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symbol data in Sierra


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symbol data in Sierra

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  #1 (permalink)
jeroen001
rotterdam
 
 
Posts: 3 since Oct 2010
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I am new to Sierra, and I am wondering about this:
Is it correct that when I store tick data on the ES to use in intraday charts, I cannot also store it in minutes (to use for charts that go back further)?

thanks

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  #2 (permalink)
 vegasfoster 
las vegas
 
Experience: Intermediate
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No, SC builds intraday bars from whatever you have set as the Intraday Data Storage Time Unit in the Data/Trade Service Settings window, regardless of the bar type. Set to 1 Tick for the most "accurate" charts. This can affect performance if you have a slow computer or internet.

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  #3 (permalink)
jeroen001
rotterdam
 
 
Posts: 3 since Oct 2010
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thank you very much for your reply, but here is my problem; I would like to use tick data for some charts (I have max. 120 days of ticks I can download), and something like minute data for other charts (going back more than 120 days).
From what I can find on Sierra sofar, this is not possible, but I'm kinda hoping I'm wrong

thanks

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  #4 (permalink)
 Jolew 
San Jose, CA
 
Experience: Intermediate
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You can set your download to ticks and you will still get minute data for further out than 120 days, so you can still use one data file without an issue. I set the days to download to 2000 days and the download and storage units to tick.

If you add a 'bid volume vs ask volume' study to the chart you can see the point at which it switches over from minute data to tick data.

If you really still want to separate them you can use a continuous contract symbol and a single contract symbol.

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  #5 (permalink)
 vegasfoster 
las vegas
 
Experience: Intermediate
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If you pull up a new contract then you will only see the data associated with that contract. To see prior data in the current contract, then you need to either 1) download the data from the prior contracts and roll the contracts forward and include the prior data or 2) use the continuous contract feature. For example, for ES, load up 2010-03 contract and see if you get data. If not, then load 2010-06 and keep going forward until you get to the oldest contract you can load data. When you get to the first contract that has data, then roll that contract forward and include prior data and keep rolling forward until you get to the current contract or just download the next contracts and use the continuous contract feature to see the data in the current contract. Hope that makes sense.

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  #6 (permalink)
jeroen001
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Posts: 3 since Oct 2010
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thanks a lot guys, I think I have what I need

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  #7 (permalink)
 josh 
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jeroen001, I also wish this could be handled differently in SC. Basically, for any one symbol, you can have only one periodicity of data (tick, 1 second, 30 second, 1 minute, etc.). I have tick data going back to April 2012 for ES, and before that it's minute data. So if I load any chart that goes back that far, it will load that much tick data (the data file for my ES intraday data is about 4GB), which is a LOT.

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