Support Board
Date/Time: Thu, 06 Feb 2025 18:26:24 +0000
Incorrect conclusion: NumbersBars chart bad data using SierraChart Denali data feed
View Count: 617
| [2020-05-05 19:41:56] |
| User71961 - Posts: 144 |
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Running SC version 2091 at 14:59:45 ET today (Eastern Time) ZNM20 (june 10yr us treasury futures) At the price 138-27 NumbersBars shows 1865 contracts hitting the bid at 138-27 and 615 contracts lifting the offer also at 138-27 However, according to my broker (where i have a limit bid for 138-27) 138-27 never actually traded i see at the next price 138-27+ in NumbersBars the exact same volume is indicated as trading 1865 x 615 what is going on here? According to the time & sales data from Bloomberg, 138-27 never traded in this time block...so how is Sierra Chart showing different trade data from the SC Denali Data Feed? This makes me question all the rest of the trade data from the Denali data feed. I understand that at this time there was possibly a spike in market data, but how does this cause Sierra Chart to think that volume traded at a price that never happened? as i look at the surrounding data, it looks like this is not an isolated incident (look at data before and after 138-27+ and 138-28). why is all this trade data being duplicated (so it seems)? Date Time Of Last Edit: 2020-05-05 21:28:56
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| [2020-05-06 00:21:57] |
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First, there is absolutely 0% chance there is any "bad data". We have looked into this, and at that time, there was a trade at 138 27/32. It had a volume of 10. So your broker, and Bloomberg are just simply wrong. The Denali data feed comes directly from the CME, and it is a point of reference. There is no packet loss. But what we do see is that your Intraday Data Storage Time Unit is not set correctly. It looks like it is not set to 1 tick and that is causing an accuracy problem with the assignment of the volume to price levels. Set Sierra Chart to a Tick by Tick Data Configuration. Follow the instructions here to do this: Tick by Tick Data Configuration More information: Numbers Bars: Numbers Bars Accuracy / Values in Numbers Bars are Not Accurate So now we can see, that Sierra Chart's Denali Exchange Data Feed is above and beyond the data feed provided by Bloomberg and your broker. 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: 2020-05-06 08:00:15
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| [2020-05-06 00:24:15] |
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Prior post has been corrected.
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 |
| [2020-05-06 19:06:06] |
| User71961 - Posts: 144 |
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i changed the Intraday Data Storage Time Unit to "ticks" and it solved my problem. (it was originally set to 1 second) So, for practical purposes, problem solved. however, i still don't understand how this would assign (duplicate) all the volume traded to every price that traded in that time unit? seems like a bug of some sort. |
| [2020-05-06 20:49:59] |
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No there is no bug, the volume data for 1 second is distributed evenly across the price levels of the 1 second period.
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: 2020-05-06 20:50:12
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