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Accuracy of SC Denali data, and a data reconciliation request
Sierra Chart has been telling customers for months that CQG data is terrible, and recommending that users switch to their Denali data feed.
Based on recent problems with CQG I followed their advice and made the switch last week.
Meanwhile, I've been downloading some price data to update some spreadsheet studies, and while doing so I noticed an anomaly that made me question the accuracy of the data.
The specific instance I'm referring to is in the daily historical data for ZN. I selected the continuous contract - volume based rollover option. But for Dec. 4, 2018, a few days after rollover, Denali data shows extremely low volume, and for the following day, Dec. 5 2018, the exact same low volume number and an open, high, low, close of 120 0.5/32, implying no range for the entire session. This was not a holiday.
I've asked Sierra Chart support to look into this, in case there's something I did wrong with my settings, but they have not yet responded. I will update here when they do.
But I wanted to ask other users if they've had any issues with Denali data accuracy. Because data integrity is obviously a critical issue. If you can't trust your data, then your charts, backtests etc. are all worthless.
Also, would someone with non Denali data be willing to download or screeshot some daily price data for ZN so I can compare the OHLC and volume numbers with the Denali data?
Any help in resolving this would be very much appreciated.
Broker: Broker: Trade Future 4 Less. Data Feed/Order routing: CQG
Trading: DAX; ES; Bund Futures
Posts: 77 since Oct 2018
Thanks Given: 49
Thanks Received: 57
Schnook - I has the same idea and are also, like you were on CQG, but I have not yet reacted on it, so you are faster than me
I have checked on the CQG data and in fact the volume is extremely low on the two days in question 2018 Dec. 4th. and 5 th. - I do not know why.
On 4th.: O= 119 5/32 H =119 22/32 L= 1193/32 C= 119 13,5/32. Vol approx. 18.600
On 5 th. O H L C all 119 13,5/32. same as close on 4 th. Vol more or less the same.
This is all reading from the chart so could be 1 tick or so wrong, but confirms the dare you get. - I do not know if you can find date on-line from CBOT that far back, or ask them what the problem was those day.
I checked same dates for 30 years bond and this is the same - very little volume on both day and 5th. no range on one price and the same as the close of the 4th.
2 yr. note the same -
Ultra Bonds the same
So seems like a general problem in the bonds at CBOT
Broker: Broker: Trade Future 4 Less. Data Feed/Order routing: CQG
Trading: DAX; ES; Bund Futures
Posts: 77 since Oct 2018
Thanks Given: 49
Thanks Received: 57
I do not think it is with Denali since I used CQG as data source - Most likely it was a CBOT problem in the bond sections as all bonds and T-note futures had same problem in the same way.
But I would be interested in learning about your experience the this Denali/TT data feed and trading routing with Sierra Charts, as I am considering the same.
@TraderMich I am going to reserve judgment until I've had a chance to get more familiar with Denali. Again, data integrity is VERY important to me, which is why I'm so intent on figuring out what's going on with these bond prices from Dec. 5 2018
Here is some data I pulled off the internet (investing.com)
This source at least shows some movement in price on Dec. 5 but reports zero volume. Note also the declining volumes until a large bounce on Dec. 20. This suggests to me that the contract roll might be a factor.
Still, the roll shouldn't be a factor in the Denali data, because I am using the volume based rollover setting, and the Denali chart shows the roll had occurred a few days prior.
Does anyone else have different data, perhaps from a different source that they could share? Does anyone else have any ideas or guesses as to what the issue might be?
Just to follow up on this, SC Support never provided an adequate response to my questions and the above noted issue remains unresolved (inaccurate volume and questionable price data for Dec. 4 and 5, 2018).
Second, there are other issues with the data. For example, this past Friday (Good Friday holiday), rates and FX were open for an abbreviated session, but none of that data is shown in the historical (daily) data feed.
In TY, for example, after the employment number came out on April 2, the market traded a 130-29/32 to 131-20/32 range, but on the daily, historical chart none of that is shown.
When I asked SC support about the missing TY data from Friday, I received the following response: "contact the exchange about this. There is not going to be data for Friday. There is nothing wrong. Contact the exchange. We expect you to understand, how the exchanges provide data. We are not going to explain that. That is their responsibility. Instead you post here, thinking there is something wrong. There is not! Do not take more time from us on this."
Indeed, the daily charts on the CME website also omit the April 2 data, which I find a bit frustrating. However, Yahoo Finance is reporting complete data, Investing.com is reporting complete data, Bloomberg is reporting complete data. But the CME, and the Denali data that I pay for, are not.
So do I just need to accept it, and make a mental note that when studying historical data, or backtesting on daily data, I will have to contend with incomplete data around holidays or shortened trading sessions?
If so, I fear that I will never be able to trust my data.
Edit: Oops, I just read your edited post, which includes this:
This changes things, but I'll leave what I originally wrote intact. I don't know what is going on, but perhaps SC has a point this time. Perhaps it has to do with what trade date holiday data is reported as....?
That would suggest that SC might be right after all, if CME is reporting as they are. It would mean that there was actual trading for that calendar date, but it is not reported as belonging to that trade date in the daily numbers. (I often get notices from my broker about how trades during partial sessions on holidays are handled, but I'm afraid I ignore them, because I'm not going to trade on a partial seesion on a holiday anyway. Maybe I should read them.)
So maybe unexpected, but not incorrect by SC, if this is so.
So take the rest of my post with a certain amount of salt.... I"m starting to think I was wrong.
Here's my original post, below the line. I still think they have an attitude problem.
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I don't know the particular issue with this data and so I can't address it directly. I assume that the fact that other sources are giving quotes means that SC is incorrect here.
This response from SC sounds like one of their knee-jerk "you're wrong, we aren't, how dare you question us" responses. Someone at SC has an unfortunate quick trigger finger and fires off defensive counters like this if they feel they are being questioned.
A simple reply would be to list the data reported by other sources. Also, CME does provide data on its website, which would counter the "contact the exchange about this. There is not going to be dara for Friday" statement. (I am assuming that the exchange website will show they are wrong.... if not, well, that's another resolution. Either way, it's a simple way to settle things.)
My guess is that someone snapped off this quick response without knowing what they were talking about. I have seen them give up their quick-response rants in the past when actually given specifics, but sometimes it requires a hammer to get them to do it.
As a fan of SC I am always unhappy with their defensive type mentality that makes them so sensitive to any suggestion they are not perfect. But at least they usually do snap out of it when given some facts. It's too bad that their customers may have to do it.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
