2020-01-17 01:49:41.509 Enabled for exchange: CBOT (Trading Account Required) \| 2020-01-17 01:49:41.509 Enabled for exchange: COMEX (Trading Account Required) \| 2020-01-17 01:49:41.509 Enabled for exchange: NYMEX (Trading Account Required) \| 2020-01-17 01:49:41.509 Received 1 data feed usernames. \| 2020-01-17 01:49:41.509 Allow Support for Sierra Chart Data Feeds is enabled. \| 2020-01-17 01:49:41.509 Current selected Data/Trading service: Interactive Brokers \| 2020-01-17 01:49:41.509 Custom symbol settings values: enabled \| 2020-01-17 01:49:41.509 Chart Update Interval: 500 \| 2020-01-17 01:49:41.509 Intraday Data Storage Time Unit: 0 \| 2020-01-17 01:49:41.509 Time Zone: -05:00:00 (EST-05EDT+01,M3.2.0/02:00,M11.1.0/02:00) \| 2020-01-17 01:49:41.509 2020-01-17 15:49:41 Local computer time \| 2020-01-17 01:49:41.509 2020-01-17 06:49:41 Local computer time in UTC \| 2020-01-17 01:49:41.509 2020-01-17 01:49:41 Local computer time in SC Time Zone \| 2020-01-17 01:49:41.509 2020-01-17 06:47:55 Server time in UTC \| 2020-01-17 01:49:41.509 Local computer UTC time and Server UTC time difference: 1 seconds. \| 2020-01-17 01:49:41.509 Program path: C:\SierraChart_Live\ \| 2020-01-17 01:49:41.509 Data Files path: C:\SierraChart_Live\Data\ \| 2020-01-17 01:49:41.509 OS Version Number: 10.0 \| 2020-01-17 01:49:41.509 Locale Setting: C \| 2020-01-17 01:49:41.509 Interactive Brokers \| Connecting to 127.0.0.1:7497 \| 2020-01-17 01:53:11.171 Socket (1) \| Creating socket. \| 2020-01-17 01:53:11.171 Socket (1) \| Connecting to IP: 127.0.0.1. \| 2020-01-17 01:53:11.171 Interactive Brokers \| Sending API sign: API \| 2020-01-17 01:53:11.674 Interactive Brokers \| Sending client version: v100..136 +PACEAPI. Waiting for acceptance. \| 2020-01-17 01:53:11.675 Interactive Brokers \| TWS server version: 118 \| 2020-01-17 01:53:11.681 Interactive Brokers \| TWS time: 20200117 15:53:10 JST \| 2020-01-17 01:53:11.681 Interactive Brokers \| Connected. Sending Start API command. \| 2020-01-17 01:53:11.931 Interactive Brokers \| Waiting for account information. \| 2020-01-17 01:53:11.931 IB Account information received. \| 2020-01-17 01:53:11.932 Interactive Brokers \| Received 1 Trade Accounts from TWS. \| 2020-01-17 01:53:11.932 Interactive Brokers \| Connected to Demo or Simulated account. \| 2020-01-17 01:53:11.932 Interactive Brokers \| Not previously connected to Live account. \| 2020-01-17 01:53:11.932 Interactive Brokers \| Connected to data and trading server. \| 2020-01-17 01:53:11.932 Triggering next historical data download in queue. \| 2020-01-17 01:53:11.932 Triggering next historical data download in queue. \| 2020-01-17 01:53:11.932 Triggering next historical data download in queue. \| 2020-01-17 01:53:11.932 Triggering next historical data download in queue. \| 2020-01-17 01:53:11.933 Notice: Not connected to Live trading account to receive CME realtime futures data at non-professional fees. \| 2020-01-17 01:53:11.933 Next valid order ID: 1 \| 2020-01-17 01:53:11.933 Message from IB: Market data farm connection is OK:usfuture. IB Error Code: 2104. Request ID: -1. \| 2020-01-17 01:53:11.933 Message from IB: Market data farm connection is OK:usfarm. IB Error Code: 2104. Request ID: -1. \| 2020-01-17 01:53:11.933 Message from IB: HMDS data farm connection is OK:ushmds. IB Error Code: 2106. Request ID: -1. \| 2020-01-17 01:53:11.933 Next valid order ID: 1 \| 2020-01-17 01:53:11.933 Next valid order ID: 1 \| 2020-01-17 01:53:11.933 Interactive Brokers \| Starting real-time market data updates for: CL-202003-NYMEX. ID: 1 \| 2020-01-17 01:53:11.935 Interactive Brokers \| Subscribing to Symbol: CL, SecurityType: FUT, Expiration: 202003, Exchange: NYMEX, Primary Exchange: , Currency: , Multiplier: , CallPut: , Strike: , LocalSymbol: , TradingClass: \| 2020-01-17 01:53:11.935 Interactive Brokers \| Requesting security definition data for: CL-202003-NYMEX. ID: 1 \| 2020-01-17 01:53:11.935 Starting first historical Intraday data download. When complete another download will be done from the primary service. Symbol: CL-202003-NYMEX \| 2020-01-17 01:53:11.935 Added historical Intraday data request for CL-202003-NYMEX to the queue. \| 2020-01-17 01:53:11.935 Intraday data recording state for symbol CL-202003-NYMEX is set to download 'Pending'. \| 2020-01-17 01:53:11.935 Triggering next historical data download in queue. \| 2020-01-17 01:53:11.935 Delaying start of download for CL-202003-NYMEX \| 2020-01-17 01:53:11.939 Interactive Brokers \| Starting real-time market data updates for: GC-202002-NYMEX. ID: 2 \| 2020-01-17 01:53:11.939 Interactive Brokers \| Subscribing to Symbol: GC, SecurityType: FUT, Expiration: 202002, Exchange: NYMEX, Primary Exchange: , Currency: , Multiplier: , CallPut: , Strike: , LocalSymbol: , TradingClass: \| 2020-01-17 01:53:11.939 Interactive Brokers \| Requesting security definition data for: GC-202002-NYMEX. ID: 2 \| 2020-01-17 01:53:11.939 Starting first historical Intraday data download. When complete another download will be done from the primary service. Symbol: GC-202002-NYMEX \| 2020-01-17 01:53:11.939 Added historical Intraday data request for GC-202002-NYMEX to the queue. \| 2020-01-17 01:53:11.939 Intraday data recording state for symbol GC-202002-NYMEX is set to download 'Pending'. \| 2020-01-17 01:53:11.939 Triggering next historical data download in queue. \| 2020-01-17 01:53:11.939 Interactive Brokers \| Starting real-time market data updates for: EUR-202003-GLOBEX. ID: 3 \| 2020-01-17 01:53:11.943 Interactive Brokers \| Subscribing to Symbol: EUR, SecurityType: FUT, Expiration: 202003, Exchange: GLOBEX, Primary Exchange: , Currency: , Multiplier: , CallPut: , Strike: , LocalSymbol: , TradingClass: \| 2020-01-17 01:53:11.943 Interactive Brokers \| Requesting security definition data for: EUR-202003-GLOBEX. ID: 3 \| 2020-01-17 01:53:11.943 Starting first historical Intraday data download. When complete another download will be done from the primary service. Symbol: EUR-202003-GLOBEX \| 2020-01-17 01:53:11.943 Added historical Intraday data request for EUR-202003-GLOBEX to the queue. \| 2020-01-17 01:53:11.943 Intraday data recording state for symbol EUR-202003-GLOBEX is set to download 'Pending'. \| 2020-01-17 01:53:11.943 Triggering next historical data download in queue. \| 2020-01-17 01:53:11.943 Interactive Brokers \| Starting real-time market data updates for: ZB-202003-ECBOT. ID: 4 \| 2020-01-17 01:53:11.948 Interactive Brokers \| Subscribing to Symbol: ZB, SecurityType: FUT, Expiration: 202003, Exchange: ECBOT, Primary Exchange: , Currency: , Multiplier: , CallPut: , Strike: , LocalSymbol: , TradingClass: \| 2020-01-17 01:53:11.948 Interactive Brokers \| Requesting security definition data for: ZB-202003-ECBOT. ID: 4 \| 2020-01-17 01:53:11.948 Starting first historical Intraday data download. When complete another download will be done from the primary service. Symbol: ZB-202003-ECBOT \| 2020-01-17 01:53:11.948 Added historical Intraday data request for ZB-202003-ECBOT to the queue. \| 2020-01-17 01:53:11.948 Intraday data recording state for symbol ZB-202003-ECBOT is set to download 'Pending'. \| 2020-01-17 01:53:11.948 Triggering next historical data download in queue. \| 2020-01-17 01:53:11.948 Interactive Brokers \| Requesting Trade Positions snapshot and updates (IB account data updates (6)) for account: DU55* \| 2020-01-17 01:53:16.932 Interactive Brokers \| Received Trade Positions download end message for account DU55* \| 2020-01-17 01:53:16.940 Interactive Brokers \| Begin Trade Positions processing. \| 2020-01-17 01:53:16.940 Interactive Brokers \| Received Trade Positions for all accounts. Performing final processing. \| 2020-01-17 01:53:16.940 HD Request # 9 \| Downloading Intraday chart data for CL-202003-NYMEX to the file CL-202003-NYMEX.scid. Service: nymex \| 2020-01-17 01:53:17.167 HD Request # 9 \| Download start date-time: 2020-01-17 01:38:20.000 \| 2020-01-17 01:53:17.168 HD Request # 9 \| Using server: ds23.sierracharts.com port 10150 \| 2020-01-17 01:53:17.168 Socket (2) \| Creating socket. \| 2020-01-17 01:53:17.168 Socket (2) \| Connecting to IP: 216.1.90.130. \| 2020-01-17 01:53:17.168 HD Request # 9 \| Setting DTC encoding to Binary VLS \| 2020-01-17 01:53:17.500 HD Request # 9 \| Sending historical data logon request message. \| 2020-01-17 01:53:17.500 HD Request # 9 \| Requesting Intraday data. Start date-time: 2020-01-17 01:38:20. Record interval: 0. Symbol: CLH20 \| 2020-01-17 01:53:18.122 HD Request # 9 \| Decompressing data. \| 2020-01-17 01:53:18.281 HD Request # 9 \| Receiving Intraday data for CL-202003-NYMEX starting at 2020-01-17 01:38:20 \| 2020-01-17 01:53:18.291 HD Request # 9 \| Timestamp of first Intraday data file record written: 2020-01-17 01:38:27 \| 2020-01-17 01:53:18.292 Socket (2) \| CloseSocket call. \| 2020-01-17 01:53:18.292 Historical data download thread signaled to stop. \| 2020-01-17 01:53:18.292 Socket (2) \| Shutdown started. Waiting for graceful close. \| 2020-01-17 01:53:18.292 HD Request # 9 \| Received 273 records from 2020-01-17 01:38:20.000 to 2020-01-17 01:43:06.000 (4.8 minutes) and wrote 272 records for CL-202003-NYMEX \| 2020-01-17 01:53:18.292 HD Request # 9 \| Completion time: 1s \| 2020-01-17 01:53:18.292 HD Request # 9 \| Intraday data download complete for CL-202003-NYMEX. Unique request ID: 13 \| 2020-01-17 01:53:18.292 Removing historical data download ID 13. \| 2020-01-17 01:53:18.292 Real-time Intraday chart data file updates started for CL-202003-NYMEX \| 2020-01-17 01:53:18.292 Intraday chart data file opened for CL-202003-NYMEX \| 2020-01-17 01:53:18.292 Interactive Brokers \| Using primary service for historical data for CL-202003-NYMEX \| 2020-01-17 01:53:18.292 Added historical Intraday data request for CL-202003-NYMEX to the queue. \| 2020-01-17 01:53:18.292 Intraday data recording state for symbol CL-202003-NYMEX is set to download 'Pending'. \| 2020-01-17 01:53:18.292 Triggering next historical data download in queue. \| 2020-01-17 01:53:18.292 Triggering next historical data download in queue. \| 2020-01-17 01:53:18.292 HD Request # 10 \| Downloading Intraday chart data for CL-202003-NYMEX to the file CL-202003-NYMEX.scid. Service: interactive_brokers.trading \| 2020-01-17 01:53:18.292 HD Request # 10 \| Download start date-time: 2020-01-17 01:43:06.000 \| 2020-01-17 01:53:18.293 HD Request # 10 \| Requesting a total of 0 days and 5412 seconds. \| 2020-01-17 01:53:18.293 HD Request # 10 \| IB Backfill - Seconds requested: 5412. Seconds Remaining: 0. \| 2020-01-17 01:53:18.293 HD Request # 10 \| Requesting 5412 Seconds of data at 30 secs with ending date-time at 2020-01-17 03:03:18 for CL-202003-NYMEX. PriceType: TRADES \| 2020-01-17 01:53:18.293 HD Request # 11 \| Downloading Intraday chart data for GC-202002-NYMEX to the file GC-202002-NYMEX.scid. Service: comex \| 2020-01-17 01:53:18.293 HD Request # 11 \| Download start date-time: 2020-01-17 01:38:26.000 \| 2020-01-17 01:53:18.294 HD Request # 11 \| Using server: ds22.sierracharts.com port 10149 \| 2020-01-17 01:53:18.294 Socket (3) \| Creating socket. \| 2020-01-17 01:53:18.294 Socket (3) \| Connecting to IP: 208.185.224.129. \| 2020-01-17 01:53:18.294 Socket (2) \| Socket gracefully closed by remote side. \| 2020-01-17 01:53:18.451 Socket (2) \| Closed. \| 2020-01-17 01:53:18.451 HD Request # 11 \| Setting DTC encoding to Binary VLS \| 2020-01-17 01:53:18.616 HD Request # 11 \| Sending historical data logon request message. \| 2020-01-17 01:53:18.616 HD Request # 10 \| Processing historical data message from TWS \| 2020-01-17 01:53:18.676 HD Request # 10 \| Receiving Intraday data for CL-202003-NYMEX starting at 2020-01-17 01:33:30 \| 2020-01-17 01:53:18.676 HD Request # 10 \| Timestamp of first Intraday data file record written: 2020-01-17 01:43:30 \| 2020-01-17 01:53:18.677 HD Request # 10 \| Received 41 records and wrote 20 records from 2020-01-17 01:33:00 to 2020-01-17 01:53:00. \| 2020-01-17 01:53:18.677 HD Request # 10 \| Received 41 records from 2020-01-17 01:33:30.000 to 2020-01-17 01:53:00.000 (19.5 minutes) and wrote 20 records for CL-202003-NYMEX \| 2020-01-17 01:53:18.677 HD Request # 10 \| Completion time: 0s \| 2020-01-17 01:53:18.677 HD Request # 10 \| Intraday data download complete for CL-202003-NYMEX. Unique request ID: 17 \| 2020-01-17 01:53:18.677 Removing historical data download ID 17. \| 2020-01-17 01:53:18.677 Real-time Intraday chart data file updates started for CL-202003-NYMEX \| 2020-01-17 01:53:18.677 Intraday chart data file opened for CL-202003-NYMEX \| 2020-01-17 01:53:18.677 Triggering next historical data download in queue. \| 2020-01-17 01:53:18.677 HD Request # 11 \| Requesting Intraday data. Start date-time: 2020-01-17 01:38:26. Record interval: 0. Symbol: GCG20 \| 2020-01-17 01:53:19.187 HD Request # 11 \| Decompressing data. \| 2020-01-17 01:53:19.346 HD Request # 11 \| Receiving Intraday data for GC-202002-NYMEX starting at 2020-01-17 01:38:26 \| 2020-01-17 01:53:19.347 HD Request # 11 \| Timestamp of first Intraday data file record written: 2020-01-17 01:38:40 \| 2020-01-17 01:53:19.348 Socket (3) \| CloseSocket call. \| 2020-01-17 01:53:19.348 Socket (3) \| Shutdown started. Waiting for graceful close. \| 2020-01-17 01:53:19.348 Historical data download thread signaled to stop. \| 2020-01-17 01:53:19.348 HD Request # 11 \| Received 271 records from 2020-01-17 01:38:26.000 to 2020-01-17 01:43:13.000 (4.8 minutes) and wrote 270 records for GC-202002-NYMEX \| 2020-01-17 01:53:19.348 HD Request # 11 \| Completion time: 1s \| 2020-01-17 01:53:19.348 HD Request # 11 \| Intraday data download complete for GC-202002-NYMEX. Unique request ID: 14 \| 2020-01-17 01:53:19.348 Removing historical data download ID 14. \| 2020-01-17 01:53:19.348 Real-time Intraday chart data file updates started for GC-202002-NYMEX \| 2020-01-17 01:53:19.348 Intraday chart data file opened for GC-202002-NYMEX \| 2020-01-17 01:53:19.348 Interactive Brokers \| Using primary service for historical data for GC-202002-NYMEX \| 2020-01-17 01:53:19.348 Added historical Intraday data request for GC-202002-NYMEX to the queue. \| 2020-01-17 01:53:19.348 Intraday data recording state for symbol GC-202002-NYMEX is set to download 'Pending'. \| 2020-01-17 01:53:19.348 Triggering next historical data download in queue. \| 2020-01-17 01:53:19.348 Triggering next historical data download in queue. \| 2020-01-17 01:53:19.348 HD Request # 12 \| Downloading Intraday chart data for GC-202002-NYMEX to the file GC-202002-NYMEX.scid. Service: interactive_brokers.trading \| 2020-01-17 01:53:19.348 HD Request # 12 \| Download start date-time: 2020-01-17 01:43:13.000 \| 2020-01-17 01:53:19.349 HD Request # 12 \| Requesting a total of 0 days and 5406 seconds. \| 2020-01-17 01:53:19.349 HD Request # 12 \| IB Backfill - Seconds requested: 5406. Seconds Remaining: 0. \| 2020-01-17 01:53:19.349 HD Request # 12 \| Requesting 5406 Seconds of data at 30 secs with ending date-time at 2020-01-17 03:03:19 for GC-202002-NYMEX. PriceType: TRADES \| 2020-01-17 01:53:19.349 HD Request # 13 \| Downloading Intraday chart data for EUR-202003-GLOBEX to the file EUR-202003-GLOBEX.scid. Service: cme \| 2020-01-17 01:53:19.349 HD Request # 13 \| Download start date-time: 2020-01-17 01:36:58.000 \| 2020-01-17 01:53:19.350 HD Request # 13 \| Using server: ds21.sierracharts.com port 10150 \| 2020-01-17 01:53:19.350 Socket (2) \| Creating socket. \| 2020-01-17 01:53:19.350 Socket (2) \| Connecting to IP: 216.1.90.129. \| 2020-01-17 01:53:19.350 Socket (3) \| Socket gracefully closed by remote side. \| 2020-01-17 01:53:19.507 Socket (3) \| Closed. \| 2020-01-17 01:53:19.507 HD Request # 13 \| Setting DTC encoding to Binary VLS \| 2020-01-17 01:53:19.674 HD Request # 13 \| Sending historical data logon request message. \| 2020-01-17 01:53:19.674 HD Request # 12 \| Processing historical data message from TWS \| 2020-01-17 01:53:19.732 HD Request # 12 \| Receiving Intraday data for GC-202002-NYMEX starting at 2020-01-17 01:33:30 \| 2020-01-17 01:53:19.732 HD Request # 12 \| Timestamp of first Intraday data file record written: 2020-01-17 01:43:30 \| 2020-01-17 01:53:19.733 HD Request # 12 \| Received 41 records and wrote 20 records from 2020-01-17 01:33:00 to 2020-01-17 01:53:00. \| 2020-01-17 01:53:19.733 HD Request # 12 \| Received 41 records from 2020-01-17 01:33:30.000 to 2020-01-17 01:53:00.000 (19.5 minutes) and wrote 20 records for GC-202002-NYMEX \| 2020-01-17 01:53:19.733 HD Request # 12 \| Completion time: 0s \| 2020-01-17 01:53:19.733 HD Request # 12 \| Intraday data download complete for GC-202002-NYMEX. Unique request ID: 18 \| 2020-01-17 01:53:19.733 Removing historical data download ID 18. \| 2020-01-17 01:53:19.733 Real-time Intraday chart data file updates started for GC-202002-NYMEX \| 2020-01-17 01:53:19.733 Intraday chart data file opened for GC-202002-NYMEX \| 2020-01-17 01:53:19.733 Triggering next historical data download in queue. \| 2020-01-17 01:53:19.733 HD Request # 13 \| Requesting Intraday data. Start date-time: 2020-01-17 01:36:58. Record interval: 0. Symbol: 6EH20 \| 2020-01-17 01:53:20.292 HD Request # 13 \| Decompressing data. \| 2020-01-17 01:53:20.452 HD Request # 13 \| Receiving Intraday data for EUR-202003-GLOBEX starting at 2020-01-17 01:36:58 \| 2020-01-17 01:53:20.456 HD Request # 13 \| Timestamp of first Intraday data file record written: 2020-01-17 01:39:48 \| 2020-01-17 01:53:20.456 Socket (2) \| CloseSocket call. \| 2020-01-17 01:53:20.456 Socket (2) \| Shutdown started. Waiting for graceful close. \| 2020-01-17 01:53:20.456 Historical data download thread signaled to stop. \| 2020-01-17 01:53:20.456 HD Request # 13 \| Received 32 records from 2020-01-17 01:36:58.000 to 2020-01-17 01:42:54.000 (5.9 minutes) and wrote 30 records for EUR-202003-GLOBEX \| 2020-01-17 01:53:20.456 HD Request # 13 \| Completion time: 0s \| 2020-01-17 01:53:20.457 HD Request # 13 \| Intraday data download complete for EUR-202003-GLOBEX. Unique request ID: 15 \| 2020-01-17 01:53:20.457 Removing historical data download ID 15. \| 2020-01-17 01:53:20.457 Real-time Intraday chart data file updates started for EUR-202003-GLOBEX \| 2020-01-17 01:53:20.457 Intraday chart data file opened for EUR-202003-GLOBEX \| 2020-01-17 01:53:20.457 Interactive Brokers \| Using primary service for historical data for EUR-202003-GLOBEX \| 2020-01-17 01:53:20.457 Added historical Intraday data request for EUR-202003-GLOBEX to the queue. \| 2020-01-17 01:53:20.457 Intraday data recording state for symbol EUR-202003-GLOBEX is set to download 'Pending'. \| 2020-01-17 01:53:20.457 Triggering next historical data download in queue. \| 2020-01-17 01:53:20.457 Triggering next historical data download in queue. \| 2020-01-17 01:53:20.457 HD Request # 14 \| Downloading Intraday chart data for EUR-202003-GLOBEX to the file EUR-202003-GLOBEX.scid. Service: interactive_brokers.trading \| 2020-01-17 01:53:20.457 HD Request # 14 \| Download start date-time: 2020-01-17 01:42:54.000 \| 2020-01-17 01:53:20.458 HD Request # 14 \| Requesting a total of 0 days and 5426 seconds. \| 2020-01-17 01:53:20.458 HD Request # 14 \| IB Backfill - Seconds requested: 5426. Seconds Remaining: 0. \| 2020-01-17 01:53:20.458 HD Request # 14 \| Requesting 5426 Seconds of data at 30 secs with ending date-time at 2020-01-17 03:03:20 for EUR-202003-GLOBEX. PriceType: TRADES \| 2020-01-17 01:53:20.458 HD Request # 15 \| Downloading Intraday chart data for ZB-202003-ECBOT to the file ZB-202003-ECBOT.scid. Service: cbot \| 2020-01-17 01:53:20.458 HD Request # 15 \| Download start date-time: 2020-01-17 01:38:10.000 \| 2020-01-17 01:53:20.458 HD Request # 15 \| Using server: ds23.sierracharts.com port 10149 \| 2020-01-17 01:53:20.458 Socket (3) \| Creating socket. \| 2020-01-17 01:53:20.459 Socket (3) \| Connecting to IP: 216.1.90.130. \| 2020-01-17 01:53:20.459 Socket (2) \| Socket gracefully closed by remote side. \| 2020-01-17 01:53:20.616 Socket (2) \| Closed. \| 2020-01-17 01:53:20.616 HD Request # 15 \| Setting DTC encoding to Binary VLS \| 2020-01-17 01:53:20.783 HD Request # 15 \| Sending historical data logon request message. \| 2020-01-17 01:53:20.783 HD Request # 14 \| Processing historical data message from TWS \| 2020-01-17 01:53:20.837 HD Request # 14 \| Receiving Intraday data for EUR-202003-GLOBEX starting at 2020-01-17 01:33:00 \| 2020-01-17 01:53:20.837 HD Request # 14 \| Timestamp of first Intraday data file record written: 2020-01-17 01:43:00 \| 2020-01-17 01:53:20.837 HD Request # 14 \| Received 42 records and wrote 21 records from 2020-01-17 01:32:30 to 2020-01-17 01:53:00. \| 2020-01-17 01:53:20.837 HD Request # 14 \| Received 42 records from 2020-01-17 01:33:00.000 to 2020-01-17 01:53:00.000 (20.0 minutes) and wrote 21 records for EUR-202003-GLOBEX \| 2020-01-17 01:53:20.838 HD Request # 14 \| Completion time: 0s \| 2020-01-17 01:53:20.838 HD Request # 14 \| Intraday data download complete for EUR-202003-GLOBEX. Unique request ID: 19 \| 2020-01-17 01:53:20.838 Removing historical data download ID 19. \| 2020-01-17 01:53:20.838 Real-time Intraday chart data file updates started for EUR-202003-GLOBEX \| 2020-01-17 01:53:20.838 Intraday chart data file opened for EUR-202003-GLOBEX \| 2020-01-17 01:53:20.838 Triggering next historical data download in queue. \| 2020-01-17 01:53:20.838 HD Request # 15 \| Requesting Intraday data. Start date-time: 2020-01-17 01:38:10. Record interval: 0. Symbol: ZBH20 \| 2020-01-17 01:53:21.414 HD Request # 15 \| Decompressing data. \| 2020-01-17 01:53:21.575 HD Request # 15 \| Receiving Intraday data for ZB-202003-ECBOT starting at 2020-01-17 01:38:10 \| 2020-01-17 01:53:21.575 HD Request # 15 \| Timestamp of first Intraday data file record written: 2020-01-17 01:38:45 \| 2020-01-17 01:53:21.576 Socket (3) \| CloseSocket call. \| 2020-01-17 01:53:21.576 Socket (3) \| Shutdown started. Waiting for graceful close. \| 2020-01-17 01:53:21.576 Historical data download thread signaled to stop. \| 2020-01-17 01:53:21.576 HD Request # 15 \| Received 99 records from 2020-01-17 01:38:10.000 to 2020-01-17 01:42:57.000 (4.8 minutes) and wrote 98 records for ZB-202003-ECBOT \| 2020-01-17 01:53:21.576 HD Request # 15 \| Completion time: 1s \| 2020-01-17 01:53:21.576 HD Request # 15 \| Intraday data download complete for ZB-202003-ECBOT. Unique request ID: 16 \| 2020-01-17 01:53:21.576 Removing historical data download ID 16. \| 2020-01-17 01:53:21.576 Real-time Intraday chart data file updates started for ZB-202003-ECBOT \| 2020-01-17 01:53:21.576 Intraday chart data file opened for ZB-202003-ECBOT \| 2020-01-17 01:53:21.576 Interactive Brokers \| Using primary service for historical data for ZB-202003-ECBOT \| 2020-01-17 01:53:21.576 Added historical Intraday data request for ZB-202003-ECBOT to the queue. \| 2020-01-17 01:53:21.576 Intraday data recording state for symbol ZB-202003-ECBOT is set to download 'Pending'. \| 2020-01-17 01:53:21.576 Triggering next historical data download in queue. \| 2020-01-17 01:53:21.576 Triggering next historical data download in queue. \| 2020-01-17 01:53:21.576 HD Request # 16 \| Downloading Intraday chart data for ZB-202003-ECBOT to the file ZB-202003-ECBOT.scid. Service: interactive_brokers.trading \| 2020-01-17 01:53:21.576 HD Request # 16 \| Download start date-time: 2020-01-17 01:42:57.000 \| 2020-01-17 01:53:21.577 HD Request # 16 \| Requesting a total of 0 days and 5424 seconds. \| 2020-01-17 01:53:21.577 HD Request # 16 \| IB Backfill - Seconds requested: 5424. Seconds Remaining: 0. \| 2020-01-17 01:53:21.577 HD Request # 16 \| Requesting 5424 Seconds of data at 30 secs with ending date-time at 2020-01-17 03:03:21 for ZB-202003-ECBOT. PriceType: TRADES \| 2020-01-17 01:53:21.577 Socket (3) \| Socket gracefully closed by remote side. \| 2020-01-17 01:53:21.734 Socket (3) \| Closed. \| 2020-01-17 01:53:21.735 HD Request # 16 \| Processing historical data message from TWS \| 2020-01-17 01:53:21.960 HD Request # 16 \| Receiving Intraday data for ZB-202003-ECBOT starting at 2020-01-17 01:33:00 \| 2020-01-17 01:53:21.960 HD Request # 16 \| Timestamp of first Intraday data file record written: 2020-01-17 01:43:00 \| 2020-01-17 01:53:21.961 HD Request # 16 \| Received 42 records and wrote 21 records from 2020-01-17 01:32:30 to 2020-01-17 01:53:00. \| 2020-01-17 01:53:21.961 HD Request # 16 \| Received 42 records from 2020-01-17 01:33:00.000 to 2020-01-17 01:53:00.000 (20.0 minutes) and wrote 21 records for ZB-202003-ECBOT \| 2020-01-17 01:53:21.961 HD Request # 16 \| Completion time: 0s \| 2020-01-17 01:53:21.961 HD Request # 16 \| Intraday data download complete for ZB-202003-ECBOT. Unique request ID: 20 \| 2020-01-17 01:53:21.961 Removing historical data download ID 20. \| 2020-01-17 01:53:21.961 Real-time Intraday chart data file updates started for ZB-202003-ECBOT \| 2020-01-17 01:53:21.961 Intraday chart data file opened for ZB-202003-ECBOT \| 2020-01-17 01:53:21.961 Triggering next historical data download in queue. \| 2020-01-17 01:53:21.961 Opened cached Intraday file: C:\SierraChart_Live\Data\CL-202003-NYMEX.scid \| 2020-01-17 01:53:22.058 Opened cached Intraday file: C:\SierraChart_Live\Data\GC-202002-NYMEX.scid \| 2020-01-17 01:53:22.058 Opened cached Intraday file: C:\SierraChart_Live\Data\EUR-202003-GLOBEX.scid \| 2020-01-17 01:53:32.063 Opened cached Intraday file: C:\SierraChart_Live\Data\ZB-202003-ECBOT.scid \| 2020-01-17 01:53:52.073

[2020-01-17 09:29:31] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Ok we have clearly identified the problem: Interactive Brokers \| Connected to Demo or Simulated account. \| 2020-01-17 01:53:11.932 Interactive Brokers \| Not previously connected to Live account. \| 2020-01-17 01:53:11.932 Interactive Brokers \| Connected to data and trading server. \| 2020-01-17 01:53:11.932 Notice: Not connected to Live trading account to receive CME realtime futures data at non-professional fees. \| 2020-01-17 01:53:11.933 You need to connect to your live funded trading account: Real-Time Exchange Data Feeds Available From Sierra Chart: Connecting Only Once a Month to Trading Account to Support CME Group Exchange Fees We recommend that you implement this solution here to avoid this problem in the future: Easy Solution to CME Funded Trading Account Requirement This will also save you 5 USD on the data feed a month. This is just yet another example of damn CME market data policy. The side effects of this. It is abundantly clear. This is why we are insisting that people follow this easy solution. 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: 2020-01-17 09:34:37

[2020-01-17 09:50:38] #9 [Go To First Post]
User462086 - Posts: 188
Interesting, my understanding has always been that as long as I connect Sierra Chart at least once a month to my live trading account the CME's requirements are met. Last time I connected was on 12/23/2019 so there shouldn't be a problem. However, being wrong is half of what I do each day so I'll give it a try. Will this align the real-time data with the historical data, or the historical data with the real-time data? Edit: Just noticed the BEGINNING of the month requirement in the link you provided. Date Time Of Last Edit: 2020-01-17 09:53:47

[2020-01-17 09:53:37] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
You have to connect Sierra Chart at the beginning of the month to your live account. After you do that, you need to fully re-download the data in the chart: Re-download all the data in the chart by going to the chart and selecting "Edit >> Delete All Data and Download". You just need to do this once per symbol and not for each 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

[2020-01-17 11:43:57] #11 [Go To First Post]
User462086 - Posts: 188
Okay, I've done as you recommended. In addition I've reread the following (the first has a possible explanation for the cumulative delta behavior on my charts): Interactive Brokers Trading Service: Interactive Brokers Market Data Problems Sierra Chart Exchange Data Feed Sierra Chart Historical Data Service Real-Time Exchange Data Feeds Available From Sierra Chart: What is Included One last request, could you please confirm my understanding (I don't want IB data anywhere near my charts or scid files): To disable downloading of IB data and to use SC data in its place: 1) In 'Data/Trade Service Settings' enable 'Allow Support for Sierra Chart Data Feeds' 2) Connect to live account at start of each month, then 'Edit > Delete All Data and Download' to replace any IB data that may have been written to the scid files in the previous 10-15 minutes. 3) Confirm [M] is present after the chart header's symbol

[2020-01-17 16:06:18] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
1) In 'Data/Trade Service Settings' enable 'Allow Support for Sierra Chart Data Feeds' 2) Connect to live account at start of each month, then 'Edit > Delete All Data and Download' to replace any IB data that may have been written to the scid files in the previous 10-15 minutes. 3) Confirm [M] is present after the chart header's symbol Yes this is 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

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