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Missing contracts in historical daily futures data

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[2021-10-03 15:55:11] #1 [Go To First Post]
abuqutaita - Posts: 12
I've found that there are 323 cases of "gaps" in historical daily futures data. I'm defining a gap as a missing contract in the expected sequence given the contract months for the symbol. I've cleared my existing data for these symbols and tried downloading again, so I'm assuming this isn't a transient issue. In some cases, this is happening for highly liquid instruments, like VX. BSWK19-CBOT BSWK20-CBOT BSWK21-CBOT MKCM14-CBOT MKCM15-CBOT MKCM16-CBOT MKCM17-CBOT MKCM18-CBOT MKCM19-CBOT MKCM20-CBOT MKCM21-CBOT RXU10-CBOT UFUZ11-CBOT UFUK13-CBOT UFUV13-CBOT UFUK14-CBOT ZRN87-CBOT ZRN88-CBOT VXZ04-CFE VXJ05-CFE VXN05-CFE VXU05-CFE VXMF11-CFE VXMH11-CFE VXMK11-CFE VXMN11-CFE VXMU11-CFE VXMX11-CFE VXMF12-CFE VXMH12-CFE VXMK12-CFE VXMN12-CFE VXMU12-CFE VXMX12-CFE VXMF13-CFE VXMH13-CFE VXMK13-CFE VXMN13-CFE VXMU13-CFE VXMX13-CFE VXMF14-CFE VXMH14-CFE VXMK14-CFE VXMN14-CFE VXMU14-CFE VXMX14-CFE VXMF15-CFE VXMH15-CFE VXMK15-CFE VXMN15-CFE VXMU15-CFE VXMX15-CFE VXMF16-CFE VXMH16-CFE VXMK16-CFE 6MN95-CME 6MV95-CME 6MF96-CME 6MJ96-CME 6MN96-CME 6MV96-CME 6MF97-CME 6MJ97-CME 6MN97-CME 6MV97-CME 6MF98-CME 6MJ98-CME 6MN98-CME 6MV98-CME 6MF99-CME 6MJ99-CME 6MN99-CME 6MV99-CME 6MF00-CME 6MJ00-CME 6MN00-CME 6MV00-CME CUSF07-CME CUSF08-CME CUSF09-CME CUSF10-CME CUSF11-CME CUSF12-CME CUSF13-CME CUSF14-CME CUSF15-CME CUSF16-CME CUSF17-CME CUSF18-CME CUSF19-CME CUSF20-CME CUSF21-CME DCK96-CME DCQ96-CME DCV96-CME DCZ96-CME DCH97-CME DCK97-CME DCN97-CME ETHV19-CME ETHF20-CME ETHJ20-CME M2KZ09-CME M6BZ09-CME MESU15-CME MNQH19-CME SR1F00-CME SR1J00-CME SR1N00-CME SR1V00-CME SR1F01-CME SR1J01-CME SR1N01-CME SR1V01-CME SR1F02-CME SR1J02-CME SR1N02-CME SR1V02-CME SR1F03-CME SR1J03-CME SR1N03-CME SR1V03-CME SR1F04-CME SR1J04-CME SR1N04-CME SR1V04-CME SR1F05-CME SR1J05-CME SR1N05-CME SR1V05-CME SR1F06-CME SR1J06-CME SR1N06-CME SR1V06-CME SR1F07-CME SR1J07-CME SR1N07-CME SR1V07-CME SR1F08-CME SR1J08-CME SR1N08-CME SR1V08-CME SR1F09-CME SR1J09-CME SR1N09-CME SR1V09-CME SR1F10-CME SR1J10-CME SR1N10-CME SR1V10-CME SR1F11-CME SR1J11-CME SR1N11-CME SR1V11-CME SR1F12-CME SR1J12-CME SR1N12-CME SR1V12-CME SR1F13-CME SR1J13-CME SR1N13-CME SR1V13-CME SR1F14-CME SR1J14-CME SR1N14-CME SR1V14-CME SR1F15-CME SR1J15-CME SR1N15-CME SR1V15-CME SR1F16-CME SR1J16-CME SR1N16-CME SR1V16-CME SR1F17-CME SR1J17-CME SR1N17-CME SR1V17-CME SR1F18-CME SR1J18-CME SR3M13-CME SR3M14-CME SR3M15-CME SR3M16-CME SR3H17-CME TBH04-CME TPYJ18-CME TPYN18-CME TPYV18-CME TPYF19-CME TPYJ19-CME TPYN19-CME TPYV19-CME TPYF20-CME TPYJ20-CME TPYN20-CME TPYV20-CME TPYF21-CME TPYJ21-CME TPYN21-CME FDXSH20-EUREX FEO1K16-EUREX FEO1Q16-EUREX FEO1X16-EUREX FEO1G17-EUREX FEO1J17-EUREX FEO1Q17-EUREX FEO1X17-EUREX FEO1G18-EUREX FEO1J18-EUREX FEO1Q18-EUREX FEO1X18-EUREX FEO1G19-EUREX FEO1K19-EUREX FEO1Q19-EUREX FEO1X19-EUREX FEO1G20-EUREX FEO1Q20-EUREX FEO1K21-EUREX FEO1V21-EUREX FESEH16-EUREX FEXDH13-EUREX FEXDH14-EUREX FEXDH15-EUREX FEXDH16-EUREX FEXDH17-EUREX FEXDH18-EUREX FEXDH19-EUREX FEXDH20-EUREX FEXDH21-EUREX FEXDU21-EUREX BTMX12-ICEUS BTMF13-ICEUS BTMJ13-ICEUS BTMM13-ICEUS BTMQ13-ICEUS BTMX13-ICEUS BTMF14-ICEUS BTMJ14-ICEUS BTMM14-ICEUS BTMQ14-ICEUS BTMX14-ICEUS BTMF15-ICEUS BTMJ15-ICEUS BTMM15-ICEUS BTMQ15-ICEUS BTMX15-ICEUS BTMF16-ICEUS BTMJ16-ICEUS BTMM16-ICEUS BTMQ16-ICEUS BTMX16-ICEUS BTMF17-ICEUS BTMJ17-ICEUS BTMM17-ICEUS BTMQ17-ICEUS BTMX17-ICEUS BTMF18-ICEUS BTMJ18-ICEUS BTMM18-ICEUS BTMQ18-ICEUS BTMX18-ICEUS BTMF19-ICEUS BTMJ19-ICEUS BTMM19-ICEUS BTMQ19-ICEUS HYM11-ICEUS ISK20-ICEUS ISMH20-ICEUS ISMF21-ICEUS ISMK21-ICEUS ISMQ21-ICEUS IWU20-ICEUS KIUJ20-ICEUS MFUM11-ICEUS RSK80-ICEUS RSK81-ICEUS RSK82-ICEUS RSK83-ICEUS RSK84-ICEUS RSK85-ICEUS RSK86-ICEUS RSK87-ICEUS RSK88-ICEUS RSK89-ICEUS RSK90-ICEUS RSK91-ICEUS RSK92-ICEUS RSK93-ICEUS RSK94-ICEUS RSK95-ICEUS RSK96-ICEUS WCTN18-ICEUS MCLJ21-NYMEX MCLN21-NYMEX PAJ82-NYMEX PAJ90-NYMEX PAJ91-NYMEX PAJ92-NYMEX PAJ93-NYMEX PAJ94-NYMEX PAK95-NYMEX PAJ96-NYMEX PAJ98-NYMEX PAJ99-NYMEX PAJ00-NYMEX PAK01-NYMEX PAJ02-NYMEX PAJ03-NYMEX PAJ04-NYMEX PAJ05-NYMEX PAJ06-NYMEX PAJ07-NYMEX PAJ08-NYMEX PAJ09-NYMEX PAMU15-NYMEX PATJ21-NYMEX UXQ07-NYMEX UXF09-NYMEX UXJ09-NYMEX UXN09-NYMEX UXX09-NYMEX UXX09-NYMEX I also noticed some symbols that are missing daily data completely, even for the front month contracts: 2YY-CBOT 5YY-CBOT 10Y-CBOT 30Y-CBOT DFL-CBOT ZD-CBOT FSXE-EUREX ARE-NYMEX BBT-NYMEX Please let me know if you require any other information to investigate. Thanks!

[2021-10-03 21:07:03] #2 [Go To First Post]
John - SC Support - Posts: 38292
We are not going to look into why or what data is missing for these symbols. The first thing you would need to do is to look at whether the missing data is due to an exchange holiday. If you can give us symbols and the dates where there is missing data for which there should be data, then we can take a look at those and see what may have occurred and whether we have the data available. --------------------------------- Separately, we see that you are on Package 10, but you do not have any of the Denali exchanges active. In addition, our servers show that your Service Setting is set to SC Data - All Services, which would mean that you are using our Delayed Streaming Data Feed. But for this, you do not need to be on Package 10. Offhand, from what we see, you can save $10.00 per month by being on package 3. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-10-03 21:17:53] #3 [Go To First Post]
abuqutaita - Posts: 12
The first thing you would need to do is to look at whether the missing data is due to an exchange holiday. I think there's a misunderstanding. For the first group of contracts, data is missing completely (i.e. 0 bytes are being returned by the historical data server). It's not just an issue of missing days within those contracts. For the second group of symbols, there is no data being returned for any contract going back to 1980. Separately, we see that you are on Package 10, but you do not have any of the Denali exchanges active. In addition, our servers show that your Service Setting is set to SC Data - All Services, which would mean that you are using our Delayed Streaming Data Feed. But for this, you do not need to be on Package 10. Offhand, from what we see, you can save $10.00 per month by being on package 3. Thanks for the tip! I'll check this out.

[2021-10-03 22:22:50] #4 [Go To First Post]
John - SC Support - Posts: 38292
Yes, we misunderstood what you were stating. We though it was just a missing day, not an entire contract. But, for older data (anything before 2010), and for not very well traded instruments, we can not go back and figure out what might have happened. For instance, with the VX from 04 and 05 and with the BSW. We will definitely look into what is occurring with the new micro-treasuries and why there is no daily data for those. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-10-12 13:20:29] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
If there is not data available for the contracts you have listed, there is not data available. The data is just not available. Regarding the CBOT yield futures, we have set up support for Historical Daily data for those. Follow the instructions here to update the Symbol Settings: Global Symbol Settings: Update Global Symbol Settings 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

[2021-10-25 20:13:34] #6 [Go To First Post]
abuqutaita - Posts: 12
Confirmed I'm seeing daily data for this starting for U contracts (September). Not seeing any daily data still before this. Based on the last reply, I'm not sure if the older data will get backfilled or not.

[2021-10-26 00:07:52] #7 [Go To First Post]
John - SC Support - Posts: 38292
The Micro Treasury Futures did not come into existence until August 16, 2021. So the U contract would be the correct one. We may not have data back to the 16th, but it should be close to that date. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

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