Support Board
Date/Time: Sat, 23 Nov 2024 20:12:48 +0000
[User Discussion] - Question regarding downloading of ES/MES market data history
View Count: 401
| [2024-07-19 12:49:06] |
| User852579 - Posts: 8 |
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Hello, I am looking to download the ES/MES market history for personal study, which at the very least includes, Date, Time, OHLC, Volume, Bid, Ask on multiple time frames such as 5m 15m, 1H, etc for as for back as i can get with accurate data of the mentioned above of the expired periods. I have found several sources which offer this but all contain inaccurate values for the expired periods. have only been able to download 1 days worth of data on the 5m timeframe on your free trial version, which i have not analysed closely yet but seemed reasonably accurate since the volume values for in the ranges of 1k-3k which is in the normal, but i cannot see the expired data for the low time frame. So my questions are firstly can you provide with me with a accurate data for the expired periods? if so can you send me a sample of last expired period so i can check? if all goes well which is the most cost effective package i need to purchase purely for this purpose of downloading current and expired market data for the ES/MES, and lastly if you cant help with any of that if you know where i can find this information would be much appreciated. Regards Siavash |
| [2024-07-19 14:58:23] |
| John - SC Support - Posts: 36238 |
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Our data is accurate and goes as far back as 2011 for 1 tick data for the ES and to the beginning of when the MES started trading. You can get the data for each contract separately, or you can use a Continuous Futures Contract to have a single set of data covering the period. You have to export the data out of the system, you can not access it directly. Since you are looking for specific time frames, refer to the following: Edit Menu: Edit >> Export Bar Data to Text File For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-07-25 12:50:39] |
| User852579 - Posts: 8 |
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Hi, I can load up the chart to show me price history for the entire exp march 2024 contract, but it only exports 10 days of it even thought iv changed the setting to "custom date range"? Also i noticed after i change the date range it immediately/automatically defaults back to default, so i can't actually select a custom date range, and the days look back option looks back 10 days Regards Date Time Of Last Edit: 2024-07-25 13:00:15
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| [2024-07-25 14:57:25] |
| John - SC Support - Posts: 36238 |
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We are not fully understanding this. First, if you have the full data loaded for the March 2024 contract in the chart and then select "Edit >> Export Bar Data to Text File" you should be getting the full set of data that is loaded in that chart into the text file. If this is not occurring, then we need to know what exactly is in the chart versus what is in the text file. Second, the Date Range From/To should not be changing, unless you have this chart linked to another chart for the "Days to Load". Also, make sure you are actually changing the "Load Data Limiting Method: Date Range" values, and not the "Date Range and Limiting Method" at the top, which has the entries for "Range Range in File From/To". The "Date Range in File From" will change based on how far back you can get the data for that particular contract. Try the following. Set the "Date Range From" to something far enough back to load the entirety of the contract - such as 2020-01-01. Leave the "Date Range To" blank. Then in the "Date Range In File From" set the date to the same date entered in the "Date Range From" (i.e. something like 2020-01-01). Then select "Apply All" or "OK". You will be prompted whether you want to download the data going back to where you entered the date from - be sure to answer "Yes" to this question. After the data downloads, you should have the full range of the data for that contract. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-07-26 05:05:21] |
| User852579 - Posts: 8 |
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Hi, So i have managed to get the Data (MES), but as i feared in my OP the data is not accurate at all even for the current contract as you can see in the screenshot from Trading view cross referenced with the Data i exported from Sierra Charts. Date, Time, Open, High, Low, Last, Volume, NumberOfTrades, BidVolume, AskVolume 2024/7/26, 04:25:00, 5464.50, 5466.25, 5463.25, 5465.75, 968, 535, 313, 655, (i have attached the screenshot here, which is not showing, and unfortunately the simplest action on SC requires reading a full page of instructions, and i just dont have the time for it, but if you open up trading view and load up MES on a 5m Chart and bring up that bar, you'll see all the values are wrong) Regards Update: After looking through the data i have noticed there are random bars missing from random parts of the list through out the day, e.g from 1pm to 2 pm there is one 15m bar missing Date Time Of Last Edit: 2024-07-26 09:24:49
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 image_2024-07-26_14-23-40.png / V - Attached On 2024-07-26 04:59:09 UTC - Size: 36.43 KB - 52 views |
| [2024-07-26 17:10:22] |
| John - SC Support - Posts: 36238 |
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Why do you believe that TradingView is correct? You need to compare the data against the exchange itself. We will not look into anything except that. We get the data from the exchange, and our data is accurate. As to missing data, refer to the following: Data Errors or Spikes in Charts, Flat or Flat Line Graph, Compressed Graph, Errors with Date/Time Values: 2.1.2 Deleting and Re-downloading Data. (Easier and Recommended Method) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-07-26 17:44:41] |
| User852579 - Posts: 8 |
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I have been running tests for over 3 years now, and have used almost all major platforms and still use 5-6 so i cross reference with them, and i find Tradingview to be by far the most accurate/reliable, as i don't think if i have ever seen a inconsistency on TV. In this case TV is same or similar with other platforms and SC is way off, not by a little bit, and all platforms say they get their data straight from the exchange yet all platforms are showing slightly different data which begs the question. For example on your platform i'm seeing Asia session to have average of almost 10k contracts per 15m bars, when in reality its about 1.5-3k. you will struggle to find even one 15M bar in the Asian session that's more than 5k, never mind the average, as i have data from 5-6 platforms im comparing with, which are all in most cases very same of off by maybe 100 contracts and OHLC values off by 1-2 ticks. I have only in the last couple of months started trading US futures, so im still trying to figure out how to obtain this information from CME as its not clear on their website. Thank you for the new link i will look into it. Regards |
| [2024-07-26 18:50:43] |
| John - SC Support - Posts: 36238 |
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We need specifics, as there is simply no way that our data is going to be incorrect. Please give us some specific times for a specific symbol and we'll take a look and make sure that we show the same information you have.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-07-27 03:30:34] |
| User852579 - Posts: 8 |
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I literally provided time/date/bar values as well as screenshot 2 replies ago.
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| [2024-07-27 10:21:43] |
| User852579 - Posts: 8 |
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I have now managed to downloads the data i was looking for from TV, so this ticket can close. However i am happy to assist you in finding the issues with your data, i had another look earlier i choce random bars and all values were wrong, so you shouldn't have a problem finding faults. Cheers
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| [2024-07-27 15:06:38] |
| seandunaway - Posts: 268 |
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denali's data aligns to the tick perfectly with cmegroup's own chart data from their website.. i used your screenshot's bar as an example, attached.
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| denali vs cme.png / V - Attached On 2024-07-27 15:05:56 UTC - Size: 293.34 KB - 50 views |
| [2024-07-27 15:32:59] |
| User852579 - Posts: 8 |
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Can you bring up this bar? Date, Time, Open, High, Low, Last, Volume, BidVolume, AskVolume 2024/7/26, 04:25:00, 5464.50, 5466.25, 5463.25, 5465.75, 968, 313, 655, |
| [2024-07-27 16:52:51] |
| seandunaway - Posts: 268 |
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matches cme data, attached.
Date Time Of Last Edit: 2024-07-27 17:00:28
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| denali vs cme mes 2.png / V - Attached On 2024-07-27 16:52:36 UTC - Size: 360.22 KB - 50 views |
| [2024-07-27 17:07:56] |
| User431178 - Posts: 541 |
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Can you bring up this bar? Date, Time, Open, High, Low, Last, Volume, BidVolume, AskVolume 2024/7/26, 04:25:00, 5464.50, 5466.25, 5463.25, 5465.75, 968, 313, 655, What time zone? You are comparing charts with completely different settings... Your TV chart shared above is UTC+9.5 (I think) and you are comparing to Sierra Chart UTC. Date Time Of Last Edit: 2024-07-27 17:08:06
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| [2024-07-27 17:15:27] |
| seandunaway - Posts: 268 |
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i'm pacific time and cme is central time in chicago, +2h. it's the same bar
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| [2024-07-27 17:22:57] |
| seandunaway - Posts: 268 |
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separately, @scengineering, do you have an https://en.wikipedia.org/wiki/Off-by-one_error when accumulating ticks to time bars? my time resolution data Date, Time, Open, High, Low, Last, Volume, NumberOfTrades, BidVolume, AskVolume
2024/7/25, 21:25:00, 5464.50, 5466.25, 5463.25, 5465.75, 967, 534, 312, 655 @user431178's presumably tick resolution data Date, Time, Open, High, Low, Last, Volume, BidVolume, AskVolume
2024/7/26, 04:25:00, 5464.50, 5466.25, 5463.25, 5465.75, 968, 313, 655, one extra trade at the bid has snuck into their export, when compared to cme Date Time Of Last Edit: 2024-07-27 17:40:18
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| [2024-07-27 18:57:48] |
| User431178 - Posts: 541 |
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i'm pacific time and cme is central time in chicago, +2h. it's the same bar Yes, my comment was directed at the original poster. You see the same picture as me. In their TV image they showed a bar at 2024/7/26 0425 then compared it with data from a completely different timezone - no wonder it is completely different... Also, that data linked was not my own, rather it was copied from the original poster's question above. Date Time Of Last Edit: 2024-07-27 18:59:28
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| [2024-07-28 02:36:04] |
| User852579 - Posts: 8 |
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Yes that's my bad, i thought i had set the correct time zone, but i think every time you change other things and contracts some of the settings reset. Have been having a very hard time using this platform. But its a shame i paid for TV sub to get this data as now i see SC data is very accurate :( Thanks for the help |
| [2024-07-28 14:13:34] |
| Sierra_Chart Engineering - Posts: 17150 |
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Changing the symbol of the chart will change Symbol Settings in the Chart Settings. But this can be disabled: Chart Settings: Do Not Change Symbol Settings for Chart on Symbol Change (Chart >> Chart Settings >> Symbol >> Symbol Settings menu) If you tell us what is changing under what condition we can help with that. Or at least explain it. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-07-28 14:13:47
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