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Date/Time: Thu, 31 Oct 2024 10:12:42 +0000



Daily/Intraday data reconciliation failure / ES data quality problem

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[2024-09-15 12:43:42]
User512353 - Posts: 38
SC2677
Symbol: ESZ24-CME
Data/Trade service: SC Data
Intraday Data Storage Time Unit: 1 Tick

Preliminary note: I do use a different definition of "day", i.e. my cut-over point is 17:00.00 CST/CDT, whereas the default is 16:15.00 EST/EDT. However, this does not explain the data reconciliation problems below.

ESZ24-CME data was freshly downloaded today, 2024/09/15, beginning around 10:52h UTC (file time: ESZ24-CME.dly=10:53:01 UTC, ESZ24-CME.scid=11:32:36 UTC).

ESZ24-CME.dly starts 2021/06/04
ESZ24-CME.scid starts 2023/09/27 (all scid data as observed from the intraday candle chart (period:1sec))

The data for the day 2023/09/27 in dly and scid is consistent.

Examples of inconsistent data:

a) The next day after 2023/09/27 with nonzero volume data is: dly:2023/10/03 - scid:2023/10/25. 9 days with nonzero dly volume are not present in scid.

b) 2023/11/03: dly:volume=116 - scid:volume=11.

c) 2024/03/07: dly:volume=437 - scid:volume=13.

d) 2024/05/24: dly:volume=590 - scid:volume=29.

e) 2024/07/12: dly:volume=1107 - scid:volume=467.

f) 2024/08/05: dly:volume=16392 - scid:volume=1908.

g) 2024/09/12: dly:volume=264608 - scid:volume=290546.

These are just examples. Of course I did not check all the data. But spontaneously I could not find ANY day with matching volume data.

So, where do these discrepancies come from??

I also experimented with setting the intraday session time to 00:00.00-23:59.59. For example g) above this results in a 2024/09/11 volume=58674, 2024/09/12 volume=116096, and 2024/09/13 volume=286858. This does not reconcile either.

Is there any explanation for this?
What volume data can we trust here???
[2024-09-15 12:52:05]
User512353 - Posts: 38
Additional info:
My Custom Symbol Settings Values use
New Daily Bar Start Time: 17:00.00 CST/CDT
where the default is 18:00.30 EST/EDT.
[2024-09-15 14:09:17]
Sierra_Chart Engineering - Posts: 16766
Refer to help topic 43:
Differences With Data and Chart Bars Between Services / Connections / Chart Types
Sierra Chart Support - Engineering Level

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