Posted: Jun 06, 2008 @ 01:12 PM             Msg. 1 of 14

A user has pointed out a problem with recent daily data.

Please see:
http://www.sierrachart.com/supportboard/showthread.php?p=92264#post92264

What could be the problem?

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Thank You,
Sierra Chart Engineering

Posted: Jun 06, 2008 @ 01:38 PM             Msg. 2 of 14

I do not see problem in OEC data.
Are there any anomalies or gaps in the collected data?
Were there any disconnections?
Are other markets (ES, FDAX) having the same problem?

Posted: Jun 06, 2008 @ 02:03 PM             Msg. 3 of 14

These are the last few lines received:


There were no disconnections. Above is the ES data, so it shows the same issue.

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Thank You,
Sierra Chart Engineering

Posted: Jun 06, 2008 @ 02:11 PM             Msg. 4 of 14

OEC data I see are

Time,Open,High,Low,Close,Vol
2008/06/02,1401.00,1401.00,1377.50,1385.75,1685945
2008/06/03,1385.75,1393.50,1369.25,1378.25,2115006
2008/06/04,1378.25,1388.50,1371.00,1377.50,2065639
2008/06/05,1376.50,1405.75,1375.50,1405.00,1973782
2008/06/06,1404.75,1411.00,1374.25,1375.50,1756397

and they seem to be similar, so what is the problem?

Posted: Jun 09, 2008 @ 04:07 PM             Msg. 5 of 14

One thing that I notice is that your dates are one day ahead of ours. Although ours look correct.
On the last record we got from you the values are different than what you show (compare to 2008/6/6). Only the Open matches:

6/5/08, 1404.75, 1406, 1404.5, 1405.25, 14064, 0

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Thank You,
Sierra Chart Engineering

Posted: Jun 09, 2008 @ 04:11 PM             Msg. 6 of 14

that's might be caused by getting data at different time - your bar is only for morning trades, and mine is for the half of the day.

Posted: Jun 09, 2008 @ 04:53 PM             Msg. 7 of 14

No that is not the problem, because it affects yesterdays data too.

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Thank You,
Sierra Chart Engineering
Edited by SierraChart on Jun 9, 2008 at 04:53 PM

Posted: Jun 09, 2008 @ 05:11 PM             Msg. 8 of 14

in API, we provide daily bars timestamped with session opening time UTC - for example, ES daily bar for Monday starts on Sunday at 4:30 pm ET (and ends on Monday at 4:15 pm).

when we display these data, we display business day, i.e. Monday 06/09/08 for the example above.

Posted: Jul 07, 2008 @ 02:49 AM             Msg. 9 of 14

this is still an issue. I am sorry for the delay in getting back to you on this. I don't see how the timestamp is relevant to the issue. The problem is the bars for the last two days are incomplete. I want to review the code and to be sure we are processing everything correctly before I get back to you on this. However, nothing has changed on our side and we are seeing a problem now.

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Thank You,
Sierra Chart Engineering

Posted: Jul 14, 2008 @ 05:04 PM             Msg. 10 of 14

I understand the point you made about the timestamp. We also want to display, as well as store, the bars according to the business day. Since you are giving us the daily data with the timestamp of the start of the trading day, can you suggest a reliable way to determine the business day for each bar? Do you have contracts with different session open times that need to be considered?

- Jeffrey

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Thank You,
Sierra Chart Engineering

Posted: Jul 17, 2008 @ 01:41 PM             Msg. 11 of 14

We have many contracts with various open/close times, which are available in BaseContract.StartTime and BaseContract.StopTime properties.

Business day is determined by the date of session close.

Posted: Jul 17, 2008 @ 02:51 PM             Msg. 12 of 14

How can we figure out the date of the session close, the business day, for each bar inside of the OnBarsReceived event?

- Jeffrey

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Thank You,
Sierra Chart Engineering

Posted: Jul 17, 2008 @ 02:59 PM             Msg. 13 of 14

bar timestamp is session open. for contract with overnight sessions (open time > close time), you need to add 1 day.

Posted: Jul 28, 2008 @ 08:15 PM             Msg. 14 of 14

This issue has now been resolved now that we understand how the timestamping works.

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Thank You,
Sierra Chart Engineering